Implied Volatility

FreeValueStandardPro

Fetch implied volatility history (intraday, sampled by interval).

• Returns implied volatilies calculated using the national best bid, mid, and ask price of the option respectively.
• The underlying price represents whatever the last underlying price was at the timestamp field. You can read more about how Theta Data calculates greeks here.
• Multi-day requests are limited to 1 month of data.

SPY · 20250321

Client

Auth

Style

symbolstring*

expirationdate*

strikestring

rightstring

datedate

intervalstring

start_timestring

end_timestring

annual_dividendfloat

rate_typestring

rate_valuefloat

versionstring

strike_rangeint

start_datedate

end_datedate

from thetadatadx import Client

client = Client.from_env()

rows = client.market_data.option_history_greeks_implied_volatility(
    "SPY", "20250321",
    strike="570", right="C", interval="1m",
)
for t in rows:
    print(t.date, t.implied_volatility, t.iv_error)

Sample response · JSON

[
  {
    "ask": 0,
    "ask_implied_vol": 0,
    "bid": 0,
    "bid_implied_vol": 0,
    "implied_vol": 0,
    "iv_error": 100,
    "midpoint": 0,
    "timestamp": "2024-11-04T09:30:00",
    "underlying_price": 221,
    "underlying_timestamp": "2024-11-04T09:30:00"
  },
  {
    "ask": 3.85,
    "ask_implied_vol": 0.3747,
    "bid": 3.75,
    "bid_implied_vol": 0.364,
    "implied_vol": 0.3693,
    "iv_error": 0,
    "midpoint": 3.8,
    "timestamp": "2024-11-04T09:35:00",
    "underlying_price": 220.66,
    "underlying_timestamp": "2024-11-04T09:35:00"
  },
  {
    "ask": 3.8,
    "ask_implied_vol": 0.3752,
    "bid": 3.7,
    "bid_implied_vol": 0.3643,
    "implied_vol": 0.3698,
    "iv_error": 0,
    "midpoint": 3.75,
    "timestamp": "2024-11-04T09:40:00",
    "underlying_price": 220.56,
    "underlying_timestamp": "2024-11-04T09:40:00"
  }
]

Parameters

Name	Type	Required	Default	Description
symbol	string	yes	—	Ticker symbol (e.g. AAPL)
expiration	date	yes	—	Expiration date YYYYMMDD
strike	string	no	*	Strike price in dollars as a string (e.g. 500 or 17.5). Use * for wildcard selection.
right	string	no	both	Option side. Use both or * (alias) for calls and puts. Accepted values: call, put, both, *.
date	date	no	—	Single date YYYYMMDD. Supply this for a single-day pull, or supply start_date/end_date for a range. When present, date takes precedence over the range.
interval	string	no	1s	Interval preset. Defaults to 1s when omitted — matching the upstream ThetaData Python library. Accepted values: tick, 10ms, 100ms, 500ms, 1s, 5s, 10s, 15s, 30s, 1m, 5m, 10m, 15m, 30m, 1h.
start_time	string	no	09:30:00	Start time filter
end_time	string	no	16:00:00	End time filter
annual_dividend	float	no	—	Annualized expected dividend amount, in dollars per share, used in the Greeks calculation (e.g. 2.5 is $2.50 per share per year).
rate_type	string	no	sofr	Risk-free-rate source used in the Greeks calculation. Accepted values: sofr, treasury_m1, treasury_m3, treasury_m6, treasury_y1, treasury_y2, treasury_y3, treasury_y5, treasury_y7, treasury_y10, treasury_y20, treasury_y30.
rate_value	float	no	—	Interest rate as a percent (4.36 means 4.36%, matching the InterestRateTick.rate convention) used in the Greeks calculation. Applied when rate_type selects a manual rate.
version	string	no	latest	Greeks model version. Accepted values: latest, 1.
strike_range	int	no	—	Strike range filter
start_date	date	no	—	Start date YYYYMMDD
end_date	date	no	—	End date YYYYMMDD
timeout_ms	int	no	—	Per-request deadline in milliseconds. 0 means no deadline.

Response

Rows of IvTick:

Field	Type	Description
ms_of_day	i32	Milliseconds since midnight Eastern Time.
bid	f64	Last NBBO bid price.
bid_implied_volatility	f64	Implied volatility solved at the bid price.
midpoint	f64	Midpoint of the bid and ask prices.
implied_volatility	f64	Implied volatility solved from the option price.
ask	f64	Last NBBO ask price.
ask_implied_volatility	f64	Implied volatility solved at the ask price.
iv_error	f64	Residual pricing error of the implied-volatility solve.
underlying_ms_of_day	i32	Timestamp of the underlying price, milliseconds since midnight ET.
underlying_price	f64	Underlying price used in the calculation (midpoint of the underlying).
date	i32	Trading date as a YYYYMMDD integer.

Wildcard requests additionally populate expiration (YYYYMMDD), strike (dollars), and right ("C" / "P") on every row to identify the contract; on single-contract requests these are absent (None / null / undefined; the Rust and C rows carry the documented 0 / 0.0 / '\0' fills).