Returns a list of the latest National Best Bid & Offer (NBBO) top of the order book size and premium (bid / ask), the latest trade size and premium as well as the greeks and implied volatility for all option contracts currently associated with the option chain.
Name | Type | Description | Notes |
---|---|---|---|
symbol | str | The option symbol, corresponding to the underlying security. | |
expiration | str | The expiration date of the options contract | |
source | str | Realtime or 15-minute delayed contracts. | [optional] |
type | str | The option contract type. | [optional] |
strike | float | The strike price of the option contract. This will return options contracts with strike price equal to this price. | [optional] |
strike_greater_than | float | The strike price of the option contract. This will return options contracts with strike prices greater than this price. | [optional] |
strike_less_than | float | The strike price of the option contract. This will return options contracts with strike prices less than this price. | [optional] |
volume_greater_than | float | The volume of the option contract. This will return options contracts with volumes greater than this amount. | [optional] |
volume_less_than | float | The volume of the option contract. This will return options contracts with volumes less than this amout. | [optional] |
open_interest_greater_than | float | The open interest of the option contract. This will return options contracts with open interest greater than this amount. | [optional] |
open_interest_less_than | float | The open interest of the option contract. This will return options contracts with open interest less than this amount. | [optional] |
moneyness | str | The moneyness of the options contracts to return. ‘all' will return all options contracts. ‘in_the_money' will return options contracts that are in the money (call options with strike prices below the current price, put options with strike prices above the current price). ‘out_of_they_money' will return options contracts that are out of the money (call options with strike prices above the current price, put options with strike prices below the current price). ‘near_the_money' will return options contracts that are $0.50 or less away from being in the money. Requires subscription to realtime stock price data. | [optional] |
stock_price_source | str | Source for underlying price for calculating Greeks. | [optional] |
model | str | Model for calculating Greek values. Default is black_scholes. | [optional] |
show_extended_price | bool | Whether to include open close high low type fields. | [optional] |
include_related_symbols | bool | Include related symbols that end in a 1 or 2 because of a corporate action. | [optional] |
Name | Type | Description |
---|---|---|
chain | list[OptionChainRealtime] | A list of realtime options for the provided expiration date their respective option prices. |
Name | Type | Description |
---|---|---|
code | str | The Intrinio Code for the Option. |
ticker | str | The ticker symbol of the Security for the Option. |
expiration | date | The date on which the Option expires. The Option becomes invalid after this date and cannot be exercised. |
strike | float | The strike price is the fixed price at which a derivative can be exercised, and refers to the price of the derivative's underlying asset. In a call option, the strike price is the price at which the option holder can purchase the underlying security. For a put option, the strike price is the price at which the option holder can sell the underlying security. |
type | str | The type of Option (put or call). |
Name | Type | Description |
---|---|---|
last | float | The price of the last trade |
last_size | int | The size of the last trade |
last_timestamp | datetime | The time of the last trade |
volume | int | The cumulative volume of this options contract that traded that day. |
ask | float | The price of the top ask order |
ask_size | int | The size of the top ask order |
ask_timestamp | datetime | The timestamp of the top ask order |
bid | float | The price of the top bid order |
bid_size | int | The size of the top bid order |
bid_timestamp | datetime | The time of the top bid order |
open_interest | int | The total number of this options contract that are still open. |
exercise_style | str | The exercise style of the option. ("A" = "American", "E" = "European") |
Name | Type | Description |
---|---|---|
implied_volatility | float | The implied volatility of the contract calculated using the Black-Scholes Model. |
delta | float | Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price. |
gamma | float | Gamma represents the rate of change between an option's delta and the underlying asset's price. |
theta | float | Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay. |
vega | float | Vega represents the rate of change between an option's value and the underlying asset's implied volatility. |
underlying_price | float | The most recent trade price of the underlying asset. |
Name | Type | Description |
---|---|---|
bid_open | float | The price of the bid at open |
bid_high | float | The high bid so far today |
bid_low | float | The low bid so far today |
ask_open | float | The price of the ask at open |
ask_high | float | The high ask so far today |
ask_low | float | The low ask so far today |
trade_open | float | The price of the trade at open |
trade_high | float | The high trade so far today |
trade_low | float | The low trade so far today |
ask_close | float | The price of ask at close today |
bid_close | float | The price of bid at close today |
trade_close | float | The price of the last trade of the day |
mark | float | The mark price |