First-Order Greeks

FreeValueStandardPro

Get first-order Greeks snapshot (delta, theta, rho) for an option contract.

• Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration.

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

versionstring

max_dteint

strike_rangeint

min_timestring

use_market_valuebool

from thetadatadx import Client

client = Client.from_env()

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

Sample response · JSON

[
  {
    "ask": 1.5,
    "bid": 1.47,
    "delta": 0.106,
    "epsilon": -9.7049,
    "implied_vol": 0.2142,
    "iv_error": -0.0003,
    "lambda": 16.1782,
    "rho": 9.105,
    "theta": -0.0217,
    "timestamp": "2025-08-20T15:59:59.805",
    "underlying_price": 225.74,
    "underlying_timestamp": "2025-08-20T16:37:06.988",
    "vega": 26.3226
  }
]

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.
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 GreeksFirstOrderTick:

Field	Type	Description
ms_of_day	i32	Milliseconds since midnight Eastern Time.
bid	f64	Last NBBO bid price.
ask	f64	Last NBBO ask 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.
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).