Options Analytics - Greeks and Implied Volatility - Sample Messages
Get Greeks and Implied Volatility Products
{
"payload": [
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E1A",
"undlyProductCode": "ES",
"sym": [
"E1AH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E1B",
"undlyProductCode": "ES",
"sym": [
"E1BH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E1C",
"undlyProductCode": "ES",
"sym": [
"E1CH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E1D",
"undlyProductCode": "ES",
"sym": [
"E1DH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E2A",
"undlyProductCode": "ES",
"sym": [
"E2AG26",
"E2AH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E2B",
"undlyProductCode": "ES",
"sym": [
"E2BG26",
"E2BH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E2C",
"undlyProductCode": "ES",
"sym": [
"E2CG26",
"E2CH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E2D",
"undlyProductCode": "ES",
"sym": [
"E2DG26",
"E2DH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E3A",
"undlyProductCode": "ES",
"sym": [
"E3AH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E3B",
"undlyProductCode": "ES",
"sym": [
"E3BG26",
"E3BH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E3C",
"undlyProductCode": "ES",
"sym": [
"E3CG26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E3D",
"undlyProductCode": "ES",
"sym": [
"E3DG26",
"E3DM26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E4A",
"undlyProductCode": "ES",
"sym": [
"E4AG26",
"E4AH26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E4B",
"undlyProductCode": "ES",
"sym": [
"E4BG26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E4C",
"undlyProductCode": "ES",
"sym": [
"E4CG26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "E4D",
"undlyProductCode": "ES",
"sym": [
"E4DG26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "ES",
"undlyProductCode": "ES",
"sym": [
"ESH26",
"ESM26",
"ESU26",
"ESZ26",
"ESH27"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "EW",
"undlyProductCode": "ES",
"sym": [
"EWG26",
"EWH26",
"EWJ26",
"EWK26",
"EWM26",
"EWN26",
"EWU26",
"EWZ26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "EW1",
"undlyProductCode": "ES",
"sym": [
"EW1H26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "EW2",
"undlyProductCode": "ES",
"sym": [
"EW2G26",
"EW2H26",
"EW2J26"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "EW3",
"undlyProductCode": "ES",
"sym": [
"EW3G26",
"EW3H26",
"EW3J26",
"EW3K26",
"EW3N26",
"EW3Q26",
"EW3U26",
"EW3V26",
"EW3X26",
"EW3Z26",
"EW3F27",
"EW3G27"
]
},
{
"assetClass": "EQUITIES",
"exchMic": "XCME",
"productCode": "EW4",
"undlyProductCode": "ES",
"sym": [
"EW4H26",
"EW4J26"
]
}
],
"metadata": {
"pageSize": 1000,
"elementsInResponse": 22
}
}Get latest Greeks and Implied Volatility
{
"payload": [
{
"businessDt": "2026-05-11",
"transactTime": "2026-05-11T13:02:01Z",
"modelType": "BlackScholes",
"assetClass": "EQUITIES",
"instrument": {
"exchMic": "XCME",
"productCode": "EX",
"sym": "EXK26",
"undlyProductCode": "MES",
"undlySym": "MESM26",
"undlyPx": 7407.875,
"exerStyle": "Euro",
"dte": 18.457
},
"values": [
{
"globexSym": "EXK26 C7400",
"strikePx": 7400,
"putCallInd": "C",
"optStat": "ITM",
"moneyness": 1,
"impliedVol": 0.1482,
"impliedVolBid": 0.1463,
"impliedVolAsk": 0.1501,
"theoPx": 102.25084,
"delta": 0.51846,
"gamma": 0.00161,
"theta": -2.6596,
"vega": 6.62607,
"rho": -5.17051
},
{
"globexSym": "EXK26 P7400",
"strikePx": 7400,
"putCallInd": "P",
"optStat": "OTM",
"moneyness": 1,
"impliedVol": 0.1487,
"impliedVolBid": 0.1476,
"impliedVolAsk": 0.1498,
"theoPx": 94.75084,
"delta": -0.47979,
"gamma": 0.00161,
"theta": -2.66863,
"vega": 6.62609,
"rho": -4.79126
},
{
"globexSym": "EXK26 C7410",
"strikePx": 7410,
"putCallInd": "C",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1472,
"impliedVolBid": 0.1455,
"impliedVolAsk": 0.1489,
"theoPx": 96.62494,
"delta": 0.50226,
"gamma": 0.00162,
"theta": -2.64453,
"vega": 6.63369,
"rho": -4.88603
},
{
"globexSym": "EXK26 P7410",
"strikePx": 7410,
"putCallInd": "P",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.147,
"impliedVolBid": 0.1453,
"impliedVolAsk": 0.1487,
"theoPx": 98.62494,
"delta": -0.49599,
"gamma": 0.00163,
"theta": -2.64145,
"vega": 6.63369,
"rho": -4.98716
},
{
"globexSym": "EXK26 C7420",
"strikePx": 7420,
"putCallInd": "C",
"optStat": "OTM",
"moneyness": 1,
"impliedVol": 0.146,
"impliedVolBid": 0.1445,
"impliedVolAsk": 0.1475,
"theoPx": 91.00177,
"delta": 0.48581,
"gamma": 0.00164,
"theta": -2.62179,
"vega": 6.63019,
"rho": -4.60168
},
{
"globexSym": "EXK26 P7420",
"strikePx": 7420,
"putCallInd": "P",
"optStat": "ITM",
"moneyness": 1,
"impliedVol": 0.1462,
"impliedVolBid": 0.1443,
"impliedVolAsk": 0.1481,
"theoPx": 103.25178,
"delta": -0.51239,
"gamma": 0.00163,
"theta": -2.62692,
"vega": 6.63021,
"rho": -5.22113
}
]
}
],
"metadata": {
"pageSize": 2000,
"elementsInResponse": 283
}
}Get Greeks and Implied Volatility History
{
"payload": [
{
"businessDt": "2026-05-11",
"transactTime": "2026-05-11T12:02:01Z",
"modelType": "BlackScholes",
"assetClass": "EQUITIES",
"instrument": {
"exchMic": "XCME",
"productCode": "EX",
"sym": "EXK26",
"undlyProductCode": "MES",
"undlySym": "MESM26",
"undlyPx": 7415.625,
"exerStyle": "Euro",
"dte": 18.499
},
"values": [
{
"globexSym": "EXK26 C7420",
"strikePx": 7420,
"putCallInd": "C",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1455,
"impliedVolBid": 0.1438,
"impliedVolAsk": 0.1472,
"theoPx": 94.62493,
"delta": 0.49846,
"gamma": 0.00164,
"theta": -2.61439,
"vega": 6.64829,
"rho": -4.7957
},
{
"globexSym": "EXK26 P7420",
"strikePx": 7420,
"putCallInd": "P",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1459,
"impliedVolBid": 0.1451,
"impliedVolAsk": 0.1466,
"theoPx": 99.24993,
"delta": -0.49973,
"gamma": 0.00164,
"theta": -2.62177,
"vega": 6.64829,
"rho": -5.0301
}
]
},
{
"businessDt": "2026-05-11",
"transactTime": "2026-05-11T12:07:01Z",
"modelType": "BlackScholes",
"assetClass": "EQUITIES",
"instrument": {
"exchMic": "XCME",
"productCode": "EX",
"sym": "EXK26",
"undlyProductCode": "MES",
"undlySym": "MESM26",
"undlyPx": 7411.625,
"exerStyle": "Euro",
"dte": 18.495
},
"values": [
{
"globexSym": "EXK26 C7410",
"strikePx": 7410,
"putCallInd": "C",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1466,
"impliedVolBid": 0.1451,
"impliedVolAsk": 0.1481,
"theoPx": 98.24997,
"delta": 0.50833,
"gamma": 0.00163,
"theta": -2.63247,
"vega": 6.64231,
"rho": -4.97848
},
{
"globexSym": "EXK26 P7410",
"strikePx": 7410,
"putCallInd": "P",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1468,
"impliedVolBid": 0.146,
"impliedVolAsk": 0.1475,
"theoPx": 96.74997,
"delta": -0.48989,
"gamma": 0.00163,
"theta": -2.63561,
"vega": 6.64231,
"rho": -4.90247
}
]
},
{
"businessDt": "2026-05-11",
"transactTime": "2026-05-11T12:12:01Z",
"modelType": "BlackScholes",
"assetClass": "EQUITIES",
"instrument": {
"exchMic": "XCME",
"productCode": "EX",
"sym": "EXK26",
"undlyProductCode": "MES",
"undlySym": "MESM26",
"undlyPx": 7410.125,
"exerStyle": "Euro",
"dte": 18.492
},
"values": [
{
"globexSym": "EXK26 C7410",
"strikePx": 7410,
"putCallInd": "C",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1468,
"impliedVolBid": 0.1451,
"impliedVolAsk": 0.1485,
"theoPx": 97.62503,
"delta": 0.5059,
"gamma": 0.00163,
"theta": -2.63639,
"vega": 6.64116,
"rho": -4.94589
},
{
"globexSym": "EXK26 P7410",
"strikePx": 7410,
"putCallInd": "P",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1472,
"impliedVolBid": 0.1464,
"impliedVolAsk": 0.1479,
"theoPx": 97.75003,
"delta": -0.49231,
"gamma": 0.00162,
"theta": -2.64313,
"vega": 6.64116,
"rho": -4.95222
}
]
},
{
"businessDt": "2026-05-11",
"transactTime": "2026-05-11T12:17:01Z",
"modelType": "BlackScholes",
"assetClass": "EQUITIES",
"instrument": {
"exchMic": "XCME",
"productCode": "EX",
"sym": "EXK26",
"undlyProductCode": "MES",
"undlySym": "MESM26",
"undlyPx": 7410.125,
"exerStyle": "Euro",
"dte": 18.488
},
"values": [
{
"globexSym": "EXK26 C7410",
"strikePx": 7410,
"putCallInd": "C",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.147,
"impliedVolBid": 0.1455,
"impliedVolAsk": 0.1485,
"theoPx": 97.75003,
"delta": 0.50591,
"gamma": 0.00162,
"theta": -2.64027,
"vega": 6.64054,
"rho": -4.95129
},
{
"globexSym": "EXK26 P7410",
"strikePx": 7410,
"putCallInd": "P",
"optStat": "ATM",
"moneyness": 1,
"impliedVol": 0.1468,
"impliedVolBid": 0.1461,
"impliedVolAsk": 0.1476,
"theoPx": 97.50003,
"delta": -0.49233,
"gamma": 0.00163,
"theta": -2.63687,
"vega": 6.64054,
"rho": -4.93863
}
]
}
],
"metadata": {
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"elementsInResponse": 8
}
}