< API Reference
GET
/allaccess/market/option-and-underlying-quotes?root={root}&option_type={option_type}&date={date}&min_expiry={min_expiry}&max_expiry={max_expiry}&min_strike={min_strike}&max_strike={max_strike}&symbol={symbol}
Get a synchronized snapshot of current options and underlying quotes with a single request. You can retrieve the option chain for an underlying security by calling the method without filters, or filter by root, strike, expiry, option type to hone in on the specific options you need. In addition to the current market, this method will also return Greeks, IV, trade count, and volumes. Historical requests will return an end-of-day snapshot of options and underlying quotes.

Example URI

Live (4 points)

https://api.livevol.com/v1/live/allaccess/market/option-and-underlying-quotes?root=AAPL&option_type=C&date=2019-01-18&min_expiry=2019-02-15&max_expiry=2020-01-01&min_strike=50&max_strike=300&symbol=AAPL

Delayed (8 points)

https://api.livevol.com/v1/delayed/allaccess/market/option-and-underlying-quotes?root=AAPL&option_type=C&date=2019-01-18&min_expiry=2019-02-15&max_expiry=2020-01-01&min_strike=50&max_strike=300&symbol=AAPL

Historical (3 points)

Historical data available from 2011.
To make a historical request, set the 'date' parameter to a day prior to the current day using the live or delayed endpoint.

https://api.livevol.com/v1/live/allaccess/market/option-and-underlying-quotes?root=AAPL&option_type=C&date=2019-01-18&min_expiry=2019-02-15&max_expiry=2020-01-01&min_strike=50&max_strike=300&symbol=AAPL
https://api.livevol.com/v1/delayed/allaccess/market/option-and-underlying-quotes?root=AAPL&option_type=C&date=2019-01-18&min_expiry=2019-02-15&max_expiry=2020-01-01&min_strike=50&max_strike=300&symbol=AAPL

Request Information

URI Parameters

Name Description Type Additional information
root

Option root

string

None

option_type

Option type

string

Allowed values are [ C, P ]

date

Quote date

string

Required

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

min_expiry

Min expiration date in yyyy-MM-dd format

string

Constraint: value should be less than or equal to max_expiry value

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

max_expiry

Max expiration date in yyyy-MM-dd format

string

Constraint: value should be greater than or equal to min_expiry value

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

min_strike

Min Option strike

decimal number

Constraint: value should be less than or equal to max_strike value

Range: inclusive between 0.01 and 1.79769313486232E+308

max_strike

Max Option strike

decimal number

Constraint: value should be greater than or equal to min_strike value

Range: inclusive between 0.01 and 1.79769313486232E+308

symbol

Symbol of the company

string

Required

Response Information

Resource Description

SymbolWithOptions

Name Description Type Additional information SIP Provider

Options

Collection of OptionData

None

None

OptionData

Name Description Type Additional information SIP Provider
root

Option root

string

None

None

expiry

Option expiration date

string

None

None

strike

Option strike

decimal number

None

None

option_type

Option type

string

'C' for Call, 'P' for Put

None

timestamp

Timestamp of option quote

string

None

None

option

Option OSI symbol

string

None

None

option_mid

Option midpoint

decimal number

None

None

option_trade_count

Option trade count

integer

None

None

option_bid

NBBO bid

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_bid_size

NBBO bid size

integer

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_ask

NBBO ask

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_ask_size

NBBO ask size

integer

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_open

Option open

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_high

Option high

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_low

Option low

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_close

Option close

decimal number

Returns close after market hours.

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_last_trade_price

Option last trade price

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

OPRA

option_prev_day_close

Option previous day's close

decimal number

For live or delayed requests, field will display the previous day mid at close.

For historical requests, field will display last traded price at close.

None

iv

Implied volatility

decimal number

None

None

open_interest

Open interest

integer

None

None

option_volume

Option volume

integer

None

None

delta

Delta

decimal number

None

None

gamma

Gamma

decimal number

None

None

vega

Vega

decimal number

None

None

theta

Theta

decimal number

None

None

rho

Rho

decimal number

None

None

timestamp

Timestamp

string

None

None

symbol

Company symbol

string

None

None

implied_underlying_bid

Option Implied Underlying Bid

decimal number

Available for live or delayed requests.

Returns null for historical requests.

None

implied_underlying_ask

Option Implied Underlying Ask

decimal number

Available for live or delayed requests.

Returns null for historical requests.

None

implied_underlying_bid_size

Option Implied Underlying Bid Size

integer

Available for live or delayed requests.

Returns null for historical requests.

None

implied_underlying_ask_size

Option Implied Underlying Ask Size

integer

Available for live or delayed requests.

Returns null for historical requests.

None

implied_underlying_mid

Option Implied Underlying Mid-point

decimal number

Available for live or delayed requests.

Returns null for historical requests.

None

implied_underlying_indicator

Implied Underlying Indicator: green/yellow/red

string

Indicates the width of the implied bid ask spread relative to implied price.

If the implied bid-ask spread < 0.01, returns 'green';

If between 0.01 and 0.02, returns ‘yellow’;

If > 0.02, returns ‘red’.

None

underlying_mid

Underlying Mid-point

decimal number

For NASDAQ listed securities, for live or delayed requests, field requires subscription to UTP; otherwise, returns null

CTA & UTP

CSMI

underlying_last_trade_price

Underlying last trade price

decimal number

includes after hours

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_last_trade_size

Underlying last trade size

integer

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_bid

Underlying bid

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_ask

Underlying ask

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_bid_size

Underlying bid size

integer

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_ask_size

Underlying ask size

integer

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_open

Underlying open

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_high

Underlying high

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_low

Underlying low

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_close

Underlying close

decimal number

Returns null during market hours, close if after hours

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_prev_day_close

Underlying previous day's close

decimal number

None

None

underlying_volume

Underlying Volume

integer

None

None

iv30

30 day average implied volatility

decimal number

None

None

iv30_change

30 day implied volatility change

decimal number

None

None

iv30_change_percent

30 day implied volatility change percent

decimal number

None

None

seq_no

Sequence number

integer

None

None

Response Formats

application/json, text/json

Sample:
{
  "options": [
    {
      "root": "AAPL",
      "expiry": "2018-04-20",
      "strike": 250.0,
      "option_type": "C",
      "timestamp": "09:30:00.001",
      "option": "AAPL180420C00250000",
      "option_mid": 0.21,
      "option_trade_count": 0,
      "option_bid": 0.21,
      "option_bid_size": 553,
      "option_ask": 0.32,
      "option_ask_size": 1148,
      "option_open": 0.32,
      "option_high": 0.32,
      "option_low": 0.32,
      "option_close": 0.32,
      "option_last_trade_price": 0.32,
      "option_prev_day_close": 0.32,
      "iv": 0.27,
      "open_interest": 632,
      "option_volume": 0,
      "delta": 0.0226,
      "gamma": 0.0017,
      "vega": 0.0599,
      "theta": -0.0054,
      "rho": 1.5409
    },
    {
      "root": "AAPL",
      "expiry": "2018-04-20",
      "strike": 250.0,
      "option_type": "P",
      "timestamp": "15:39:58.123",
      "option": "AAPL180420P00250000",
      "option_mid": 77.0,
      "option_trade_count": 77,
      "option_bid": 77.0,
      "option_bid_size": 1,
      "option_ask": 80.7,
      "option_ask_size": 101,
      "option_open": 80.7,
      "option_high": 80.7,
      "option_low": 80.7,
      "option_close": 80.7,
      "option_last_trade_price": 80.7,
      "option_prev_day_close": 80.7,
      "iv": 0.05,
      "open_interest": 0,
      "option_volume": 0,
      "delta": -1.0,
      "gamma": 2.6439,
      "vega": 1.6733,
      "theta": -0.0111,
      "rho": -105.5401
    }
  ],
  "timestamp": "09:30:00.001",
  "symbol": "A",
  "implied_underlying_bid": 43.52,
  "implied_underlying_ask": 44.92,
  "implied_underlying_bid_size": 2,
  "implied_underlying_ask_size": 2,
  "implied_underlying_mid": 44.92,
  "implied_underlying_indicator": "red",
  "underlying_mid": 44.92,
  "underlying_last_trade_price": 45.0399,
  "underlying_last_trade_size": 100,
  "underlying_bid": 43.52,
  "underlying_ask": 44.92,
  "underlying_bid_size": 2,
  "underlying_ask_size": 2,
  "underlying_open": 45.22,
  "underlying_high": 45.52,
  "underlying_low": 44.905,
  "underlying_close": 45.0,
  "underlying_prev_day_close": 44.92,
  "underlying_volume": 1272833,
  "iv30": 22.0862,
  "iv30_change": 0.0862,
  "iv30_change_percent": 0.1781,
  "seq_no": 30346861
}

application/xml, text/xml

Sample:
<symbol xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <implied_underlying_ask>44.92</implied_underlying_ask>
  <implied_underlying_ask_size>2</implied_underlying_ask_size>
  <implied_underlying_bid>43.52</implied_underlying_bid>
  <implied_underlying_bid_size>2</implied_underlying_bid_size>
  <implied_underlying_indicator>red</implied_underlying_indicator>
  <implied_underlying_mid>44.92</implied_underlying_mid>
  <iv30>22.0862</iv30>
  <iv30_change>0.0862</iv30_change>
  <iv30_change_percent>0.1781</iv30_change_percent>
  <seq_no>30346861</seq_no>
  <symbol>A</symbol>
  <timestamp>09:30:00.001</timestamp>
  <underlying_ask>44.92</underlying_ask>
  <underlying_ask_size>2</underlying_ask_size>
  <underlying_bid>43.52</underlying_bid>
  <underlying_bid_size>2</underlying_bid_size>
  <underlying_close>45</underlying_close>
  <underlying_high>45.52</underlying_high>
  <underlying_last_trade_price>45.0399</underlying_last_trade_price>
  <underlying_last_trade_size>100</underlying_last_trade_size>
  <underlying_low>44.905</underlying_low>
  <underlying_mid>44.92</underlying_mid>
  <underlying_open>45.22</underlying_open>
  <underlying_prev_day_close>44.92</underlying_prev_day_close>
  <underlying_volume>1272833</underlying_volume>
  <options>
    <option>
      <delta>0.0226</delta>
      <expiry>2018-04-20</expiry>
      <gamma>0.0017</gamma>
      <iv>0.27</iv>
      <open_interest>632</open_interest>
      <option>AAPL180420C00250000</option>
      <option_ask>0.32</option_ask>
      <option_ask_size>1148</option_ask_size>
      <option_bid>0.21</option_bid>
      <option_bid_size>553</option_bid_size>
      <option_close>0.32</option_close>
      <option_high>0.32</option_high>
      <option_last_trade_price>0.32</option_last_trade_price>
      <option_low>0.32</option_low>
      <option_mid>0.21</option_mid>
      <option_open>0.32</option_open>
      <option_prev_day_close>0.32</option_prev_day_close>
      <option_trade_count>0</option_trade_count>
      <option_type>C</option_type>
      <option_volume>0</option_volume>
      <rho>1.5409</rho>
      <root>AAPL</root>
      <strike>250</strike>
      <theta>-0.0054</theta>
      <timestamp>09:30:00.001</timestamp>
      <vega>0.0599</vega>
    </option>
    <option>
      <delta>-1</delta>
      <expiry>2018-04-20</expiry>
      <gamma>2.6439</gamma>
      <iv>0.05</iv>
      <open_interest>0</open_interest>
      <option>AAPL180420P00250000</option>
      <option_ask>80.7</option_ask>
      <option_ask_size>101</option_ask_size>
      <option_bid>77</option_bid>
      <option_bid_size>1</option_bid_size>
      <option_close>80.7</option_close>
      <option_high>80.7</option_high>
      <option_last_trade_price>80.7</option_last_trade_price>
      <option_low>80.7</option_low>
      <option_mid>77</option_mid>
      <option_open>80.7</option_open>
      <option_prev_day_close>80.7</option_prev_day_close>
      <option_trade_count>77</option_trade_count>
      <option_type>P</option_type>
      <option_volume>0</option_volume>
      <rho>-105.5401</rho>
      <root>AAPL</root>
      <strike>250</strike>
      <theta>-0.0111</theta>
      <timestamp>15:39:58.123</timestamp>
      <vega>1.6733</vega>
    </option>
  </options>
</symbol>