Returns all option stats (greeks and implied volatility) as well as the underlying factors used to calculate them, for a particular option contract.
| Name | Description | Example |
|---|---|---|
|
identifier
* required
|
The Intrinio ID or code of the options contract to request prices for. | AAPL230120C00090000 |
|
source
|
Realtime or 15-minute delayed contracts.
Options:
realtime
delayed
show more
show less
|
realtime |
|
show_extended_price
|
Whether to include open close high low type fields. | false |
|
identifier
* required
The Intrinio ID or code of the options contract to request prices for.
|
||
|
source
* required
Realtime or 15-minute delayed contracts.
|
||
|
show_extended_price
* required
Whether to include open close high low type fields.
|
| Name | Description | Type |
|---|---|---|
| stats | object | |
|
implied_volatility
|
The implied volatility of the contract calculated using the Black-Scholes Model. | number |
|
delta
|
Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price. | number |
|
gamma
|
Gamma represents the rate of change between an option's delta and the underlying asset's price. | number |
|
theta
|
Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay. | number |
|
vega
|
Vega represents the rate of change between an option's value and the underlying asset's implied volatility. | number |
|
underlying_price
|
The most recent trade price of the underlying asset. | number |
| factors | object | |
|
market_price
|
The market price of the options contract | number |
|
underlying_price
|
The market price of the underlying asset | number |
|
strike_price
|
The strike price of the options contract | number |
|
days_to_expiration
|
The number of days to expiration | number |
|
risk_free_interest_rate
|
The current risk-free interest rate, as measured by the 3-month Treasury Bill rate | number |
|
dividend_yield
|
The divident yield of the underlying asset (if applicable) | number |
| option | object | |
|
code
|
The Intrinio Code for the Option. | string |
|
ticker
|
The ticker symbol of the Security for the Option. | string |
|
expiration
|
The date on which the Option expires. The Option becomes invalid after this date and cannot be exercised. | date |
|
strike
|
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. | number |
|
type
|
The type of Option (put or call). | select |
|
stats
|
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|
factors
|
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|
option
|
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