Does Polygon support Greeks for index option contracts?

Jul 11, 2023
Updated: Jul 12, 2023

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" } }


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