Does Polygon support Greeks for index option contracts?

Yes, Polygon does support Greeks data for all index option contracts. When querying for this data, you need to prefix the underlying index symbol with “I:“. For instance, to query for the SPX index, your API request would look like this: https://api.polygon.io/v3/snapshot/options/I:SPX?apiKey=***

Here is an example response:

{ "results": [ { "day": { "change": 0.35, "change_percent": 25.926, "close": 1.7, "high": 3.5, "last_updated": 1689120000000000000, "low": 1.35, "open": 3.3, "previous_close": 1.35, "volume": 41840, "vwap": 2.5245 }, "details": { "contract_type": "call", "exercise_style": "european", "expiration_date": "2023-07-12", "shares_per_contract": 100, "strike_price": 4500, "ticker": "O:SPXW230712C04500000" }, "greeks": { "delta": 0.1747164662893937, "gamma": 0.015204164984227357, "theta": -5.994369119247097, "vega": 0.38594323616299553 }, "implied_volatility": 0.11856240507153987, "last_quote": { "ask": 1.65, "ask_size": 37, "bid": 1.6, "bid_size": 123, "last_updated": 1689174023516476700, "midpoint": 1.625, "timeframe": "REAL-TIME" }, "last_trade": { "sip_timestamp": 1689174023261703200, "conditions": [ 209 ], "price": 1.65, "size": 1, "exchange": 302, "timeframe": "REAL-TIME" }, "open_interest": 4501, "underlying_asset": { "last_updated": 1680814651655000000, "value": 4483.78, "ticker": "I:SPX", "timeframe": "REAL-TIME" } }