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.

pub fn option_history_greeks_implied_volatility(
    &self,
    symbol: &str,
    expiration: &str,
    date: &str,
) -> OptionHistoryGreeksImpliedVolatilityBuilder<'_>

Optional parameters chain on the builder: .strike(&str), .right(&str), .interval(&str), .start_time(&str), .end_time(&str), .annual_dividend(f64), .rate_type(&str), .rate_value(f64), .version(&str), .strike_range(i32), .start_date(&str), .end_date(&str). Execute with .await → Result<Vec<IvTick>, Error>, or decode chunk-by-chunk with .stream(handler).

Example

let rows = tdx
    .option_history_greeks_implied_volatility("SPY", "20250321", "20250303")
    .strike("570")
    .right("C")
    .interval("1m")
    .await?;
for t in &rows {
    println!("date={} implied_volatility={} iv_error={}", t.date, t.implied_volatility, t.iv_error);
}

ThetaDataDxClient.option_history_greeks_implied_volatility(
    symbol, expiration, date,
    *,
    strike=None, right=None, interval=None, start_time=None, end_time=None,
    annual_dividend=None, rate_type=None, rate_value=None, version=None,
    strike_range=None, start_date=None, end_date=None, timeout_ms=None,
) -> IvTickList

option_history_greeks_implied_volatility_async(...) awaits the same call shape. Chain .to_pandas() / .to_polars() / .to_arrow() / .to_list() on the result.

Example

rows = tdx.option_history_greeks_implied_volatility(
    "SPY",
    "20250321",
    "20250303",
    strike="570",
    right="C",
    interval="1m",
)
for t in rows:
    print(t.date, t.implied_volatility, t.iv_error)

optionHistoryGreeksImpliedVolatility(
  symbol: string, expiration: string | Date, date: string | Date,
  options?: { ... },
): Promise<Array<IvTick>>

Optional parameters ride in a single trailing options object: strike?: string, right?: string, interval?: string, startTime?: string | Date, endTime?: string | Date, annualDividend?: number, rateType?: string, rateValue?: number, version?: string, strikeRange?: number, startDate?: string | Date, endDate?: string | Date, timeoutMs?: number.

Example

const rows = await tdx.optionHistoryGreeksImpliedVolatility('SPY', '20250321', '20250303', { strike: '570', right: 'C', interval: '1m' });
for (const t of rows) {
  console.log(t.date, t.impliedVolatility, t.iVError);
}

std::vector<IvTick> option_history_greeks_implied_volatility(
    const std::string& symbol,
    const std::string& expiration,
    const std::string& date,
    const EndpointRequestOptions& options = {}) const;

Optional parameters chain on EndpointRequestOptions: .with_strike(...), .with_right(...), .with_interval(...), .with_start_time(...), .with_end_time(...), .with_annual_dividend(...), .with_rate_type(...), .with_rate_value(...), .with_version(...), .with_strike_range(...), .with_start_date(...), .with_end_date(...). Throws tdx::Error on failure.

Example

auto rows = client.option_history_greeks_implied_volatility("SPY", "20250321", "20250303",
    tdx::EndpointRequestOptions{}.with_strike("570").with_right("C").with_interval("1m"));
for (const auto& t : rows) {
    std::cout << t.date << ' ' << t.implied_volatility << ' ' << t.iv_error << "\n";
}

GET http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility

Served by the bundled server binary; responses stream as JSON, CSV, or NDJSON via the format parameter.

Example

curl -G 'http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility' \
    --data-urlencode 'symbol=SPY' \
    --data-urlencode 'expiration=2025-03-21' \
    --data-urlencode 'date=2025-03-03' \
    --data-urlencode 'strike=570' \
    --data-urlencode 'right=C' \
    --data-urlencode 'interval=1m'

Parameters

Name	Type	Required	Default	Description
symbol	string	yes	—	Ticker symbol (e.g. AAPL)
expiration	date	yes	—	Expiration date YYYYMMDD
date	date	yes	—	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. Accepted values: call, put, both.
interval	string	no	1s	Interval preset or millisecond string. 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).