Options · Single contract
Options contract greeks
Greeks and implied volatility of one contract at an interval.
GET
/v1/options/contract/greeksoptionsContractGreeksThe Greeks and implied volatility of one contract sampled at an interval, oldest first, paginated with cursor_id. Greeks are computed during the regular session (09:30-16:15 ET) only, so the route covers that session; the overnight session is not available and meta.coverage.note says so. Select a range with start_time and end_time (at most 31 days) or one trading date with date; the default is the latest regular session.
Example request
curl -sS --get "https://api.ordermap.si/v1/options/contract/greeks" \
-H "Authorization: Bearer $ORDERMAP_API_KEY" \
--data-urlencode underlying_symbol=SPXW \
--data-urlencode contract_type=call \
--data-urlencode strike=5800 \
--data-urlencode date_of_expiry=2026-10-16const params = new URLSearchParams({
underlying_symbol: "SPXW",
contract_type: "call",
strike: "5800",
date_of_expiry: "2026-10-16",
});
const res = await fetch(`https://api.ordermap.si/v1/options/contract/greeks?${params}`, {
headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
if (!res.ok) throw new Error(`${res.status} ${await res.text()}`);
const { data, meta } = await res.json();
console.log(data, meta.coverage);
// Paginated: repeat with cursor_id set to pagination.next_cursor_id until it is null.Set ORDERMAP_API_KEY to your key. Replace the dates with a recent trading date.
Parameters
11 parameters, 4 required.
| Parameter | Type and limits | Description |
|---|---|---|
underlying_queryrequired | stringat most 8 characterspattern ^[A-Za-z][A-Za-z0-9.]{0,7}$ | Option root of the contract, at most six characters: SPXW (weekly and daily, PM-settled) and SPX (monthly, AM-settled) are different roots, as are NDXP and NDX, RUTW and RUT, QQQ, SPY, XSP ... |
contract_queryrequired | stringcallput | call or put. |
strikequeryrequired | number> 0max 99999.999 | Strike price in dollars with at most three decimals, for example 5800 or 5812.5. |
date_queryrequired | stringdate | Expiration date of the contract, YYYY-MM-DD. |
greek_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. |
intervalqueryoptional | string1m5m10m15m30m1hdefault 5m | Sampling interval. |
start_queryoptional | integerunix-msmin 946684800000max 4102444800000 | Start of the range, Unix epoch milliseconds, inclusive. At most 31 days. |
end_queryoptional | integerunix-msmin 946684800000max 4102444800000 | End of the range, Unix epoch milliseconds, exclusive. At most 31 days. |
datequeryoptional | stringdate | One trading date, YYYY-MM-DD, instead of start_time and end_time. With a session of gth the window starts on the evening before. |
limitqueryoptional | integerdefault 1000min 1max 5000 | Maximum rows to return. |
cursor_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>required27 fields insideasknumber | 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.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.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.thetanumber | nullrequiredTime decay: change in the option price per calendar day. Null when not part of the requested order or outside the regular session.timestampintegerunix-msrequiredStart of the interval. 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_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 objectpaginationobjectrequiredPagination object
Example response
{
"data": [
{
"option_symbol": "SPXW 261016C05800000",
"timestamp": 1792157700000,
"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": 1792157699000,
"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.