option_history_greeks_second_order
Fetch historical second-order option Greeks (Gamma, Vanna, etc.) from midpoint prices for a symbol and expiration, with date/time intervals and strike filters. Max one month per request.
Instructions
[PROFESSIONAL] Historical second-order greeks from midpoint prices. Max 1 month per request.
Input Schema
TableJSON Schema
| Name | Required | Description | Default |
|---|---|---|---|
| date | No | The date to fetch data for. If present, this overrides start_date and end_date. | |
| right | No | The right (call or put) of the contract. | both |
| strike | No | The strike price of the contract in dollars (ie `100.00` for `$100.00`), or `*` for all strikes. | * |
| symbol | Yes | The stock or index symbol, or underlying symbol for options. | |
| version | No | Used to adjust Greeks calculation methodology. "1" uses a fixed .15 DTE for 0DTE; "latest" uses real TTE (down to a minimum of 1 hour) | latest |
| end_date | No | The end date (inclusive). | |
| end_time | No | The end time (inclusive) in the specified day. | 16:00:00 |
| interval | Yes | The size of the time interval must be one of the available options listed below. Intervals less than 1m are available only for single-day requests. | 1s |
| rate_type | No | The interest rate type to be used in a Greeks calculation. | sofr |
| expiration | Yes | The expiration of the contract in `YYYY-MM-DD` or `YYYYMMDD` format. | |
| rate_value | No | The interest rate, as a percent, to be used in a Greeks calculation. | |
| start_date | No | The start date (inclusive). | |
| start_time | No | The start time (inclusive) in the specified day. | 09:30:00 |
| strike_range | No | Used to specify a filter to limit the number of contracts returned relative to the underlying's spot price. Will return the specified number of strikes above and below the spot price, as well as the at-the-money strike. | |
| annual_dividend | No | The annualized expected dividend amount to be used in Greeks calculations. |