Returns a list of the historical end-of-day 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. Available via a 3rd party, contact sales for a trial.
| Name | Type | Description | Notes |
|---|---|---|---|
| symbol | str | The option symbol, corresponding to the underlying security. | |
| expiration | str | The expiration date of the options contract | |
| date | date | The date of the option price. Returns option prices on this date. | [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] |
| 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. | [optional] |
| page_size | int | The number of results to return | [optional] [default to 100] |
| Name | Type | Description |
|---|---|---|
| chain | list[OptionChain] | A list of options for the provided expiration date their respective option prices. |
| Name | Type | Description |
|---|---|---|
| id | str | The Intrinio ID for the Option. |
| code | str | The Intrinio Code for the Option. |
| ticker | str | The ticker symbol of the Security for the Option. |
| expiration | str | 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). A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price before the option's expiration date. A call option gives the holder the right to buy an underlying asset at a specified price, before the option's expiration date. |
| Name | Type | Description |
|---|---|---|
| date | str | The date of the price, in the format YYYY-MM-DD |
| close | float | The closing price of the options contract. |
| close_bid | float | The closing bid price of the options contract. |
| close_ask | float | The closing ask price of the options contract. |
| volume | int | The cumulative volume of this options contract that traded that day. |
| volume_bid | int | The cumulative volume of this options contract that traded on the bid price that day. |
| volume_ask | int | The cumulative volume of this options contract that traded on the ask price that day. |
| trades | int | The number of trades executed that for this options contract on that day. |
| open_interest | int | The total number of this options contract that are still open. |
| open_interest_change | int | The change in the total number of this options contract that are still open from the previous day. |
| next_day_open_interest | int | The total number of this options contract that are still open at the start of the next day. |
| implied_volatility | float | The estimated volatility of the Security's price. Volatility is a statistical measure of dispersion of returns for the Security. Standard deviation of a Security's returns and a market index is an example of a measurement of volatility. Implied volatility approximates the future value of an option, and the option's current value takes this into consideration. |
| implied_volatility_change | float | The change in implied volatility for that day. |
| delta | float | Delta measures the degree to which an options contract is exposed to shifts in the price of the underlying Security. Values of delta range from 0.0 to 1.0 for call options and -1.0 to 0.0 for put options. For example, if a put option has a delta of -0.50, if the price of the underlying Security increases by $1, the price of the put option will decrease by $0.50. |
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