Second-Order Greeks

FreeValueStandardPro

Fetch second-order Greeks history (intraday, sampled by interval).

• Returns the data for all contracts that share the same provided symbol and expiration.
• Calculated using the option and underlying midpoint price. If an interval size is specified (highly recommended), the option quote used in the calculation follows the same rules as the quote endpoint.
• 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_second_order(
    "SPY", "20250321",
    strike="570", right="C", date="20250303", interval="1m",
)
for t in rows:
    print(t.date, t.gamma, t.vanna, t.charm)

Sample response · JSON

[
  {
    "ask": 0,
    "bid": 0,
    "charm": 0,
    "gamma": 0,
    "implied_vol": 0.25,
    "iv_error": 100,
    "timestamp": "2024-11-04T09:30:00",
    "underlying_price": 221,
    "underlying_timestamp": "2024-11-04T09:30:00",
    "vanna": 0,
    "veta": 0,
    "vomma": 0
  },
  {
    "ask": 0.01,
    "bid": 0,
    "charm": 0,
    "gamma": 0,
    "implied_vol": 0.25,
    "iv_error": 100,
    "timestamp": "2024-11-04T10:30:00",
    "underlying_price": 221.73,
    "underlying_timestamp": "2024-11-04T10:30:00",
    "vanna": 0,
    "veta": 0,
    "vomma": 0
  },
  {
    "ask": 0.01,
    "bid": 0,
    "charm": 0,
    "gamma": 0,
    "implied_vol": 0.25,
    "iv_error": 100,
    "timestamp": "2024-11-04T11:30:00",
    "underlying_price": 221.49,
    "underlying_timestamp": "2024-11-04T11:30:00",
    "vanna": 0,
    "veta": 0,
    "vomma": 0
  }
]

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 GreeksSecondOrderTick:

Field	Type	Description
ms_of_day	i32	Milliseconds since midnight Eastern Time.
bid	f64	Last NBBO bid price.
ask	f64	Last NBBO ask price.
gamma	f64	Rate of change of delta with respect to the underlying price.
vanna	f64	Sensitivity of delta to a change in implied volatility.
charm	f64	Rate of change of delta over time.
vomma	f64	Sensitivity of vega to a change in implied volatility.
veta	f64	Rate of change of vega over time.
implied_volatility	f64	Implied volatility solved from the option price. The vendor names this column IMPLIED_VOL.
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. The vendor names this column MS_OF_DAY2.
underlying_price	f64	Underlying price used in the calculation (midpoint of the underlying).
date	i32	Trading date as a YYYYMMDD integer.
underlying_date	i32	Trading date of the underlying price as a YYYYMMDD integer, decoded from the same wire column as underlying_ms_of_day. It differs from date when the underlying price and the option quote come from different sessions.

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).