All Trade Greeks

FreeValueStandardPro

Fetch all Greeks on each trade for an option contract.

Returns the data for all contracts that share the same provided symbol and expiration.
Calculates greeks for every trade reported by OPRA.
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, and must specify an expiration.

SPY · 20250321

Client

Auth

Style

symbolstring*

expirationdate*

strikestring

rightstring

datedate

start_timestring

end_timestring

annual_dividendfloat

rate_typestring

rate_valuefloat

versionstring

max_dteint

strike_rangeint

start_datedate

end_datedate

from thetadatadx import Client

client = Client.from_env()

rows = client.market_data.option_history_trade_greeks_all(
    "SPY", "20250321",
    strike="570", right="C",
)
for t in rows:
    print(t.ms_of_day, t.price, t.delta, t.implied_volatility)

Sample response · JSON

[
  {
    "charm": -6.7146,
    "color": -0.0129,
    "condition": 18,
    "d1": -0.7424,
    "d2": -0.7668,
    "delta": 0.2289,
    "dual_delta": -0.2213,
    "dual_gamma": 0,
    "epsilon": -0.8073,
    "exchange": 9,
    "ext_condition1": 255,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 255,
    "gamma": 0.0674,
    "implied_vol": 0.1762,
    "iv_error": -0.0008,
    "lambda": 71.4109,
    "price": 0.59,
    "rho": 0.796,
    "sequence": -1391330475,
    "size": 1,
    "speed": 0,
    "theta": -0.1031,
    "timestamp": "2023-11-10T09:30:00.004",
    "ultima": -100,
    "underlying_price": 183.89,
    "underlying_timestamp": "2023-11-10T09:30:00",
    "vanna": 1.3174,
    "vega": 7.7122,
    "vera": 0,
    "veta": 0.3553,
    "vomma": 24.9086,
    "zomma": 0
  },
  {
    "charm": -6.7146,
    "color": -0.0129,
    "condition": 18,
    "d1": -0.7424,
    "d2": -0.7668,
    "delta": 0.2289,
    "dual_delta": -0.2213,
    "dual_gamma": 0,
    "epsilon": -0.8073,
    "exchange": 47,
    "ext_condition1": 255,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 255,
    "gamma": 0.0674,
    "implied_vol": 0.1762,
    "iv_error": -0.0008,
    "lambda": 71.4109,
    "price": 0.59,
    "rho": 0.796,
    "sequence": -1391317465,
    "size": 1,
    "speed": 0,
    "theta": -0.1031,
    "timestamp": "2023-11-10T09:30:00.154",
    "ultima": -100,
    "underlying_price": 183.89,
    "underlying_timestamp": "2023-11-10T09:30:00",
    "vanna": 1.3174,
    "vega": 7.7122,
    "vera": 0,
    "veta": 0.3553,
    "vomma": 24.9086,
    "zomma": 0
  },
  {
    "charm": -6.8508,
    "color": -0.0118,
    "condition": 18,
    "d1": -0.7849,
    "d2": -0.8081,
    "delta": 0.2162,
    "dual_delta": -0.2093,
    "dual_gamma": 0,
    "epsilon": -0.7625,
    "exchange": 6,
    "ext_condition1": 255,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 255,
    "gamma": 0.0689,
    "implied_vol": 0.1669,
    "iv_error": -0.0018,
    "lambda": 76.6064,
    "price": 0.52,
    "rho": 0.7526,
    "sequence": -1391313694,
    "size": 8,
    "speed": 0,
    "theta": -0.0947,
    "timestamp": "2023-11-10T09:30:00.22",
    "ultima": -100,
    "underlying_price": 183.89,
    "underlying_timestamp": "2023-11-10T09:30:00",
    "vanna": 1.4186,
    "vega": 7.4656,
    "vera": 0,
    "veta": 0.3755,
    "vomma": 28.3594,
    "zomma": 0
  }
]

Parameters

Name	Type	Required	Default	Description
`symbol`	string	yes	—	Ticker symbol (e.g. AAPL)
`expiration`	date	yes	—	Expiration date YYYYMMDD. Pass `*` to select all expirations for the underlying (chain-wide; query one date at a time).
`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.
`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`.
`max_dte`	int	no	—	Maximum days to expiration
`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 TradeGreeksAllTick:

Field	Type	Description
`ms_of_day`	i32	Milliseconds since midnight Eastern Time.
`sequence`	i32	Exchange-assigned trade sequence number.
`ext_condition1`	i32	Additional trade condition code.
`ext_condition2`	i32	Additional trade condition code.
`ext_condition3`	i32	Additional trade condition code.
`ext_condition4`	i32	Additional trade condition code.
`condition`	i32	Trade condition code.
`size`	i32	Number of contracts or shares traded.
`exchange`	i32	Exchange code where the trade executed.
`price`	f64	Trade price.
`delta`	f64	Sensitivity of the option value to a one-dollar move in the underlying.
`theta`	f64	Sensitivity of the option value to the passage of time.
`vega`	f64	Sensitivity of the option value to a change in implied volatility.
`rho`	f64	Sensitivity of the option value to the risk-free rate.
`epsilon`	f64	Sensitivity of the option value to the dividend yield.
`lambda`	f64	Percent change in the option value per percent change in the underlying.
`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.
`vera`	f64	Sensitivity of rho to a change in implied volatility.
`speed`	f64	Rate of change of gamma with respect to the underlying price.
`zomma`	f64	Sensitivity of gamma to a change in implied volatility.
`color`	f64	Rate of change of gamma over time.
`ultima`	f64	Sensitivity of vomma to a change in implied volatility.
`d1`	f64	Black-Scholes d1 intermediate term.
`d2`	f64	Black-Scholes d2 intermediate term.
`dual_delta`	f64	Sensitivity of the option value to the strike price.
`dual_gamma`	f64	Second derivative of the option value with respect to the strike.
`implied_volatility`	f64	Implied volatility solved from the option 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).

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Snapshot

History

At-Time

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Snapshot

History

At-Time

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Snapshot

History

At-Time

All Trade Greeks

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All Trade Greeks ​

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All Trade Greeks

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