< API Reference

TheoCalcResult

Name

Description

Type

Additional information

time_stamp

Trade date in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)

string

None

First sibling market info

SiblingInfo

None

SiblingInfo

Name	Description	Type	Additional information
strike	Option strike	decimal number	None
option_type	Option type	string	None
mid_iv	Calculated option mid volatility	decimal number	None
theo_iv	Calculated option theo volatility	decimal number	None
bid	Option bid price	decimal number	None
ask	Option ask price	decimal number	None
theo	Option theo price	decimal number	None
delta	Option delta	decimal number	None
time_stamp	Date time of this snapshot in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)	string	None
stock	Stock price used for IV calculations	decimal number	None

Second sibling market information

SiblingInfo

None

SiblingInfo

Name	Description	Type	Additional information
strike	Option strike	decimal number	None
option_type	Option type	string	None
mid_iv	Calculated option mid volatility	decimal number	None
theo_iv	Calculated option theo volatility	decimal number	None
bid	Option bid price	decimal number	None
ask	Option ask price	decimal number	None
theo	Option theo price	decimal number	None
delta	Option delta	decimal number	None
time_stamp	Date time of this snapshot in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)	string	None
stock	Stock price used for IV calculations	decimal number	None

Market information for the target trade

SiblingInfo

None

SiblingInfo

Name	Description	Type	Additional information
strike	Option strike	decimal number	None
option_type	Option type	string	None
mid_iv	Calculated option mid volatility	decimal number	None
theo_iv	Calculated option theo volatility	decimal number	None
bid	Option bid price	decimal number	None
ask	Option ask price	decimal number	None
theo	Option theo price	decimal number	None
delta	Option delta	decimal number	None
time_stamp	Date time of this snapshot in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)	string	None
stock	Stock price used for IV calculations	decimal number	None

The Calculation Method to get a volatility

CalculationMethod

Range: inclusive between 0 and 6

CalculationMethod

Possible enumeration values:

method_name

The Calculation Method name

string

Possible values are [ BUTTERFLY_1, BUTTERFLY_2, EXTRAPOLATION, SIBLING_MARKET, PREV_DAY_VOLATILITY, USER_DEFINED_VOLATILITY, INTRADAY_LOOK_BACK ]

error_message

Error message

string

None