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.

Differences from LiveVol¶

Lavender matches LiveVol's wire format with a few specific differences worth knowing when migrating:

Market-data fields are zeroed. option_bid, option_ask, option_volume, open_interest, and other quote/trade fields come back with 0 or null values. Lavender computes Greeks; it does not redistribute OPRA quotes.
Auth header accepted-but-ignored. Your LiveVol Bearer token is accepted by the listener and discarded.

For the modeling differences (American exercise, discrete dividends, calibrated borrow), see How Lavender's Greeks Differ below.

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 an envelope object with a top-level options[] array plus aggregate snapshot fields (timestamp, symbol, iv30 family, underlying NBBO + OHLC) — the same structure CBOE LiveVol returns:

{
  "symbol": "SPY",
  "timestamp": "15:30:45.123",
  "iv30": 0,
  "iv30_change": 0,
  "iv30_change_percent": 0,
  "seq_no": 1842,
  "implied_underlying_bid": 567.41,
  "implied_underlying_ask": 567.41,
  "implied_underlying_mid": 567.41,
  "implied_underlying_bid_size": 0,
  "implied_underlying_ask_size": 0,
  "implied_underlying_indicator": "green",
  "underlying_bid": 567.41,
  "underlying_ask": 567.41,
  "underlying_mid": 567.41,
  "underlying_last_trade_price": null,
  "underlying_last_trade_size": null,
  "underlying_open": null,
  "underlying_high": null,
  "underlying_low": null,
  "underlying_close": null,
  "underlying_prev_day_close": null,
  "underlying_volume": null,
  "options": [
    {
      "symbol": "SPY",
      "root": "SPY",
      "expiry": "2026-12-18",
      "strike": 570.0,
      "option_type": "C",
      "timestamp": "15:30:45.123",
      "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_volume": 0,
      "option_trade_count": 0,
      "open_interest": 0,
      "option_bid_size": 0,
      "option_ask_size": 0
    }
  ]
}

CSV and NDJSON are flat per-row (one row per option, no envelope wrap).

Market data fields are zeroed

Per-option option_bid, option_ask, option_volume, and open_interest are zeroed. Top-level underlying NBBO is synthesized from the root mid; OHLC fields are null. 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`)

Response Fields¶

The response is an envelope object: top-level fields describe the snapshot as a whole, and options[] is the per-option array.

Top-level fields¶

Field	Type	Description
`symbol`	string	Underlying ticker the request was for
`timestamp`	string	Snapshot time, `HH:mm:ss.fff`
`seq_no`	integer	Monotonic per-process counter
`iv30`, `iv30_change`, `iv30_change_percent`	number	30-day implied vol family. All `0` -- Lavender does not compute a 30-day surface IV here.
`implied_underlying_bid`, `_ask`, `_mid`	number	Synthesized from the root mid with a zero spread.
`implied_underlying_bid_size`, `_ask_size`	integer	`0`
`implied_underlying_indicator`	string	`"green"`
`underlying_bid`, `_ask`, `_mid`	number	Synthesized from the root mid.
`underlying_last_trade_price`, `_last_trade_size`, `_open`, `_high`, `_low`, `_close`, `_prev_day_close`, `_volume`	number/null	All `null` -- Lavender computes Greeks; it does not redistribute OPRA quotes.

Per-option identification¶

Field	Type	Description
`symbol`	string	Underlying ticker (matches the top-level `symbol`)
`root`	string	Option root
`expiry`	string	Expiration date (`YYYY-MM-DD`)
`strike`	number	Strike price
`option_type`	string	`"C"` (call) or `"P"` (put)
`timestamp`	string	Snapshot time, `HH:mm:ss.fff`
`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 per-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 in the response with zeroed or null values.

Greek Scaling¶

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

How Lavender's Greeks Differ¶

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`	`vol`
`cboe_theo`	`theo`

Error Responses¶

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

Error response body¶

Errors return a JSON envelope:

{
  "Message": "Missing symbol"
}