All Binomial Greeks

FreeValueStandardPro

Get all binomial Greeks snapshot for an option contract (from ThetaData server).

• Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration.
• Greeks are calculated with a Leisen-Reimer binomial tree that allows early exercise at every node, so the values are American-style.

This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night.

SPY · 20250321

Client

Auth

Style

symbolstring*

expirationdate*

strikestring

rightstring

annual_dividendfloat

rate_typestring

rate_valuefloat

stock_pricefloat

binomial_stepsint

versionstring

max_dteint

strike_rangeint

min_timestring

use_market_valuebool

from thetadatadx import Client

client = Client.from_env()

rows = client.market_data.option_snapshot_binomial_greeks_all(
    "SPY", "20250321",
    strike="570", right="C",
)
for t in rows:
    print(t.date, t.delta, t.gamma, t.theta, t.implied_volatility)

Sample response · JSON

[
  {
    "ask": 25.25,
    "bid": 24.85,
    "charm": -0.0019,
    "color": -0.0125,
    "d1": 0.2989,
    "d2": 0.1542,
    "delta": 0.6176,
    "dual_delta": -0.5549,
    "dual_gamma": 0.0081,
    "epsilon": -65.0191,
    "gamma": 0.0078,
    "implied_vol": 0.2588,
    "iv_error": 0,
    "lambda": 8.3125,
    "rho": 57.1956,
    "speed": 0,
    "theta": -0.0999,
    "timestamp": "2026-09-23T14:49:54.953",
    "ultima": -168.5597,
    "underlying_price": 337.13,
    "underlying_timestamp": "2026-09-23T14:49:55.019",
    "vanna": -0.2278,
    "vega": 71.8804,
    "vera": -46.388,
    "veta": 114.9621,
    "vomma": 12.8026,
    "zomma": -0.0287
  }
]

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, *.
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.
stock_price	float	no	-	Underlying price in dollars used in the Greeks calculation, overriding the observed underlying when set.
binomial_steps	int	no	101	Number of steps in the binomial tree used for the Greeks calculation. Accurate at higher values and cheaper at lower ones; the server's cost grows with the square of the value. An even value is rounded up to the next odd one, and an expiration=* request is capped at 101 steps.
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
min_time	string	no	-	Minimum time filter
use_market_value	bool	no	false	When true, calculate Greeks against the option market value (mid-price) instead of the NBBO bid/ask pair.
timeout_ms	int	no	-	Per-request deadline in milliseconds. 0 means no deadline.

Response

Rows of GreeksAllTick:

Field	Type	Description
ms_of_day	i32	Milliseconds since midnight Eastern Time.
bid	f64	Last NBBO bid price.
ask	f64	Last NBBO ask price.
implied_volatility	f64	Implied volatility solved from the option price. The vendor names this column IMPLIED_VOL.
delta	f64	Sensitivity of the option value to a one-dollar move in the underlying.
gamma	f64	Rate of change of delta with respect to the underlying price.
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.
iv_error	f64	Residual pricing error of the implied-volatility solve.
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.
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.
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.
vera	f64	Sensitivity of rho to a change in implied volatility.
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).