From ThetaData — Option Snapshots¶

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

Already fetching option Greeks from a ThetaData terminal? Change the port number — everything else stays the same.

Differences from ThetaData¶

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

bid and ask are always 0.0. Lavender computes Greeks; it does not redistribute OPRA quotes.
Vega/rho/epsilon use ThetaData's per-unit scaling, not the per-1% convention used by every other compat layer. See Greek Scaling below; the values are 100x larger than per-1%.
Several parameters accepted-but-ignored. stock_price, annual_dividend, rate_type, rate_value, use_market_value, version, min_time -- Lavender uses its own model inputs.
v2 wire format also supported — both v3 and v2 endpoints work, though ThetaData is deprecating v2 themselves. See ThetaData v2 below if you have legacy code.

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

What Changes¶

Your current v3 callv3 through LavenderYour current v2 callv2 through Lavender

curl "http://localhost:25510/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=*"
#                    ^^^^^

curl "http://localhost:2112/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=*"
#                     ^^^^

curl "http://localhost:25510/v2/bulk_snapshot/option/all_greeks?root=AAPL&exp=0"
#                    ^^^^^

curl "http://localhost:2112/v2/bulk_snapshot/option/all_greeks?root=AAPL&exp=0"
#                     ^^^^

Change the port. The path, parameters, column names, and output format are all identical.

Try it in your browser¶

http://localhost:2112/v3/option/snapshot/greeks/all?symbol=SPY&expiration=*&max_dte=30&format=html

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

Pick Your Endpoint¶

ThetaData v3 organizes Greek snapshots into five endpoints by Greek order. Lavender supports all five — same paths, same field sets:

Your Current Endpoint	What It Returns
`/v3/option/snapshot/greeks/all`	Full set: first + second + third order, d1, d2, dual Greeks
`/v3/option/snapshot/greeks/first_order`	delta, theta, vega, rho, epsilon, lambda
`/v3/option/snapshot/greeks/second_order`	gamma, vanna, charm, vomma, veta
`/v3/option/snapshot/greeks/third_order`	speed, zomma, color, ultima
`/v3/option/snapshot/greeks/implied_volatility`	IV and IV error only

Gamma is second-order

Following ThetaData's convention, gamma is grouped with second-order Greeks, not first-order. The /greeks/all endpoint returns everything.

All Greeks¶

Your ThetaData callSame call to Lavender

curl "http://localhost:25510/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=20261218&strike=230.0&format=json"

curl "http://localhost:2112/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=20261218&strike=230.0&format=json"

Same response shape — a {"response":[...]} envelope grouping rows by (symbol, expiration, strike, right):

{
  "response": [
    {
      "contract": {
        "symbol": "AAPL",
        "expiration": "2026-12-18",
        "strike": 230.0,
        "right": "CALL"
      },
      "data": [
        {
          "timestamp": "2026-03-06T17:42:14.943",
          "delta": 0.3924,
          "gamma": 0.025,
          "vega": 19.5855,
          "implied_vol": 0.245,
          "underlying_price": 260.5
        }
      ]
    }
  ]
}

Contract identifiers live in contract only; data rows carry the rest. CSV and NDJSON are flat per-row.

Market data fields are zeroed

The bid and ask fields are returned as 0.0. The Greek, IV, and computed fields contain Lavender's computed values.

Field Reference — All Greeks¶

Base Fields¶

Field	Type	Description
`symbol`	string	Underlying ticker
`expiration`	string	Expiration date (`YYYY-MM-DD`)
`strike`	decimal	Strike price
`right`	string	`CALL` or `PUT` (uppercase)
`timestamp`	string	Quote timestamp (ISO 8601)
`bid`	double	Option bid (always 0.0)
`ask`	double	Option ask (always 0.0)

First-Order Greeks¶

Field	Type	Description
`delta`	double	$\partial V / \partial S$
`theta`	double	$\partial V / \partial t$ — per calendar day
`vega`	double	$\partial V / \partial \sigma$
`rho`	double	$\partial V / \partial r$
`epsilon`	double	$\partial V / \partial q$
`lambda`	double	$\Delta \cdot S / V$ (leverage ratio)

Second-Order Greeks¶

Field	Type	Description
`gamma`	double	$\partial^2 V / \partial S^2$
`vanna`	double	$\partial^2 V / \partial S\,\partial \sigma$
`charm`	double	$\partial^2 V / \partial S\,\partial t$ — annualized
`vomma`	double	$\partial^2 V / \partial \sigma^2$
`veta`	double	$\partial^2 V / \partial \sigma\,\partial t$ — per calendar day
`vera`	double	$\partial^2 V / \partial \sigma\,\partial r$

Third-Order Greeks¶

Field	Type	Description
`speed`	double	$\partial^3 V / \partial S^3$
`zomma`	double	$\partial^3 V / \partial S^2\,\partial \sigma$
`color`	double	$\partial^3 V / \partial S^2\,\partial t$ — annualized
`ultima`	double	$\partial^3 V / \partial \sigma^3$

Computed Fields¶

Field	Type	Description
`d1`	double	Black-76 d1 (computed from calibrated forward, strike, vol, time)
`d2`	double	Black-76 d2
`dual_delta`	double	dPrice/dStrike (foreign delta under Black-76)
`dual_gamma`	double	d²Price/dStrike²

Volatility & Underlying¶

Field	Type	Description
`implied_vol`	double	Annualized implied volatility
`iv_error`	double	Always `0.0`. Present for wire compatibility.
`underlying_timestamp`	string	Spot price timestamp (ISO 8601)
`underlying_price`	double	Current underlying spot price

First Order¶

Your ThetaData callSame call to Lavender

curl "http://localhost:25510/v3/option/snapshot/greeks/first_order?symbol=AAPL&expiration=20261218&format=json"

curl "http://localhost:2112/v3/option/snapshot/greeks/first_order?symbol=AAPL&expiration=20261218&format=json"

Base fields plus: delta, theta, vega, rho, epsilon, lambda, implied_vol, iv_error, underlying_timestamp, underlying_price.

Second Order¶

Your ThetaData callSame call to Lavender

curl "http://localhost:25510/v3/option/snapshot/greeks/second_order?symbol=SPY&expiration=*&max_dte=30&format=json"

curl "http://localhost:2112/v3/option/snapshot/greeks/second_order?symbol=SPY&expiration=*&max_dte=30&format=json"

Base fields plus: gamma, vanna, charm, vomma, veta, implied_vol, iv_error, underlying_timestamp, underlying_price.

Third Order¶

Your ThetaData callSame call to Lavender

curl "http://localhost:25510/v3/option/snapshot/greeks/third_order?symbol=SPY&expiration=20261218&right=call&format=csv"

curl "http://localhost:2112/v3/option/snapshot/greeks/third_order?symbol=SPY&expiration=20261218&right=call&format=csv"

Base fields plus: speed, zomma, color, ultima, implied_vol, iv_error, underlying_timestamp, underlying_price.

Implied Volatility¶

Your ThetaData callSame call to Lavender

curl "http://localhost:25510/v3/option/snapshot/greeks/implied_volatility?symbol=AAPL&expiration=*&format=json"

curl "http://localhost:2112/v3/option/snapshot/greeks/implied_volatility?symbol=AAPL&expiration=*&format=json"

Base fields plus: implied_vol, iv_error, underlying_timestamp, underlying_price.

Parameters¶

All five endpoints share the same parameters:

Parameter	Type	Required	Allowed Values	Default
`symbol`	string	Yes	Underlying ticker (e.g., `SPY`)	—
`expiration`	string	Yes	`YYYYMMDD`, `YYYY-MM-DD`, or `*` (all)	—
`strike`	decimal	No	Numeric (e.g., `230.0`) or `*` (all)	`*`
`right`	string	No	`call`, `put`, or `both`	`both`
`max_dte`	integer	No	Maximum days to expiry (non-negative)	—
`strike_range`	integer	No	N strikes above/below ATM per expiry	—
`format`	string	No	`csv`, `json`, `ndjson`, `html`	`csv`

The following ThetaData parameters are accepted but silently ignored — Lavender uses its own model inputs:

annual_dividend, rate_type, rate_value, stock_price, version, min_time, use_market_value

Default format is CSV

The ThetaData compatibility layer defaults to csv, matching ThetaData's convention. The Lavender native API defaults to json.

Response Formats¶

CSV (default)¶

Standard header row followed by data rows:

symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,...
AAPL,2026-12-18,230.0000,CALL,2026-03-06T17:42:14.943,0.0000,0.0000,0.3924,-0.2261,19.5855,...

Content-Type: text/csv; charset=utf-8

JSON envelope¶

JSON wraps rows in a {"response":[...]} envelope. Each element groups by the 4-tuple (symbol, expiration, strike, right):

contract — the four identifier fields
data — an array of row objects with everything else (timestamps, Greeks, IV, underlying)

Snapshot endpoints emit one row per contract, so data is typically length 1.

NDJSON¶

One JSON object per line — each line is a complete contract record:

{"symbol":"AAPL","expiration":"2026-12-18","strike":230.0,"right":"CALL","delta":0.3924,...}
{"symbol":"AAPL","expiration":"2026-12-18","strike":230.0,"right":"PUT","delta":-0.6076,...}

Content-Type: application/x-ndjson; charset=utf-8

HTML¶

Renders a full Greeks table directly in your browser — no code needed. Paste this URL and see all Greeks for SPY's near-term chain:

http://localhost:2112/v3/option/snapshot/greeks/all?symbol=SPY&expiration=*&max_dte=30&format=html

Numeric values are formatted to 4 decimal places. Useful for quick inspection, spot-checking positions, or sharing a link.

Filtering¶

By Expiration¶

Use * for all expirations, or specify a date:

# All expirations
curl "...?symbol=SPY&expiration=*&format=csv"

# Single expiration (both formats accepted)
curl "...?symbol=SPY&expiration=20261218&format=csv"
curl "...?symbol=SPY&expiration=2026-12-18&format=csv"

By Strike¶

curl "...?symbol=AAPL&expiration=20261218&strike=230.0&format=html"

By Strike Range¶

Return only N strikes above and below the ATM strike per expiration. ATM is determined by the call with delta closest to 0.5.

# 5 strikes above + 5 below + ATM = up to 11 strikes × both sides
curl "...?symbol=SPY&expiration=20261218&strike_range=5&format=csv"

By Right¶

curl "...?symbol=SPY&expiration=20261218&right=call&format=csv"

By Max DTE¶

curl "...?symbol=SPY&expiration=*&max_dte=30&format=csv"

Greek Scaling¶

ThetaData is the only vendor that returns vega, rho, and epsilon as raw BSM values (per unit) rather than per 1%. All other 8 supported vendors use per-1%, which matches the Lavender API convention. ThetaData values for these Greeks will be 100× larger than the same Greek on any other endpoint.

Greek	Convention	Notes
Theta, Veta	Per calendar day	Same as all other vendors
Charm, Color	Annualized (per year)	ThetaData convention
Vega, Rho, Epsilon	Per unit (raw BSM)	100× larger than per-1% convention used by other vendors
All others	Standard units	No conversion

All output values are rounded to up to 4 decimal places.

Ignored parameters

ThetaData parameters stock_price, annual_dividend, rate_type, rate_value, and use_market_value are accepted but silently ignored. Lavender uses its own calibrated rates, dividends, and forward prices.

Timestamps

The timestamp field reflects the time of the Lavender computation, not the last market data tick time.

Notes on specific fields¶

Field	Notes
`iv_error`	Always `0.0`. Present for wire compatibility.
`bid`, `ask`	Always 0.0 — Lavender computes Greeks only, not market quotes. Present for wire compatibility.
`vomma`	Also known as volga. Same as `volga` on the Lavender API.

How Lavender's Greeks Differ¶

ThetaData computes Greeks using the standard Black-Scholes formula with European-style assumptions. Running Lavender alongside ThetaData gives you a second perspective that accounts for:

Early exercise — Lavender prices American options, which matters for deep ITM equity options near ex-dividend dates
Discrete dividends — rather than a continuous yield approximation, Lavender uses the actual dividend schedule
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
Two views of time decay — Lavender provides 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

Comparing the two reports side-by-side highlights where these modeling differences matter most for your positions.

Migrating to the Lavender Native API¶

If you want to move from ThetaData-compatible endpoints to the Lavender native API, here are the key field name changes:

ThetaData	Lavender API
`symbol`	`root` (or `underlying` for multi-root)
`expiration`	`expiry`
`underlying_price`	`und_price`
`implied_vol`	`vol`
`vomma`	`volga`

ThetaData v2¶

Lavender also supports ThetaData's v2 bulk snapshot endpoints. The v2 API uses a different response format and parameter naming but returns the same Greeks.

v2 is deprecated

ThetaData is deprecating v2. New integrations should use v3. If you have existing v2 code, it works unchanged with Lavender — just change the port.

v2 Endpoints¶

v2 Endpoint	Equivalent v3 Endpoint	Fields
`/v2/bulk_snapshot/option/greeks`	`/v3/.../greeks/first_order`	delta, theta, vega, rho, epsilon, lambda
`/v2/bulk_snapshot/option/greeks_second_order`	`/v3/.../greeks/second_order`	gamma, vanna, charm, vomma, veta
`/v2/bulk_snapshot/option/all_greeks`	`/v3/.../greeks/all`	All first + second + third order

There are no v2 equivalents for /greeks/third_order or /greeks/implied_volatility — use v3 for those.

v2 Parameters¶

v2 Parameter	v3 Equivalent	Differences
`root`	`symbol`	Same meaning, different name
`exp`	`expiration`	`YYYYMMDD` integer or `0` for all (v3 uses `YYYY-MM-DD` or `*`)
`right`	`right`	`C` or `P` (v3 uses `call`, `put`, or `both`)

The v2 endpoints do not support strike, max_dte, strike_range, or format parameters.

v2 Response Format¶

The v2 response uses a format-header + ticks-array structure — different from v3's JSON shape:

{
  "header": {
    "latency_ms": 0,
    "next_page": null,
    "format": [
      "ms_of_day", "bid", "ask", "delta", "theta", "vega",
      "rho", "epsilon", "lambda", "implied_vol", "iv_error",
      "ms_of_day2", "underlying_price", "date"
    ]
  },
  "response": [
    {
      "contract": {
        "security_type": "OPTION",
        "root": "AAPL",
        "expiration": 20261218,
        "strike": 230000,
        "right": "C"
      },
      "ticks": [
        [63000000, 0.0, 0.0, 0.3924, -0.2261, 19.5855,
         3.7952, -3.9564, 24.5713, 0.245, 0.0,
         63000000, 230.15, 20260314]
      ]
    }
  ]
}

The response also carries a Next-Page: null HTTP header.

Key differences from v3:

Format header — column names are in header.format, not as JSON keys. Zip format[i] with ticks[0][i] to reconstruct named fields.
One contract per response element — each response[] entry has a contract object and a ticks array (always length 1 for snapshots).
Strike in 1/10th cent — 230000 = $230.00. Divide by 1,000 to get dollars.
Expiration as integer — 20261218 instead of "2026-12-18".
Right as single char — "C" or "P" instead of "CALL" / "PUT".
Time as ms_of_day — milliseconds since midnight ET, plus a separate date field (YYYYMMDD integer).

v2 Format Arrays by Endpoint¶

/greeks (first order — 14 fields): ms_of_day, bid, ask, delta, theta, vega, rho, epsilon, lambda, implied_vol, iv_error, ms_of_day2, underlying_price, date

/greeks_second_order (13 fields): ms_of_day, bid, ask, gamma, vanna, charm, vomma, veta, implied_vol, iv_error, ms_of_day2, underlying_price, date

/all_greeks (24 fields): ms_of_day, bid, ask, delta, theta, vega, rho, epsilon, lambda, gamma, vanna, charm, vomma, veta, vera, speed, zomma, color, ultima, implied_vol, iv_error, ms_of_day2, underlying_price, date

Error Responses¶

Status	Condition
`200`	Success
`400`	Missing/invalid `symbol`/`root`, `expiration`/`exp`, `strike`, `right`, `format`, `max_dte`, or `strike_range`
`404`	Unsupported Greek order (e.g., `/greeks/fourth_order`)
`502`	Upstream data unavailable

Error response body¶

Errors return a JSON envelope:

{
  "header": {
    "error_type": "INVALID_PARAMS",
    "error_msg": "Missing symbol"
  },
  "response": []
}

error_type is one of:

Value	Status code
`INVALID_PARAMS`	400
`NO_PAGE_FOUND`	404
`NO_DATA`	500
`DISCONNECTED`	502
`ERROR`	catch-all

Field	Type	Description
`delta`	double	\(\partial V / \partial S\)
`theta`	double	\(\partial V / \partial t\) — per calendar day
`vega`	double	\(\partial V / \partial \sigma\)
`rho`	double	\(\partial V / \partial r\)
`epsilon`	double	\(\partial V / \partial q\)
`lambda`	double	\(\Delta \cdot S / V\) (leverage ratio)

Field	Type	Description
`gamma`	double	\(\partial^2 V / \partial S^2\)
`vanna`	double	\(\partial^2 V / \partial S\,\partial \sigma\)
`charm`	double	\(\partial^2 V / \partial S\,\partial t\) — annualized
`vomma`	double	\(\partial^2 V / \partial \sigma^2\)
`veta`	double	\(\partial^2 V / \partial \sigma\,\partial t\) — per calendar day
`vera`	double	\(\partial^2 V / \partial \sigma\,\partial r\)

Field	Type	Description
`speed`	double	\(\partial^3 V / \partial S^3\)
`zomma`	double	\(\partial^3 V / \partial S^2\,\partial \sigma\)
`color`	double	\(\partial^3 V / \partial S^2\,\partial t\) — annualized
`ultima`	double	\(\partial^3 V / \partial \sigma^3\)

From ThetaData — Option Snapshots¶

Differences from ThetaData¶

What Changes¶

Try it in your browser¶

Pick Your Endpoint¶

All Greeks¶

Field Reference — All Greeks¶

Base Fields¶

First-Order Greeks¶

Second-Order Greeks¶

Third-Order Greeks¶

Computed Fields¶

Volatility & Underlying¶

First Order¶

Second Order¶

Third Order¶

Implied Volatility¶

Parameters¶

Response Formats¶

CSV (default)¶

JSON envelope¶

NDJSON¶

HTML¶

Filtering¶

By Expiration¶

By Strike¶

By Strike Range¶

By Right¶

By Max DTE¶

Greek Scaling¶

Notes on specific fields¶

How Lavender's Greeks Differ¶

Migrating to the Lavender Native API¶

ThetaData v2¶

v2 Endpoints¶

v2 Parameters¶

v2 Response Format¶

v2 Format Arrays by Endpoint¶

Error Responses¶

Error response body¶

See also¶