| 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 |
OPRA |
| option_bid_size |
NBBO bid size |
integer |
SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| option_ask |
NBBO ask |
decimal number |
SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| option_ask_size |
NBBO ask size |
integer |
SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| option_open |
Option open |
decimal number |
SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| option_high |
Option high |
decimal number |
SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| option_low |
Option low |
decimal number |
SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| option_close |
Option close |
decimal number |
Returns close after market hours. SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| option_last_trade_price |
Option last trade price |
decimal number |
SIP subscription is required for live or delayed requests; otherwise, returns |
OPRA |
| cboe_theo |
Theoretical price at the computed theoretical implied volatility |
decimal number |
None |
None |
| 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 |
Theoretical implied volatility of the option, computed utilizing the volatility surface of the option chain. Provided by Hanweck and available from 2021-12-06. |
decimal number |
None |
None |
| mid_iv |
Implied volatility at the mid-market option price. Available from 2011. |
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 |
< API Reference