US Options Daily Analytics

GET https://api.devalgoseek.com/api/v1/data/us-equity-opt/opt-greeks-daily#

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.

Advanced Filtering

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 Advanced Filtering Guide for the extensive reference.

Request#

Query Parameters#

sort Sort

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.

columns Columns

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.

offset Offset

Possible values: >= 0

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

Default value: 0

Example: 100

limit Limit

Possible values: >= 0 and <= 100000

Maximum number of records to return. Used to control response size and pagination. If not provided, a default limit is applied by the server.

Default value: 10000

Example: 100

response_format ResponseFormat

Possible values: [json, csv, csv_gzip]

The type of the data to return

Default value: json

Examples:

JSON
CSV Gzip

JSON format (default)

Example: json

Compressed CSV format

Example: csv_gzip

Responses#

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

application/json
text/csv
application/gzip

Schema
Example (auto)

Schema

data object[]required

Array [

TradeDatedate

The trading day

Example: 2023-08-02

Tickerstring

Symbol name

Example: AAPL

CallPutstring

Option contract class: C for Call or P for Put

Example: C

OptionStylestring

Option contract expiration style: A for American or E for European

Example: A

Strikenumber

Option contract strike price

Example: 50

ExpirationDatedate

Expiration date of the option contract

Example: 2023-08-04

YearsToMaturitynumber

The amount of time in years until the contract expires

Example: 0.0054795

DaysToMaturityinteger

The number of days until the contract expires

Example: 2

UnderLastMidPricenumber

Underlying Ticker NBBO Mid price at the last minute traded

Example: 192.59

UnderLastMidTimedate-time

The minute bar for UnderLastMidPrice

Example: 15:59

LastBidPricenumber

The NBBO bid price at the last minute traded

Example: 142.05

LastBidTimedate-time

Time of the last bid price

Example: 2023-08-02 15:59:57

LastMidPricenumber

The NBBO mid price at the last minute traded

Example: 142.675

LastAskPricenumber

The NBBO ask price at the last minute traded

Example: 143.3

LastAskTimedate-time

Time of the last bid price

Example: 2023-08-02 16:00:00

MidImpliedVolnumber

The implied volatility as per LastMidPrice

Example: 1.04889

MidTheoPricenumber

The theoretical price calculated for LastMidPrice

Example: 142.60498

MidDeltanumber

The change in option price with respect to underlying price

Example: 1

MidGammanumber

The change in option delta with respect to underlying price

Example: 0

MidThetanumber

The change in option price with respect to time

Example: -0.00749

MidVeganumber

The change in option price with respect to implied volatility

Example: 0

MidRhonumber

The change in option price with respect to interest rate

Example: 0.00274

ImpliedVolConvergencestring

The status indicating if the implied volatility was calculated using the pricing model directly, interpolated using nearby contracts, or showing calculations could not converge

Example: IntrVal_FlatExtrapol

]

pagination objectrequired

offsetinteger

The number of records skipped to fetch the current page

Default value: 0

limitintegerrequired

The maximum number of records in the current page

next_offsetinteger

The number of records to skip to fetch the next page

{
  "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,
      "MidGamma": 0,
      "MidTheta": -0.00749,
      "MidVega": 0,
      "MidRho": 0.00274,
      "ImpliedVolConvergence": "IntrVal_FlatExtrapol"
    }
  ],
  "pagination": {
    "limit": 1000,
    "next_offset": 2000,
    "offset": 1000
  }
}

Schema
Example (auto)

Schema

stringbinary

"string"

Schema
Example (auto)

Schema

stringbinary

"string"

Validation Error

application/json

Schema
Example (auto)

Schema

detail object[]

Array [

loc object[]required

Array [

anyOf

string
integer

string

]

msgstringrequired

typestringrequired

inputInput

ctxobject

]

{
  "detail": [
    {
      "loc": [
        "string",
        0
      ],
      "msg": "string",
      "type": "string",
      "ctx": {}
    }
  ]
}

Authorization: X-API-KEY#

name: X-API-KEYtype: apiKeyin: header

HTTPCLIENT
RESTSHARP

var client = new HttpClient();
var request = new HttpRequestMessage(HttpMethod.Get, "https://api.devalgoseek.com/api/v1/data/us-equity-opt/opt-greeks-daily");
request.Headers.Add("Accept", "application/json");
request.Headers.Add("X-API-KEY", "<X-API-KEY>");
var response = await client.SendAsync(request);
response.EnsureSuccessStatusCode();
Console.WriteLine(await response.Content.ReadAsStringAsync());

Response

Click the Send API Request button above and see the response here!

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