Options · Single contract
Options contract greeks EOD
End-of-day Greeks, implied volatility and prices of one contract by trading date.
GET
/v1/options/contract/greeks-eodoptionsContractGreeksEodOne row per trading date with the end-of-day Greeks and implied volatility (computed with whole days to expiry), the underlying price, the day's prices and volume and the closing best bid and offer. Select a range with start_time and end_time (at most 366 days) or one date with date; the default is the last 30 days.
Example request
curl -sS --get "https://api.ordermap.si/v1/options/contract/greeks-eod" \
-H "Authorization: Bearer $ORDERMAP_API_KEY" \
--data-urlencode underlying_symbol=SPXW \
--data-urlencode contract_type=call \
--data-urlencode strike=5800 \
--data-urlencode date_of_expiry=2026-10-16const params = new URLSearchParams({
underlying_symbol: "SPXW",
contract_type: "call",
strike: "5800",
date_of_expiry: "2026-10-16",
});
const res = await fetch(`https://api.ordermap.si/v1/options/contract/greeks-eod?${params}`, {
headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
if (!res.ok) throw new Error(`${res.status} ${await res.text()}`);
const { data, meta } = await res.json();
console.log(data, meta.coverage);Set ORDERMAP_API_KEY to your key. Replace the dates with a recent trading date.
Parameters
7 parameters, 4 required.
| Parameter | Type and limits | Description |
|---|---|---|
underlying_queryrequired | stringat most 8 characterspattern ^[A-Za-z][A-Za-z0-9.]{0,7}$ | 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. |
start_queryoptional | integerunix-msmin 946684800000max 4102444800000 | Start of the range, Unix epoch milliseconds, inclusive. At most 366 days. |
end_queryoptional | integerunix-msmin 946684800000max 4102444800000 | End of the range, Unix epoch milliseconds, exclusive. At most 366 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. |
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>required35 fields insideasknumber | nullrequiredBest offer at the close.ask_sizeinteger | nullrequiredContracts offered at the close.bidnumber | nullrequiredBest bid at the close.bid_sizeinteger | nullrequiredContracts bid at the close.charmnumber | nullrequiredChange in delta per day (delta decay). Null when not part of the requested order or outside the regular session.closenumber | nullrequiredLast trade price of the day.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.highnumber | nullrequiredHighest trade price of the day.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.lownumber | nullrequiredLowest trade price of the day.opennumber | nullrequiredFirst trade price of the day.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.trade_countintegerrequiredTrades.trading_datestringdaterequiredTrading date, YYYY-MM-DD.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.volumeintegerrequiredContracts traded.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
Example response
{
"data": [
{
"option_symbol": "SPXW 261016C05800000",
"trading_date": "2026-10-15",
"open": 11,
"high": 13,
"low": 10.5,
"close": 12.4,
"volume": 1800,
"trade_count": 212,
"bid": 12.3,
"bid_size": 10,
"ask": 12.6,
"ask_size": 12,
"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": 1792094400000,
"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"
}
}Values are illustrative. Missing values are null, never 0.