| date |
str |
The date of the price, in the format YYYY-MM-DD |
| close |
float |
The closing price of the options contract. |
| close_bid |
float |
The closing bid price of the options contract. |
| close_ask |
float |
The closing ask price of the options contract. |
| volume |
int |
The cumulative volume of this options contract that traded that day. |
| open |
float |
The price at the beginning of the period |
| open_ask |
float |
The ask at the beginning of the period |
| open_bid |
float |
The bid at the beginning of the period |
| open_interest |
int |
The total number of this options contract that are still open. |
| high |
float |
The highest price over the span of the period |
| low |
float |
The highest price over the span of the period |
| mark |
float |
The mid price between the latest bid and ask spread |
| ask_high |
float |
The highest ask over the span of the period |
| ask_low |
float |
The lowest ask over the span of the period |
| bid_high |
float |
The highest bid over the span of the period |
| bid_low |
float |
The lowest bid over the span of the period |
| implied_volatility |
float |
The implied volatility of the contract calculated using the Black-Scholes Model. |
| delta |
float |
Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price. |
| gamma |
float |
Gamma represents the rate of change between an option's delta and the underlying asset's price. |
| theta |
float |
Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay. |
| vega |
float |
Vega represents the rate of change between an option's value and the underlying asset's implied volatility. |
| close_time |
datetime |
The time of the last trade before close. |
| close_size |
int |
The size of the last trade before close. |
| close_bid_time |
datetime |
The time of the last bid before close. |
| close_bid_size |
int |
The size of the last bid before close. |
| close_ask_time |
datetime |
The time of the last ask before close. |
| close_ask_size |
int |
The size of the last ask before close. |
| exercise_style |
str |
The exercise style. |