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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.

Numeric values are rounded to 6 significant figures in responses, except und_price, forward and confidence (3 decimal places), rate and borrow (6) and days (2).

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 Description Example
und_price decimal dollars Current underlying price used for this response 7022.95
vol decimal decimal (0.25 = 25%) Implied volatility 0.152729
theo decimal dollars Model theoretical value 214.359
delta decimal per $1 spot move \(\partial V / \partial S\), spot-based (forward Greek × \(F/S\)); |delta| can exceed 1 under high borrow / negative carry 0.514825
gamma decimal per $1 spot move \(\partial^2 V / \partial S^2\), spot-based 0.000740
vega decimal per 1% vol \(\partial V / \partial \sigma\) 14.0029
theta decimal per calendar day \(\partial V / \partial t\) -1.14453
decay decimal dollars overnight 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 \(\partial V / \partial r\) 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 Description Example
vanna decimal per unit \(\partial^2 V / \partial S\,\partial \sigma\) — delta sensitivity to vol 0.0959
volga decimal per unit \(\partial^2 V / \partial \sigma^2\) — vega sensitivity to vol (a.k.a. vomma) -13.4099
charm decimal per calendar day \(\partial^2 V / \partial S\,\partial t\) — delta decay over time -0.000497
veta decimal per calendar day \(\partial^2 V / \partial \sigma\,\partial t\) — vega decay over time (per unit vol) 0.075652
bid_vol decimal decimal Implied volatility at the bid price 0.151835
ask_vol decimal decimal Implied volatility at the ask price 0.153623
prev_vol decimal decimal Prior session's mid-price implied volatility 0.150210
confidence decimal 0-1 Quality metric for the implied volatility 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 Description Example
speed decimal per unit \(\partial^3 V / \partial S^3\) — gamma sensitivity to spot -1.6e-07
zomma decimal per unit \(\partial^3 V / \partial S^2\,\partial \sigma\) — gamma sensitivity to vol -0.00485
color decimal per calendar day \(\partial^3 V / \partial S^2\,\partial t\) — gamma decay over time -0.00000414
ultima decimal per unit \(\partial^3 V / \partial \sigma^3\) — volga sensitivity to vol -88.1813
vera decimal per unit \(\partial^2 V / \partial \sigma\,\partial r\) — cross-sensitivity of vol and rates -356.541
lambda decimal ratio \(\Delta \cdot S / V\) — leverage (percent option move per percent spot move); also known as omega (Ω) 16.867
epsilon decimal per 1% div yield \(\partial V / \partial q\) — 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 Description Example
forward decimal dollars Forward price for this expiry 7075.58
ex_style string — american or european european
settle string — am (morning) or pm (afternoon) settlement am
days decimal calendar days Fractional calendar days to settlement (AM/PM adjusted) 92.7
t decimal years Time to expiry used in the option-pricing formulas 0.251175
t_disc decimal years Time to expiry used for discounting 0.25462
rate decimal annualized Risk-free rate, continuously compounded 0.0372
borrow decimal annualized Implied stock borrow rate, continuously compounded 0.00776
divs decimal dollars Cumulative dividends to expiry 0

See Verify the Greeks for a worked result.

Response metadata

Appended after the "real" data columns. ts is always rightmost so callers can find it in a known position regardless of which field groups were selected.

Field Type Description Example
greeks string Echoes the greeks= query parameter — which field groups were requested core,extra,exotic,chain
ts string Wall-clock ET time when this row was repriced. ISO 8601, millisecond precision. Marks when the reprice started, not when it finished. Use it to distinguish whether two API pulls return the same snapshot or a refresh. Present on /l1/greeks and /l1/chains; pinned rightmost on every row. 2026-05-12T13:04:02.595

Common unit gotchas

  • Vega is per 1 vol point — the dollar change for a 1% absolute IV move (e.g. 25% → 26%); stored ×0.01 relative to the raw per-unit-vol derivative. To convert to per unit vol, multiply by 100.
  • Rho and epsilon are per 1% — per a 1% move in the rate / borrow (×0.01). To convert to per unit, multiply by 100.
  • Delta is spot-based — reported per $1 of spot (forward Greek × \(F/S\)), so |delta| can exceed 1 under high borrow or negative carry. This is expected, not an error.
  • Theta is per calendar day — not per trading day, and not annualized. To convert to per year, multiply by 365. It is forward-fixed; for the actual overnight P&L use decay, which reprices to the next trading day.
  • Charm, veta, color are per calendar day — the time-derivative greeks, on the same basis as theta (veta is per unit vol — raw, like the other higher-order greeks, not per 1%).
  • 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