< 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)

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

NameDescriptionTypeAdditional 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

NameDescriptionTypeAdditional information
options

Options

Collection of OptionData

None.

timestamp

Timestamp

string

None.

symbol

Company symbol

string

None.

implied_underlying_bid

Option Implied Underlying Bid

decimal number

Available for live or delayed requests; returns null for historical requests.

implied_underlying_ask

Option Implied Underlying Ask

decimal number

Available for live or delayed requests; returns null for historical requests.

implied_underlying_bid_size

Option Implied Underlying Bid Size

integer

Available for live or delayed requests; returns null for historical requests.

implied_underlying_ask_size

Option Implied Underlying Ask Size

integer

Available for live or delayed requests; returns null for historical requests.

implied_underlying_mid

Option Implied Underlying Mid-point

decimal number

Available for live or delayed requests; returns null for historical requests.

underlying_mid

Underlying Mid-point

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

For NASDAQ listed securities, field requires subscription to UTP; otherwise, returns null.

underlying_last_trade_price

Underlying last trade price (includes after hours)

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

includes after hours

underlying_last_trade_size

Underlying last trade size

integer

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_bid

Underlying bid

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_ask

Underlying ask

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_bid_size

Underlying bid size

integer

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_ask_size

Underlying ask size

integer

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_open

Underlying open

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_high

Underlying high

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_low

Underlying low

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_close

Underlying close

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

null during market hours, close if after hours

underlying_prev_day_close

Underlying previous day's close

decimal number

None.

underlying_volume

Underlying Volume

integer

None.

iv30

30 day average implied volatility

decimal number

None.

iv30_change

30 day implied volatility change

decimal number

None.

iv30_change_percent

30 day implied volatility change percent

decimal number

None.

seq_no

Sequence number

integer

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_prev_day_close": 0.32,
      "option_last_trade_price": 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_prev_day_close": 80.7,
      "option_last_trade_price": 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,
  "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_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>