Second-Order Greeks

FreeValueStandardPro

Get second-order Greeks snapshot (gamma, vanna, charm) for an option contract.

• Retrieve a real-time last second order 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_second_order(
    "SPY", "20250321",
    strike="570", right="C",
)
for t in rows:
    print(t.date, t.gamma, t.vanna, t.charm)

Sample response · JSON

[
  {
    "ask": 1.5,
    "bid": 1.47,
    "charm": -0.3716,
    "gamma": 0.0059,
    "implied_vol": 0.2142,
    "iv_error": -0.0003,
    "timestamp": "2025-08-20T15:59:59.805",
    "underlying_price": 225.74,
    "underlying_timestamp": "2025-08-20T16:37:06.988",
    "vanna": 1.1833,
    "veta": 18.8522,
    "vomma": 212.267
  }
]

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 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.
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).