Live Derived Data API

Get live options data calculated in real-time with less than 10 seconds of market delay. These endpoints are the same as the Live Data API endpoints, except they do not include OPRA data, which means the bid-ask price, size, and volume are null.

Note that when querying live data, the stockPrice field is calculated using put-call parity and may not reflect the exact stock price. The stockPrice field is exact after 15 minutes.

Data endpoint url:

Name
https://api.orats.io/datav2/live/derived
Description

GEThttps://api.orats.io/datav2/live/derived/strikes

Strikes

Retrieves live strikes data.

Required attributes

Name
ticker
Type
string
Description
The ticker to retrieve. Ex: AAPL

Request

GET

https://api.orats.io/datav2/live/derived/strikes

curl "https://api.orats.io/datav2/live/derived/strikes?token=my-token&ticker=AAPL"

Response

{
  "data": [
    {
      "ticker": "AAPL",
      "tradeDate": "2023-11-03",
      "expirDate": "2023-11-17",
      "dte": 15,
      "strike": 142,
      "stockPrice": 176.78,
      "callVolume": null,
      "callOpenInterest": 1,
      "callBidSize": null,
      "callAskSize": null,
      "putVolume": null,
      "putOpenInterest": 11,
      "putBidSize": null,
      "putAskSize": null,
      "callBidPrice": null,
      "callValue": 34.847005,
      "callAskPrice": null,
      "putBidPrice": null,
      "putValue": 0.064241,
      "putAskPrice": null,
      "callBidIv": 0,
      "callMidIv": 0.669167,
      "callAskIv": 0.669167,
      "smvVol": 0.427,
      "putBidIv": 0.467989,
      "putMidIv": 0.474548,
      "putAskIv": 0.481108,
      "residualRate": -0.000407409278413811,
      "delta": 0.9977013824960196,
      "gamma": 0.00026128369956380463,
      "theta": -0.006033209901090589,
      "vega": 0.0011255723343416414,
      "rho": 0.054453503683180964,
      "phi": -0.06780357744864979,
      "driftlessTheta": -0.0015153161530037957,
      "callSmvVol": 0.373175,
      "putSmvVol": 0.429939,
      "extSmvVol": 0.348752,
      "extCallValue": 34.84518,
      "extPutValue": 0.001449,
      "spotPrice": 176.78,
      "quoteDate": "2023-11-03T19:59:44Z",
      "updatedAt": "2023-11-03T19:59:57Z",
      "snapShotEstTime": "1600",
      "snapShotDate": "2023-11-03T20:00:00Z",
      "expiryTod": "pm"
    },
    ...
  ]
}

GEThttps://api.orats.io/datav2/live/derived/strikes/monthly

Strikes by Expiry

Retrieves live strikes data by expiration dates.

Required attributes

Name
ticker
Type
string
Description
The ticker to retrieve. Ex: AAPL
Name
expiry
Type
string
Description
Comma delimited expiration dates. Ex: 2023-11-10,2023-11-17

Request

GET

https://api.orats.io/datav2/live/derived/strikes/monthly

curl -L "https://api.orats.io/datav2/live/derived/strikes/monthly?token=my-token&ticker=AAPL&expiry=2023-11-10,2023-11-17"

Response

{
  "data": [
    {
      "ticker": "AAPL",
      "tradeDate": "2023-11-03",
      "expirDate": "2023-11-10",
      "dte": 8,
      "strike": 135,
      "stockPrice": 176.78,
      "callVolume": null,
      "callOpenInterest": 270,
      "callBidSize": null,
      "callAskSize": null,
      "putVolume": null,
      "putOpenInterest": 326,
      "putBidSize": null,
      "putAskSize": null,
      "callBidPrice": null,
      "callValue": 41.78,
      "callAskPrice": null,
      "putBidPrice": null,
      "putValue": 0.01,
      "putAskPrice": null,
      "callBidIv": 0,
      "callMidIv": 1.1551967096013305,
      "callAskIv": 1.1551967096013305,
      "smvVol": 2.912,
      "putBidIv": 0,
      "putMidIv": 0.6867602203706308,
      "putAskIv": 0.6867602203706308,
      "residualRate": 0,
      "delta": 0.9999999999999902,
      "gamma": -5.424555380588343e-16,
      "theta": 0,
      "vega": 0.000019999997526814374,
      "rho": 0,
      "phi": 0,
      "driftlessTheta": 0,
      "callSmvVol": 1.684224682433136,
      "putSmvVol": 2.9702257373060243,
      "extSmvVol": 0.3487517502877988,
      "extCallValue": 41.80084830601278,
      "extPutValue": 6.938238481033761e-9,
      "spotPrice": 176.78,
      "quoteDate": "2023-11-03T19:59:44Z",
      "updatedAt": "2023-11-03T20:00:29Z",
      "expiryTod": "pm"
    },
    ...
  ]
}

GEThttps://api.orats.io/datav2/live/derived/strikes/options

Strikes by OPRA

Retrieves live strikes data by list of single options.

Required attributes

Name
tickers
Type
string
Description
Comma delimited OCC option symbols or underlying.
The OCC option symbol consists of four parts:
1. Root symbol of the underlying stock or ETF, padded with spaces to 6 characters
2. Expiration date, 6 digits in the format YYMMDD
3. Option type, either P or C, for put or call
4. Strike price, as the price x 1000, front padded with 0s to 8 digits

Request

GET

https://api.orats.io/datav2/live/derived/strikes/options

curl -L "https://api.orats.io/datav2/live/derived/strikes/options?token=my-token&tickers=AAPL230915C00175000,SPXW230317C04000000,VIXW230222P00020000,MSFT,IBM,AMZN"

Response

{
  "data": [
    {
      "ticker": "VIX",
      "optionSymbol": "VIXW230222P00020000",
      "tradeDate": "2023-02-03",
      "expirDate": "2023-02-22",
      "dte": 20,
      "strike": 20,
      "optionType": "Put",
      "stockPrice": 20.939351930930865,
      "volume": null,
      "openInterest": 609,
      "bidSize": null,
      "askSize": null,
      "bidPrice": null,
      "optValue": 0.9561060458605364,
      "askPrice": null,
      "bidIv": 0.7186810564051117,
      "midIv": 0.770273439101075,
      "askIv": 0.8218658217970384,
      "smvVol": 0.767,
      "residualRate": 0.0006429682602533522,
      "delta": 0.6445440317377228,
      "gamma": 0.10697872745802872,
      "theta": -0.03807004163269267,
      "vega": 0.017458321670381048,
      "rho": 0.005658583000284636,
      "phi": -0.0065899756567512095,
      "driftlessTheta": -0.03664097826777429,
      "optSmvVol": 0.7680412349659224,
      "extSmvVol": 0.8053869894000583,
      "extOptValue": 1.0212646998232824,
      "spotPrice": 20.01,
      "quoteDate": "2023-02-03T20:45:35Z",
      "updatedAt": "2023-02-03T20:45:47Z",
      "expiryTod": "am"
    },
    {
      "ticker": "SPX",
      "optionSymbol": "SPXW230317C04000000",
      "tradeDate": "2023-02-03",
      "expirDate": "2023-03-17",
      "dte": 43,
      "strike": 4000,
      "optionType": "Call",
      "stockPrice": 4123.9918580692365,
      "volume": null,
      "openInterest": 2241,
      "bidSize": null,
      "askSize": null,
      "bidPrice": null,
      "optValue": 192.9239738811763,
      "askPrice": null,
      "bidIv": 0.18536612689061044,
      "midIv": 0.18833419474509266,
      "askIv": 0.19130226259957492,
      "smvVol": 0.192,
      "residualRate": -0.0035423139470171262,
      "delta": 0.7306021896796264,
      "gamma": 0.0012838355801659208,
      "theta": -1.3983169341672217,
      "vega": 4.4865603321040926,
      "rho": 3.262093346854842,
      "phi": -3.483629713514347,
      "driftlessTheta": -1.0086338012279499,
      "optSmvVol": 0.1883850205351402,
      "extSmvVol": 0.20054964267640804,
      "extOptValue": 198.7022112777489,
      "spotPrice": 4136.78,
      "quoteDate": "2023-02-03T20:45:35Z",
      "updatedAt": "2023-02-03T20:45:44Z",
      "expiryTod": "pm"
    },
    {
      "ticker": "AAPL",
      "optionSymbol": "AAPL230915C00175000",
      "tradeDate": "2023-02-03",
      "expirDate": "2023-09-15",
      "dte": 225,
      "strike": 175,
      "optionType": "Call",
      "stockPrice": 154.93,
      "volume": null,
      "openInterest": 17491,
      "bidSize": null,
      "askSize": null,
      "bidPrice": null,
      "optValue": 6.436764917057624,
      "askPrice": null,
      "bidIv": 0.25166285377728825,
      "midIv": 0.252810042825454,
      "askIv": 0.25395723187361974,
      "smvVol": 0.253,
      "residualRate": -0.001958829998850505,
      "delta": 0.3394409447941169,
      "gamma": 0.012363029369889842,
      "theta": -0.02945496191456257,
      "vega": 0.44072210974017695,
      "rho": 0.2863111037574353,
      "phi": -0.3237916862381646,
      "driftlessTheta": -0.024204274582774528,
      "optSmvVol": 0.2525063799813928,
      "extSmvVol": 0.22819338605196937,
      "extOptValue": 5.362257906361914,
      "spotPrice": 154.93,
      "quoteDate": "2023-02-03T20:45:29Z",
      "updatedAt": "2023-02-03T20:45:39Z",
      "expiryTod": "pm"
    },
    {
      "ticker": "MSFT",
      "stockPrice": 257.7,
      "bid": 257.7,
      "ask": 257.71,
      "bidSize": 1,
      "askSize": 3,
      "volume": 21520794,
      "quoteDate": "2023-02-03T20:45:47Z",
      "updatedAt": "2023-02-03T20:45:47Z"
    },
    {
      "ticker": "IBM",
      "stockPrice": 136.51,
      "bid": 136.5,
      "ask": 136.52,
      "bidSize": 2,
      "askSize": 2,
      "volume": 2598769,
      "quoteDate": "2023-02-03T20:45:39Z",
      "updatedAt": "2023-02-03T20:45:39Z"
    },
    {
      "ticker": "AMZN",
      "stockPrice": 103.21,
      "bid": 103.2,
      "ask": 103.22,
      "bidSize": 2,
      "askSize": 5,
      "volume": 122900739,
      "quoteDate": "2023-02-03T20:45:50Z",
      "updatedAt": "2023-02-03T20:45:50Z"
    },
    ...
  ]
}