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Field Reference

Every field returned by the Lavender API, grouped the way greeks= groups them. Example values come from a single SPX 90-day ATF call snapshot — your live values will differ, but the units and meaning are stable.

Each field is tagged by where the value comes from:

  • Market — observed market data (quote, trade, prior session)
  • Model — computed by Lavender's pricing model (BSM/Black-76/CRR)
  • Calibrated — inferred to make the model consistent with live option prices
  • Structural — from the contract spec or trading calendar

All numeric values are rounded to 6 decimal places in responses.

Identity

Every response row carries these fields so the contract it belongs to is unambiguous. All structural.

Field Type Description Example
underlying string Underlying ticker (e.g. the stock or index the option derives from) SPX
root string Option root — may differ from underlying for multi-root names (e.g. SPX monthlies vs SPXW weeklies) SPX
expiry date Expiration date (yyyy-MM-dd) 2026-07-17
strike decimal Strike price 7075
right string call or put call
osym string Standard OSI contract symbol (21 chars, space-padded root) SPX 260717C07075000

core — essential per-strike Greeks

Default group. Returned unless you override greeks=.

Field Type Units Source Description Example
und_price decimal dollars Market Current underlying price used for this response 7022.95
vol decimal decimal (0.25 = 25%) Model Surface-fitted implied volatility 0.152729
theo decimal dollars Model Model theoretical value 214.359
delta decimal per $1 spot move Model \(\partial V / \partial S\), spot-adjusted 0.514825
gamma decimal per $1 spot move Model \(\partial^2 V / \partial S^2\), spot-adjusted 0.000740
vega decimal per 1% vol Model \(\partial V / \partial \sigma\) 14.0029
theta decimal per calendar day Model \(\partial V / \partial t\) (analytical) -1.14453
decay decimal dollars overnight Model Expected price change from now to the same time on the next trading day (accounts for weekends and holidays) -1.88232
rho decimal per 1% rate Model \(\partial V / \partial r\) 8.66023

See Greek Conventions for sign conventions and the reasoning behind theta vs decay.

extra — cross-Greeks and vol metadata

Add with greeks=core,extra or greeks=all.

Field Type Units Source Description Example
vanna decimal per unit Model \(\partial^2 V / \partial S\,\partial \sigma\) — delta sensitivity to vol 0.0959
volga decimal per unit Model \(\partial^2 V / \partial \sigma^2\) — vega sensitivity to vol (a.k.a. vomma) -13.4099
charm decimal per year Model \(\partial^2 V / \partial S\,\partial t\) — delta decay over time -0.18143
veta decimal per year Model \(\partial^2 V / \partial \sigma\,\partial t\) — vega decay over time 2761.3
bid_vol decimal decimal Market Implied volatility at the bid price 0.151835
ask_vol decimal decimal Market Implied volatility at the ask price 0.153623
prev_vol decimal decimal Market Prior session's mid-price implied volatility 0.150210
confidence decimal 0-1 Model Vol surface quality metric — lower when quotes are wide or sparse 0.0428

exotic — niche and third-order Greeks

Add with greeks=core,exotic or greeks=all. Useful for market-makers, vol funds, and anyone running second-derivative risk.

Field Type Units Source Description Example
speed decimal per unit Model \(\partial^3 V / \partial S^3\) — gamma sensitivity to spot -1.6e-07
zomma decimal per unit Model \(\partial^3 V / \partial S^2\,\partial \sigma\) — gamma sensitivity to vol -0.00485
color decimal per year Model \(\partial^3 V / \partial S^2\,\partial t\) — gamma decay over time -0.00151
ultima decimal per unit Model \(\partial^3 V / \partial \sigma^3\) — volga sensitivity to vol -88.1813
vera decimal per unit Model \(\partial^2 V / \partial \sigma\,\partial r\) — cross-sensitivity of vol and rates -356.541
lambda decimal ratio Model \(\Delta \cdot S / V\) — leverage (percent option move per percent spot move); also known as omega (Ω) 16.867
epsilon decimal per 1% div yield Model \(\partial V / \partial q\) — sensitivity to dividend yield -9.20603

chain — per-expiry pricing inputs

Add with greeks=core,chain. Identical across all rows sharing a (root, expiry) pair.

Field Type Units Source Description Example
forward decimal dollars Calibrated Calibrated forward price for this tenor 7075.58
ex_style string — Structural american or european european
settle string — Structural am (morning) or pm (afternoon) settlement am
days decimal calendar days Structural Fractional calendar days to settlement (AM/PM adjusted) 92.7
t decimal years Structural Variance-weighted time to expiry. Use wherever \(\sigma\sqrt{T}\) appears 0.251175
t_disc decimal years Structural Calendar time to expiry. Use for discounting: \(DF = e^{-r \cdot t_\text{disc}}\) 0.25462
rate decimal annualized Calibrated Risk-free rate, continuously compounded 0.0372
borrow decimal annualized Calibrated Implied stock borrow rate, continuously compounded 0.00776
divs decimal dollars Market Cumulative dividends to expiry 0

See Verify the Greeks for how these combine into a full Black-76 price.

Source legend

Source What it means
Market Direct from quote feeds or prior session's blob
Model Output of Lavender's pricing model — repriced continuously during market hours
Calibrated Inferred from observable option prices so the model matches (forward, borrow, rate)
Structural Fixed by contract spec and the trading calendar (dates, settlement type, time fractions)

Response metadata

Appended as the last column so the "real" data columns come first.

Field Type Description Example
greeks string Echoes the greeks= query parameter — which field groups were requested core,extra,exotic,chain

Common unit gotchas

  • Vega, rho, epsilon are per 1% — to convert to per unit vol or rate, multiply by 100.
  • Theta is per calendar day — not per trading day, and not annualized. To convert to per year, multiply by 365.
  • Charm, veta, color are annualized — to convert to per day, divide by 365.
  • Vol is a decimal, not a percentage — 0.25 means 25% annualized IV.
  • All Greeks are per-share — multiply by 100 (or the contract multiplier) for per-contract values.

See also