From Polygon.io — Option Snapshots¶

Looking for a second source of option Greeks alongside Polygon.io, or an alternative option snapshot API with dividend-aware, early-exercise-aware pricing and extended Greeks? Lavender delivers independently computed Greeks through Polygon.io's own wire format — no code changes required.

Already fetching option snapshots from Polygon.io? Swap the host — everything else stays the same.

Differences from Polygon.io¶

Lavender matches Polygon.io's JSON wire format with two specific differences worth knowing when migrating:

Market-data fields are zeroed. last_quote, last_trade, open_interest, and day come back populated with 0 values. Lavender computes Greeks; it does not redistribute OPRA quotes. Downstream consumers reading these fields (spread monitors, OI trend jobs) will receive zeros.
No rho in greeks. Matches Polygon's own omission. Rho is available via the Lavender API.

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

What Changes¶

Your current callWith Lavender

curl -H "Authorization: Bearer YOUR_POLYGON_KEY" \
     "https://api.polygon.io/v3/snapshot/options/AAPL"
#      ^^^^^^^^^^^^^^^^^^

curl "http://localhost:2112/v3/snapshot/options/AAPL"
#     ^^^^^^^^^^^^^^^^^^^^^^^^^^^

Swap the host. Your existing auth header is accepted and ignored. Same path, same response shape.

Try it in your browser¶

http://localhost:2112/v3/snapshot/options/SPY?format=html

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

Same Response Format¶

The JSON you get back has the same structure — a results array of option snapshots:

{
  "request_id": "a1b2c3d4e5f6",
  "status": "OK",
  "results": [
    {
      "break_even_price": 237.42,
      "details": {
        "contract_type": "call",
        "exercise_style": "american",
        "expiration_date": "2026-12-18",
        "shares_per_contract": 100,
        "strike_price": 230.0,
        "ticker": "O:AAPL261218C00230000"
      },
      "greeks": {
        "delta": 0.5834,
        "gamma": 0.0198,
        "theta": -0.1425,
        "vega": 0.312
      },
      "implied_volatility": 0.245,
      "fmv": 7.42,
      "underlying_asset": {
        "ticker": "AAPL",
        "price": 233.15,
        "value": 233.15,
        "last_updated": 1710435045123000000,
        "timeframe": "REAL-TIME"
      },
      "last_quote": {
        "ask": 0,
        "bid": 0,
        "midpoint": 0,
        "last_updated": 1710435045123000000,
        "timeframe": "REAL-TIME"
      },
      "last_trade": {
        "price": 0,
        "sip_timestamp": 1710435045123000000,
        "timeframe": "REAL-TIME"
      },
      "open_interest": 0,
      "day": {
        "last_updated": 1710435045123000000
      }
    }
  ]
}

Market data fields are zeroed

The last_quote, last_trade, open_interest, and day fields are returned with zeroed values. The greeks, implied_volatility, and fmv fields contain Lavender's computed values.

Endpoint¶

GET /v3/snapshot/options/{underlyingAsset}

The underlying symbol is part of the URL path (e.g., /v3/snapshot/options/SPY). Case-insensitive.

Query Parameters¶

All parameters are optional:

Parameter	Type	Description
`contract_type`	string	`call` or `put`
`strike_price`	number	Exact strike match
`strike_price.gte`	number	Strike >= value
`strike_price.gt`	number	Strike > value
`strike_price.lte`	number	Strike <= value
`strike_price.lt`	number	Strike < value
`expiration_date`	string	Exact expiration (`YYYY-MM-DD`)
`expiration_date.gte`	string	Expiration >= date (`YYYY-MM-DD`)
`expiration_date.gt`	string	Expiration > date
`expiration_date.lte`	string	Expiration <= date
`expiration_date.lt`	string	Expiration < date
`order`	string	Sort direction (`asc` or `desc`)
`sort`	string	Sort field (`strike_price`, `expiration_date`, `ticker`)
`limit`	integer	Max results returned (default 10, max 250)
`cursor`	string	Opaque pagination token from `next_url`. Round-trip only.
`format`	string	`json` (default), `csv`, `ndjson`, `html` — Lavender extension, not in real Polygon API

Pagination¶

Responses include next_url when more contracts remain. Follow it as-is -- the embedded cursor is opaque, not meant to be parsed or synthesized. When next_url is absent, you've reached the last page.

import requests

url = "http://localhost:2112/v3/snapshot/options/SPY?limit=250"
while url:
    r = requests.get(url).json()
    for snap in r["results"]:
        ...  # process snap
    url = r.get("next_url")

If the cursor references a contract that no longer exists (the chain refreshed between calls), results start from page 1 with HTTP 200.

Response Fields¶

Top Level¶

Field	Type	Description
`request_id`	string	Unique request identifier
`status`	string	`"OK"` on success
`results`	array	Array of option snapshots

Per-Contract Snapshot¶

Details¶

Field	Type	Description
`contract_type`	string	`"call"` or `"put"`
`exercise_style`	string	`"american"` or `"european"`
`expiration_date`	string	`YYYY-MM-DD`
`shares_per_contract`	integer	Typically `100`
`strike_price`	number	Strike price
`ticker`	string	OCC symbol with `O:` prefix (e.g., `O:AAPL261218C00230000`)

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	\(\partial V / \partial \sigma\)

No rho

Following Polygon.io's convention, rho is not included in the Greeks object.

Other Computed Fields¶

Field	Type	Description
`implied_volatility`	number	Annualized implied volatility (decimal, e.g., 0.245 = 24.5%)
`fmv`	number	Fair market value (theoretical option price)
`break_even_price`	number	Strike + theo (calls) or strike - theo (puts). Null if theo <= 0

Underlying Asset¶

Field	Type	Description
`ticker`	string	Underlying symbol
`price`	number	Current spot price
`value`	number	Same as price
`last_updated`	number	Timestamp (nanoseconds since epoch)
`timeframe`	string	`"REAL-TIME"`

Greek Scaling¶

Theta is returned per calendar day. All other Greeks pass through without rescaling. All output values are rounded to 4 decimal places.

How Lavender's Greeks Differ¶

Polygon.io computes Greeks using a Black-Scholes model with European-style assumptions. Running Lavender alongside Polygon.io gives you a second perspective that accounts for:

Early exercise — Lavender prices American options, which matters for equity options near ex-dividend dates where European models undervalue early exercise
Discrete dividends — Lavender uses the actual dividend schedule rather than a continuous yield approximation
Implied borrow rates — Lavender solves for the borrow rate per expiry to enforce put-call parity, producing consistent call/put Greeks even in hard-to-borrow names
Rho — Lavender computes rho internally, though this endpoint omits it to match Polygon.io's format. Access rho via the Lavender API
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 vanna, charm, volga, speed, and more via the Lavender API

Migrating to the Lavender Native API¶

Polygon.io	Lavender API
`/{underlyingAsset}` in path	`underlying=` query param
`details.strike_price`	`strike`
`details.expiration_date`	`expiry`
`implied_volatility`	`vol`
`greeks.delta`	`delta` (flat)
`fmv`	`theo`

Error Responses¶

Status	Condition
`200`	Success
`400`	Missing underlying symbol in path, invalid parameter values
`502`	Upstream data unavailable

Error response body¶

Errors return a JSON envelope:

{
  "status": "ERROR",
  "request_id": "a1b2c3d4e5f6...",
  "error": "Missing underlying symbol in path",
  "message": "Missing underlying symbol in path",
  "results": []
}