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latestOpenAPI 3.1.02026-08-145096557.0 KB

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us-equity-opt-daily

US Options Daily Analytics

The U.S. Options Daily Analytics dataset provides end-of-day option valuation and risk metrics computed using the last-minute mid-price of each trading session. For each listed U.S. options contract, the dataset includes the theoretical option price, implied volatility, and the full set of standard Greeks: delta, gamma, theta, vega, and rho. Calculations are performed using the Black-Scholes-Merton framework, with closed-form analytical formulas applied to European-style options and a finite-difference numerical pricing model applied to American-style options. To support transparency and downstream validation, the dataset also provides the underlying asset mid-price at the calculation minute and implied volatility convergence codes, indicating the numerical stability and outcome of the volatility solve. This dataset is designed for daily risk monitoring, portfolio analytics, volatility research, and options valuation workflows, where consistent, model-based end-of-day metrics are required.

For more details, please refer to the dataset documentation: US Options Daily Analytics Guide.

<details> <summary>**Advanced Filtering**</summary>

You can provide one or multiple filter expressions based on the dataset's columns to narrow down the results. For example, StartDate.gt=2023-01-01&StartDate.lt=2023-12-31, Ticker=AAPL.

Please refer to the <a href="https://algoseek.com/docs/rest-api/tutorial/advanced-filtering">Advanced Filtering Guide</a> for the extensive reference.

</details>
get/v1/data/us-equity-opt/greeks-daily/{identifier}

Path parameters

identifierstring required

Dataset's security identifier

Dataset's security identifier

Query parameters

periodstring nullable

A string representing the time period for which to retrieve data. The format and accepted values depend on the dataset. If not provided, data for all available periods will be returned.

A string representing the time period for which to retrieve data. The format and accepted values depend on the dataset. If not provided, data for all available periods will be returned.

sortstring nullable

Sorting criteria for the results. Provide a column name with optional prefix '+' for ascending order, or prefix with '-' for descending order. Multiple sorting fields may be supported depending on the dataset. If sort prefix is not provided, the ascending order is applied.

Sorting criteria for the results. Provide a column name with optional prefix '+' for ascending order, or prefix with '-' for descending order. Multiple sorting fields may be supported depending on the dataset. If sort prefix is not provided, the ascending order is applied.

columnsstring nullable

A comma-separated list of columns to include in the response. Use this parameter to select only specific fields from the dataset. If not provided, all available columns will be returned.

A comma-separated list of columns to include in the response. Use this parameter to select only specific fields from the dataset. If not provided, all available columns will be returned.

offsetinteger

Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.

Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.

limitinteger

Maximum number of records to return. Default and maximum values depend on the response format; see format_limits in the schema for details.

Maximum number of records to return. Default and maximum values depend on the response format; see format_limits in the schema for details.

response_format'json' | 'csv' | 'csv_gzip'

Note the lowercase which is used for the consistency with other projects and tools

The type of the data to return

Response

JSON, CSV file, or gzip-compressed CSV file, depending on the value of response_format query parameter

Example response

{
  "data": [
    {
      "TradeDate": "2023-08-02",
      "Ticker": "AAPL",
      "CallPut": "C",
      "OptionStyle": "A",
      "Strike": 50,
      "ExpirationDate": "2023-08-04",
      "YearsToMaturity": 0.0054795,
      "DaysToMaturity": 2,
      "UnderLastMidPrice": 192.59,
      "UnderLastMidTime": "15:59",
      "LastBidPrice": 142.05,
      "LastBidTime": "2023-08-02 15:59:57",
      "LastMidPrice": 142.675,
      "LastAskPrice": 143.3,
      "LastAskTime": "2023-08-02 16:00:00",
      "MidImpliedVol": 1.04889,
      "MidTheoPrice": 142.60498,
      "MidDelta": 1,
      "MidTheta": -0.00749,
      "MidRho": 0.00274,
      "ImpliedVolConvergence": "IntrVal_FlatExtrapol"
    }
  ],
  "pagination": {
    "limit": 1000,
    "next_offset": 2000,
    "offset": 1000
  }
}