Object: ggOptionChain
This object contains the full Options Chain for an underlying asset at 1-min & 5-min intervals.
Schema
Json
{
"$schema": "http://json-schema.org/draft-07/schema#",
"title": "StockOptionsProfile",
"description": "Describes stock options, including historical data organized by timestamps.",
"type": "object",
"properties": {
"symbol": {
"description": "Underlying stock's ticker symbol.",
"type": "string"
},
"optionType": {
"description": "Type of the option (call or put).",
"type": "string",
"enum": ["call", "put"]
},
"strikePrice": {
"description": "Strike price of the option.",
"type": "number"
},
"expirationDate": {
"description": "Expiration date of the option.",
"type": "string",
"format": "date"
},
"historicalData": {
"description": "Dictionary of historical data for the option, keyed by timestamps.",
"type": "object",
"additionalProperties": {
"type": "object",
"properties": {
"oneMinute": {
"description": "1-minute candle data.",
"type": "object",
"properties": {
"open": { "type": "number" },
"high": { "type": "number" },
"low": { "type": "number" },
"close": { "type": "number" },
"volume": { "type": "integer", "minimum": 0 }
},
"required": ["open", "high", "low", "close", "volume"]
},
"fiveMinute": {
"description": "Optional 5-minute candle data.",
"type": "object",
"properties": {
"open": { "type": "number" },
"high": { "type": "number" },
"low": { "type": "number" },
"close": { "type": "number" },
"volume": { "type": "integer", "minimum": 0 }
},
"required": ["open", "high", "low", "close", "volume"]
}
},
"required": ["oneMinute"]
}
}
},
"required": ["symbol", "optionType", "strikePrice", "expirationDate", "historicalData"]
}Yang
module stock-options-profile {
namespace "http://example.com/stock-options-profile";
prefix sop;
organization "Example Organization";
description "Describes the options for a stock, including historical data keyed by timestamps.";
container stockOptionsProfile {
leaf symbol {
type string;
description "Underlying stock's ticker symbol.";
}
leaf optionType {
type enumeration {
enum call {
description "Call option.";
}
enum put {
description "Put option.";
}
}
description "Type of the option (call or put).";
}
leaf strikePrice {
type decimal64 {
fraction-digits 2;
}
description "Strike price of the option.";
}
leaf expirationDate {
type string;
description "Expiration date of the option.";
}
container historicalData {
description "Dictionary of historical data for the option, keyed by timestamps.";
list candleData {
key "timestamp";
leaf timestamp {
type string;
description "Timestamp marking the beginning of the historical data point.";
}
container oneMinute {
description "1-minute candle data.";
leaf open {
type decimal64 {
fraction-digits 2;
}
}
leaf high {
type decimal64 {
fraction-digits 2;
}
}
leaf low {
type decimal64 {
fraction-digits 2;
}
}
leaf close {
type decimal64 {
fraction-digits 2;
}
}
leaf volume {
type uint64;
description "Volume of options traded.";
}
}
container fiveMinute {
description "Optional 5-minute candle data.";
leaf open {
type decimal64 {
fraction-digits 2;
}
}
leaf high {
type decimal64 {
fraction-digits 2;
}
}
leaf low {
type decimal64 {
fraction-digits 2;
}
}
leaf close {
type decimal64 {
fraction-digits 2;
}
}
leaf volume {
type uint64;
description "Volume of options traded.";
}
}
}
}
}
}Example Object
Json
{
"historicals": [
{
"begins_at": "2023-03-07T06:30:00",
"options_chain": {
"symbol": "AAPL",
"status": "SUCCESS",
"underlying": null,
"strategy": "SINGLE",
"interval": 0.0,
"isDelayed": false,
"isIndex": false,
"interestRate": 5.008,
"underlyingPrice": 153.8,
"volatility": 29.0,
"daysToExpiration": 0.0,
"numberOfContracts": 2202,
"putExpDateMap": {
"2023-03-10:3": {
"142.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P142",
"description": "AAPL Mar 10 2023 142 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.04,
"ask": 0.05,
"last": 0.05,
"mark": 0.05,
"bidSize": 19,
"askSize": 341,
"bidAskSize": "19X341",
"lastSize": 0,
"highPrice": 0.05,
"lowPrice": 0.05,
"openPrice": 0.0,
"closePrice": 0.05,
"totalVolume": 1,
"tradeDate": null,
"tradeTimeInLong": 1678199401260,
"quoteTimeInLong": 1678199403153,
"netChange": 0.0,
"volatility": "NaN",
"delta": "NaN",
"gamma": "NaN",
"theta": "NaN",
"vega": 0.008,
"rho": "NaN",
"openInterest": 4621,
"timeValue": 0.05,
"theoreticalOptionValue": "NaN",
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 142.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 11.11,
"markChange": 0.0,
"markPercentChange": 0.0,
"intrinsicValue": -11.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"143.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P143",
"description": "AAPL Mar 10 2023 143 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.05,
"ask": 0.07,
"last": 0.06,
"mark": 0.06,
"bidSize": 19,
"askSize": 64,
"bidAskSize": "19X64",
"lastSize": 0,
"highPrice": 0.0,
"lowPrice": 0.0,
"openPrice": 0.0,
"closePrice": 0.05,
"totalVolume": 0,
"tradeDate": null,
"tradeTimeInLong": 1678136379721,
"quoteTimeInLong": 1678199403163,
"netChange": 0.0,
"volatility": 33.707,
"delta": -0.025,
"gamma": 0.01,
"theta": -0.035,
"vega": 0.01,
"rho": 0.0,
"openInterest": 3515,
"timeValue": 0.06,
"theoreticalOptionValue": 0.055,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 143.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 9.09,
"markChange": 0.01,
"markPercentChange": 9.09,
"intrinsicValue": -10.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"144.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P144",
"description": "AAPL Mar 10 2023 144 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.07,
"ask": 0.08,
"last": 0.09,
"mark": 0.08,
"bidSize": 19,
"askSize": 30,
"bidAskSize": "19X30",
"lastSize": 0,
"highPrice": 0.0,
"lowPrice": 0.0,
"openPrice": 0.0,
"closePrice": 0.09,
"totalVolume": 0,
"tradeDate": null,
"tradeTimeInLong": 1678136380105,
"quoteTimeInLong": 1678199403163,
"netChange": 0.0,
"volatility": 33.481,
"delta": -0.036,
"gamma": 0.014,
"theta": -0.048,
"vega": 0.014,
"rho": -0.001,
"openInterest": 6064,
"timeValue": 0.09,
"theoreticalOptionValue": 0.085,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 144.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 5.88,
"markChange": -0.01,
"markPercentChange": -11.76,
"intrinsicValue": -9.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"145.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P145",
"description": "AAPL Mar 10 2023 145 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.1,
"ask": 0.11,
"last": 0.11,
"mark": 0.11,
"bidSize": 19,
"askSize": 30,
"bidAskSize": "19X30",
"lastSize": 0,
"highPrice": 0.0,
"lowPrice": 0.0,
"openPrice": 0.0,
"closePrice": 0.12,
"totalVolume": 0,
"tradeDate": null,
"tradeTimeInLong": 1678136381040,
"quoteTimeInLong": 1678199403163,
"netChange": 0.0,
"volatility": 32.497,
"delta": -0.048,
"gamma": 0.018,
"theta": -0.059,
"vega": 0.017,
"rho": -0.001,
"openInterest": 12178,
"timeValue": 0.11,
"theoreticalOptionValue": 0.115,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 145.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -4.35,
"markChange": -0.01,
"markPercentChange": -8.7,
"intrinsicValue": -8.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"146.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P146",
"description": "AAPL Mar 10 2023 146 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.14,
"ask": 0.15,
"last": 0.15,
"mark": 0.15,
"bidSize": 19,
"askSize": 19,
"bidAskSize": "19X19",
"lastSize": 0,
"highPrice": 0.0,
"lowPrice": 0.0,
"openPrice": 0.0,
"closePrice": 0.16,
"totalVolume": 0,
"tradeDate": null,
"tradeTimeInLong": 1678136368723,
"quoteTimeInLong": 1678199403162,
"netChange": 0.0,
"volatility": 31.48,
"delta": -0.064,
"gamma": 0.023,
"theta": -0.071,
"vega": 0.022,
"rho": -0.001,
"openInterest": 14504,
"timeValue": 0.15,
"theoreticalOptionValue": 0.155,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 146.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -3.23,
"markChange": -0.01,
"markPercentChange": -6.45,
"intrinsicValue": -7.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"147.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P147",
"description": "AAPL Mar 10 2023 147 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.2,
"ask": 0.22,
"last": 0.22,
"mark": 0.21,
"bidSize": 43,
"askSize": 30,
"bidAskSize": "43X30",
"lastSize": 0,
"highPrice": 0.28,
"lowPrice": 0.22,
"openPrice": 0.0,
"closePrice": 0.21,
"totalVolume": 5,
"tradeDate": null,
"tradeTimeInLong": 1678199400339,
"quoteTimeInLong": 1678199403172,
"netChange": 0.01,
"volatility": 30.494,
"delta": -0.085,
"gamma": 0.029,
"theta": -0.085,
"vega": 0.027,
"rho": -0.002,
"openInterest": 6979,
"timeValue": 0.22,
"theoreticalOptionValue": 0.21,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 147.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 4.76,
"markChange": 0.0,
"markPercentChange": 0.0,
"intrinsicValue": -6.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"148.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P148",
"description": "AAPL Mar 10 2023 148 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.3,
"ask": 0.31,
"last": 0.31,
"mark": 0.31,
"bidSize": 19,
"askSize": 30,
"bidAskSize": "19X30",
"lastSize": 0,
"highPrice": 0.31,
"lowPrice": 0.31,
"openPrice": 0.0,
"closePrice": 0.31,
"totalVolume": 7,
"tradeDate": null,
"tradeTimeInLong": 1678199401743,
"quoteTimeInLong": 1678199403163,
"netChange": 0.0,
"volatility": 30.119,
"delta": -0.117,
"gamma": 0.038,
"theta": -0.105,
"vega": 0.034,
"rho": -0.002,
"openInterest": 11916,
"timeValue": 0.31,
"theoreticalOptionValue": 0.305,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 148.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 1.64,
"markChange": 0.0,
"markPercentChange": 0.0,
"intrinsicValue": -5.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"149.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P149",
"description": "AAPL Mar 10 2023 149 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.42,
"ask": 0.43,
"last": 0.43,
"mark": 0.43,
"bidSize": 100,
"askSize": 1,
"bidAskSize": "100X1",
"lastSize": 0,
"highPrice": 0.44,
"lowPrice": 0.43,
"openPrice": 0.0,
"closePrice": 0.42,
"totalVolume": 6,
"tradeDate": null,
"tradeTimeInLong": 1678199402070,
"quoteTimeInLong": 1678199403148,
"netChange": 0.01,
"volatility": 29.388,
"delta": -0.155,
"gamma": 0.047,
"theta": -0.124,
"vega": 0.041,
"rho": -0.003,
"openInterest": 8615,
"timeValue": 0.43,
"theoreticalOptionValue": 0.42,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 149.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 2.38,
"markChange": 0.01,
"markPercentChange": 1.19,
"intrinsicValue": -4.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"150.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P150",
"description": "AAPL Mar 10 2023 150 Put (Weekly)",
"exchangeName": "OPR",
"bid": 0.6,
"ask": 0.6,
"last": 0.6,
"mark": 0.6,
"bidSize": 1,
"askSize": 5,
"bidAskSize": "1X5",
"lastSize": 0,
"highPrice": 0.62,
"lowPrice": 0.6,
"openPrice": 0.0,
"closePrice": 0.6,
"totalVolume": 42,
"tradeDate": null,
"tradeTimeInLong": 1678199401600,
"quoteTimeInLong": 1678199403152,
"netChange": 0.0,
"volatility": 29.101,
"delta": -0.206,
"gamma": 0.056,
"theta": -0.145,
"vega": 0.05,
"rho": -0.004,
"openInterest": 32917,
"timeValue": 0.6,
"theoreticalOptionValue": 0.595,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 150.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 0.84,
"markChange": 0.0,
"markPercentChange": 0.84,
"intrinsicValue": -3.79,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"152.5": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P152.5",
"description": "AAPL Mar 10 2023 152.5 Put (Weekly)",
"exchangeName": "OPR",
"bid": 1.27,
"ask": 1.3,
"last": 1.27,
"mark": 1.29,
"bidSize": 14,
"askSize": 62,
"bidAskSize": "14X62",
"lastSize": 0,
"highPrice": 1.36,
"lowPrice": 1.27,
"openPrice": 0.0,
"closePrice": 1.27,
"totalVolume": 39,
"tradeDate": null,
"tradeTimeInLong": 1678199402735,
"quoteTimeInLong": 1678199403164,
"netChange": 0.0,
"volatility": 28.056,
"delta": -0.371,
"gamma": 0.078,
"theta": -0.181,
"vega": 0.066,
"rho": -0.007,
"openInterest": 14481,
"timeValue": 1.27,
"theoreticalOptionValue": 1.27,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 152.5,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 0.0,
"markChange": 0.02,
"markPercentChange": 1.18,
"intrinsicValue": -1.29,
"pennyPilot": true,
"inTheMoney": false,
"mini": false,
"nonStandard": false
}
],
"155.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P155",
"description": "AAPL Mar 10 2023 155 Put (Weekly)",
"exchangeName": "OPR",
"bid": 2.42,
"ask": 2.46,
"last": 2.43,
"mark": 2.44,
"bidSize": 19,
"askSize": 30,
"bidAskSize": "19X30",
"lastSize": 0,
"highPrice": 2.44,
"lowPrice": 2.43,
"openPrice": 0.0,
"closePrice": 2.36,
"totalVolume": 15,
"tradeDate": null,
"tradeTimeInLong": 1678199403038,
"quoteTimeInLong": 1678199403163,
"netChange": 0.07,
"volatility": 26.419,
"delta": -0.581,
"gamma": 0.087,
"theta": -0.168,
"vega": 0.068,
"rho": -0.011,
"openInterest": 16298,
"timeValue": 1.22,
"theoreticalOptionValue": 2.371,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 155.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 2.83,
"markChange": 0.08,
"markPercentChange": 3.25,
"intrinsicValue": 1.21,
"pennyPilot": true,
"inTheMoney": true,
"mini": false,
"nonStandard": false
}
],
"157.5": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P157.5",
"description": "AAPL Mar 10 2023 157.5 Put (Weekly)",
"exchangeName": "OPR",
"bid": 4.1,
"ask": 4.2,
"last": 4.12,
"mark": 4.15,
"bidSize": 47,
"askSize": 30,
"bidAskSize": "47X30",
"lastSize": 0,
"highPrice": 4.12,
"lowPrice": 4.12,
"openPrice": 0.0,
"closePrice": 4.07,
"totalVolume": 1,
"tradeDate": null,
"tradeTimeInLong": 1678199401378,
"quoteTimeInLong": 1678199403163,
"netChange": 0.05,
"volatility": 25.817,
"delta": -0.786,
"gamma": 0.072,
"theta": -0.113,
"vega": 0.05,
"rho": -0.012,
"openInterest": 3709,
"timeValue": 0.41,
"theoreticalOptionValue": 4.075,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 157.5,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 1.13,
"markChange": 0.08,
"markPercentChange": 1.86,
"intrinsicValue": 3.71,
"pennyPilot": true,
"inTheMoney": true,
"mini": false,
"nonStandard": false
}
],
"160.0": [
{
"putCall": "PUT",
"symbol": "AAPL_031023P160",
"description": "AAPL Mar 10 2023 160 Put (Weekly)",
"exchangeName": "OPR",
"bid": 6.05,
"ask": 6.5,
"last": 6.25,
"mark": 6.28,
"bidSize": 91,
"askSize": 90,
"bidAskSize": "91X90",
"lastSize": 0,
"highPrice": 6.25,
"lowPrice": 6.25,
"openPrice": 0.0,
"closePrice": 6.24,
"totalVolume": 30,
"tradeDate": null,
"tradeTimeInLong": 1678199401527,
"quoteTimeInLong": 1678199403163,
"netChange": 0.01,
"volatility": 25.7,
"delta": -0.928,
"gamma": 0.044,
"theta": -0.045,
"vega": 0.023,
"rho": -0.008,
"openInterest": 3862,
"timeValue": 0.04,
"theoreticalOptionValue": 6.241,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 160.0,
"expirationDate": 1678482000000,
"daysToExpiration": 3,
"expirationType": "S",
"lastTradingDay": 1678496400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": 0.14,
"markChange": 0.03,
"markPercentChange": 0.54,
"intrinsicValue": 6.21,
"pennyPilot": true,
"inTheMoney": true,
"mini": false,
"nonStandard": false
}
],
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