Options · Chains

Options chain greeks

Greeks and implied volatility of every contract of an underlying.

GET/v1/options/chain/greeksoptionsChainGreeks

API Developer Overnight data: API Pro Paginated Dataset: options

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Example request
Parameters
Response
Example response
Related

The Greeks of every contract: first order, second order, third order or all. Greeks are computed during the regular session; outside it the values are null and meta.coverage.note says so. Rows are ordered by date_of_expiry, strike, contract_type (call before put) and paginated with cursor_id; a page reads one expiration at a time and may hold fewer rows than limit. When no date_of_expiry is given the chain covers the expirations within max_dte days (default 30). Reads of an underlying that trades overnight (SPX, SPXW, XSP, VIX, VIXW, RUT, RUTW) outside weekday 09:30-16:15 ET, the curb session included, require the overnight entitlement; during the regular session, parts of a contract whose latest quote or trade is from the overnight session are null for plans without it (listed in meta.coverage.missing and counted in meta.coverage.withheld).

Example request

curl -sS --get "https://api.ordermap.si/v1/options/chain/greeks" \
  -H "Authorization: Bearer $ORDERMAP_API_KEY" \
  --data-urlencode underlying_symbol=SPXW

const params = new URLSearchParams({
  underlying_symbol: "SPXW",
});
const res = await fetch(`https://api.ordermap.si/v1/options/chain/greeks?${params}`, {
  headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
if (!res.ok) throw new Error(`${res.status} ${await res.text()}`);
const { data, meta } = await res.json();
console.log(data, meta.coverage);
// Paginated: repeat with cursor_id set to pagination.next_cursor_id until it is null.

Set ORDERMAP_API_KEY to your key. Replace the dates with a recent trading date.

Parameters

9 parameters, 1 required.

Parameter	Type and limits	Description
`underlying_symbol`queryrequired	stringat most 8 characterspattern ^[A-Za-z][A-Za-z0-9.]{0,7}$	Underlying: an option root (SPXW, QQQ, NDXP ...) or an index family: SPX covers the SPX and SPXW roots, NDX the NDX and NDXP roots, RUT the RUT and RUTW roots. Rows name the root of each contract.
`date_of_expiry`queryoptional	stringdate	Only this expiration, YYYY-MM-DD.
`contract_type`queryoptional	stringcallput	Only calls or only puts.
`min_strike`queryoptional	number> 0max 99999.999	Lowest strike to return, in dollars.
`max_strike`queryoptional	number> 0max 99999.999	Highest strike to return, in dollars.
`max_dte`queryoptional	integermin 0max 1000	Without date_of_expiry: include expirations up to this many days away (default 30).
`greek_order`queryoptional	stringfirstsecondthirdalldefault all	Which Greeks to compute: first (delta, theta, vega, rho, epsilon, lambda), second (gamma, vanna, charm, vomma, veta), third (speed, zomma, color, ultima) or all (every Greek, including vera, d1, d2 and the dual Greeks). The Greeks of other orders are null.
`limit`queryoptional	integerdefault 1000min 1max 2500	Maximum rows to return.
`cursor_id`queryoptional	stringat most 1024 characters	Opaque cursor returned as pagination.next_cursor_id; resumes the same query on the next page.

Response

Status	Meaning	Body
`200`	Successful response.	Schema below
`400`	Invalid, unknown or repeated parameters, or an invalid cursor.	Error object
`401`	Missing or invalid API key.	Error object
`403`	The plan, dataset release or account state does not allow this request.	Error object
`422`	The request is valid but no data exists for it.	Error object
`429`	Rate limit, burst limit or cooldown; wait Retry-After seconds.Retry-After	Error object
`500`	Internal error.	Error object
`503`	Data temporarily unavailable; retry after Retry-After seconds.Retry-After	Error object
`504`	The request timed out.	Error object

Authenticated responses carry the X-RateLimit-* headers (see rate limits); 429 and 503 add Retry-After.

200 response body

dataarray<object>required31 fields inside
- asknumber | nullrequiredBest offer price.
- bidnumber | nullrequiredBest bid price.
- charmnumber | nullrequiredChange in delta per day (delta decay). Null when not part of the requested order or outside the regular session.
- colornumber | nullrequiredChange in gamma per day. Null when not part of the requested order or outside the regular session.
- contract_typestringrequiredCall or put.callput
- d1number | nullrequiredThe d1 term of the pricing model. Null when not part of the requested order or outside the regular session.
- d2number | nullrequiredThe d2 term of the pricing model. Null when not part of the requested order or outside the regular session.
- date_of_expirystringdaterequiredExpiration date.
- deltanumber | nullrequiredChange in the option price for a $1 move in the underlying. Null when not part of the requested order or outside the regular session.
- dual_deltanumber | nullrequiredChange in the option price for a unit move in the strike. Null when not part of the requested order or outside the regular session.
- dual_gammanumber | nullrequiredSecond derivative of the option price with respect to the strike. Null when not part of the requested order or outside the regular session.
- epsilonnumber | nullrequiredChange in the option price for a one point move in the dividend yield. Null when not part of the requested order or outside the regular session.
- gammanumber | nullrequiredChange in delta for a $1 move in the underlying. Null when not part of the requested order or outside the regular session.
- implied_volatilitynumber | nullrequiredImplied volatility as a decimal (0.18 = 18%).
- lambdanumber | nullrequiredLeverage: percentage change in the option price per percentage change in the underlying. Null when not part of the requested order or outside the regular session.
- option_symbolstringrequiredOCC option symbol of the contract: root padded to six characters, expiration YYMMDD, C or P and the strike in thousandths over eight digits.
- rhonumber | nullrequiredChange in the option price for a one point move in the interest rate. Null when not part of the requested order or outside the regular session.
- speednumber | nullrequiredChange in gamma for a $1 move in the underlying. Null when not part of the requested order or outside the regular session.
- strikenumberrequiredStrike price in dollars.
- thetanumber | nullrequiredTime decay: change in the option price per calendar day. Null when not part of the requested order or outside the regular session.
- timestampinteger | nullunix-msrequiredTime of the quote the Greeks were computed from. Unix epoch milliseconds (UTC).
- ultimanumber | nullrequiredChange in vomma for a one point move in implied volatility. Null when not part of the requested order or outside the regular session.
- underlying_pricenumber | nullrequiredUnderlying price used by the model.
- underlying_symbolstringrequiredOption root of the contract.
- underlying_timestampinteger | nullunix-msrequiredTime of the underlying price used. Unix epoch milliseconds (UTC).
- vannanumber | nullrequiredChange in delta for a one point move in implied volatility. Null when not part of the requested order or outside the regular session.
- veganumber | nullrequiredChange in the option price for a one point move in implied volatility. Null when not part of the requested order or outside the regular session.
- veranumber | nullrequiredChange in rho for a one point move in implied volatility. Null when not part of the requested order or outside the regular session.
- vetanumber | nullrequiredChange in vega per day. Null when not part of the requested order or outside the regular session.
- vommanumber | nullrequiredChange in vega for a one point move in implied volatility. Null when not part of the requested order or outside the regular session.
- zommanumber | nullrequiredChange in gamma for a one point move in implied volatility. Null when not part of the requested order or outside the regular session.
metaobjectrequiredMeta object
paginationobjectrequiredPagination object

Example response

{
  "data": [
    {
      "option_symbol": "SPXW  261016C05800000",
      "underlying_symbol": "SPXW",
      "date_of_expiry": "2026-10-16",
      "strike": 5800,
      "contract_type": "call",
      "timestamp": 1792159198500,
      "bid": 12.3,
      "ask": 12.6,
      "delta": 0.5123,
      "theta": -3.41,
      "vega": 2.87,
      "rho": 0.91,
      "epsilon": -0.77,
      "lambda": 48.2,
      "gamma": 0.0042,
      "vanna": -0.012,
      "charm": 0.0031,
      "vomma": 0.11,
      "veta": 0.04,
      "vera": 0.02,
      "speed": -0.00001,
      "zomma": -0.0002,
      "color": -0.0001,
      "ultima": -0.03,
      "d1": 0.03,
      "d2": 0.01,
      "dual_delta": -0.48,
      "dual_gamma": 0.0009,
      "implied_volatility": 0.182,
      "underlying_timestamp": 1792159198000,
      "underlying_price": 5801.2
    }
  ],
  "meta": {
    "as_of": 1760659200123,
    "coverage": {
      "complete": true
    },
    "delay_ms": 0,
    "delayed": false,
    "request_id": "0199f0c2-5a1e-7c3b-9d4e-2b6f8a1c3d5e",
    "source": "opra"
  },
  "pagination": {
    "count": 1,
    "has_more": false,
    "limit": 1000,
    "next_cursor_id": null,
    "next_url": null
  }
}

Values are illustrative. Missing values are null, never 0.

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