From LiveVol — Option Quotes¶

Looking for a second source of option Greeks alongside LiveVol, or an independent set of Greeks to compare against the Hanweck analytics engine? Lavender delivers independently computed Greeks through LiveVol's own wire format — no code changes required.

Already fetching option quotes from the Cboe All Access API? Swap the host — your existing code works unchanged.

Beta compatibility

This compatibility layer has automated test coverage but has not yet been validated against live LiveVol API traffic. If you encounter any inconsistencies with LiveVol's wire format, please contact support@lavender-ts.com.

What Changes¶

Your current callSame call through Lavender

curl -H "Authorization: Bearer YOUR_LIVEVOL_TOKEN" \
     "https://api.livevol.com/v1/live/allaccess/market/option-and-underlying-quotes?symbol=SPY&date=2026-03-14"
#      ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

curl "http://localhost:2112/allaccess/market/option-and-underlying-quotes?symbol=SPY"
#     ^^^^^^^^^^^^^^^^^^

Swap the host. Your LiveVol auth header is accepted and ignored.

Try it in your browser¶

http://localhost:2112/allaccess/market/option-and-underlying-quotes?symbol=SPY&format=html

Paste this into any browser to see LiveVol-format Greeks rendered as an HTML table. No code needed.

Same Response Format¶

The JSON you get back is a flat array of option quotes — the same structure LiveVol returns:

[
  {
    "symbol": "SPY",
    "root": "SPY",
    "expiry": "2026-12-18",
    "strike": 570.0,
    "option_type": "C",
    "option": "SPY261218C00570000",
    "delta": 0.4512,
    "gamma": 0.0223,
    "theta": -0.0877,
    "vega": 0.2514,
    "rho": 0.3124,
    "iv": 0.2346,
    "mid_iv": 0.2346,
    "cboe_theo": 18.23,
    "option_bid": 0,
    "option_ask": 0,
    "option_mid": 0,
    "option_last_trade_price": null,
    "option_open": null,
    "option_high": null,
    "option_low": null,
    "option_close": null,
    "option_prev_day_close": null,
    "option_volume": 0,
    "option_trade_count": 0,
    "open_interest": 0,
    "option_bid_size": 0,
    "option_ask_size": 0,
    "underlying_bid": 567.41,
    "underlying_ask": 567.41,
    "underlying_mid": 567.41
  }
]

Market data fields are zeroed

Fields like option_bid, option_ask, option_volume, and open_interest are zeroed. The Greeks, iv, mid_iv, and cboe_theo fields contain Lavender's computed values.

Endpoint¶

GET /allaccess/market/option-and-underlying-quotes

Parameters¶

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying ticker (e.g., `SPY`)
`option_type`	string	No	`C` for calls, `P` for puts (omit for both)
`root`	string	No	Filter by root symbol
`min_strike`	number	No	Minimum strike price
`max_strike`	number	No	Maximum strike price
`min_expiry`	string	No	Minimum expiration (`YYYY-MM-DD`)
`max_expiry`	string	No	Maximum expiration (`YYYY-MM-DD`)
`date`	string	No	Quote date (`YYYY-MM-DD`) — accepted but not used for filtering

Response Fields¶

The response is a flat JSON array (no envelope wrapper). Each element is one option contract.

Identification¶

Field	Type	Description
`symbol`	string	Underlying symbol
`root`	string	Root symbol
`expiry`	string	Expiration date (`YYYY-MM-DD`)
`strike`	number	Strike price
`option_type`	string	`"C"` (call) or `"P"` (put)
`option`	string	OCC symbol (spaces removed)

Greeks¶

Field	Type	Description
`delta`	number	\(\partial V / \partial S\)
`gamma`	number	\(\partial^2 V / \partial S^2\)
`theta`	number	\(\partial V / \partial t\) — per calendar day
`vega`	number	\(\partial V / \partial \sigma\)
`rho`	number	\(\partial V / \partial r\)

Volatility & Pricing¶

Field	Type	Description
`iv`	number	Theoretical implied volatility
`mid_iv`	number	Mid-market implied volatility
`cboe_theo`	number	Theoretical option price

Option Market Data (zeroed)¶

The remaining option fields (option_bid, option_ask, option_mid, option_last_trade_price, option_open, option_high, option_low, option_close, option_prev_day_close, option_volume, option_trade_count, open_interest, option_bid_size, option_ask_size) are present for wire compatibility but contain zeroed or null values. The JSON example above shows the exact structure.

Underlying¶

Field	Type	Description
`underlying_bid`	number	Underlying price
`underlying_ask`	number	Underlying price
`underlying_mid`	number	Underlying price

Greek Scaling¶

All Greeks are in natural units. Theta is returned per calendar day. All output values are rounded to 4 decimal places.

Migrating from LiveVol¶

One change:

Base URL — replace https://api.livevol.com/v1/live (or /v1/delayed) with http://localhost:2112

Your LiveVol auth header is accepted and ignored — leave it or remove it.

The endpoint path, query parameters, response shape, and field names are identical.

How Lavender's Greeks Compare¶

LiveVol is powered by the Hanweck analytics engine — one of the most sophisticated options analytics platforms in the industry. If you're using LiveVol today, your Greeks already account for early exercise, discrete dividends, and advanced modeling effects.

Running Lavender alongside LiveVol gives you a second, independently computed perspective on the same contracts:

Independent model — Lavender computes Greeks using different modeling assumptions. Where the two reports agree, you have confirmation. Where they diverge — particularly around ex-dates, deep ITM, or illiquid strikes — you have a signal worth investigating.
Two views of time decay — conventional theta (\(\partial V / \partial t\)) on this endpoint, plus a separate decay metric (expected change to next trading day, accounting for weekends and holidays) on the Lavender API
Extended Greeks — access second and third-order Greeks via the Lavender API.

Migrating to the Lavender Native API¶

LiveVol	Lavender API
`symbol`	`underlying=` (expands to all roots)
`root` (filter)	`root=` (single root)
`expiry`	`expiry`
`iv`	`lav_vol`
`cboe_theo`	`lav_theo`

Error Responses¶

Status	Condition
`200`	Success
`400`	Missing `symbol` parameter
`502`	Upstream data unavailable