CBOE Options Greeks & Candlesticks Intelligence Actor

An institutional-grade Apify Actor engineered to extract real-time and historical OHLCV Candlesticks, comprehensive Strike-by-Strike Open Interest & Volume distributions, and Full Analytical Primary & Higher-Order Greeks for any US Equity, Index, or ETF traded on the CBOE / OPRA exchanges (e.g., SPY, QQQ, AAPL, NVDA, TSLA, MSFT, AMZN, META, AMD, IWM, GLD, DIA).

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🌟 Key Features

1. Real-Time & Historical OHLCV Candlesticks:

   • High-fidelity price action series across multiple granularities (1d, 1h, 15m, 5m).
   • Open, High, Low, Close, Volume history for technical analysis and spot context.

2. Strike-Level Open Interest & Volume Profiling:

   • Detailed strike-by-strike breakdown for Call OI, Put OI, Net OI ($OI_{call} - OI_{put}$), Call Volume, Put Volume, Net Volume ($Vol_{call} - Vol_{put}$).
   • Aggregate Put-Call Ratios for Open Interest and Volume per expiration cycle.

3. Complete Primary & Higher-Order Options Greeks:

   • Delta ($\Delta$): First-order directional sensitivity to underlying spot price changes.
   • Gamma ($\Gamma$): Second-order sensitivity (rate of change of Delta per $1 spot move).
   • Vega ($\nu$): Sensitivity to implied volatility changes (per 1% IV shift).
   • Theta ($\Theta$): Daily time decay.
   • Vanna ($\frac{\partial\Delta}{\partial\sigma}$): Cross-derivative measuring Delta sensitivity to volatility changes.
   • Charm ($\frac{\partial\Delta}{\partial t}$): Rate of Delta decay over time (Delta decay / DDeltaDTime).
   • Speed ($\frac{\partial\Gamma}{\partial S}$): Third-order derivative measuring Gamma sensitivity to spot changes.
   • Vomma ($\frac{\partial\nu}{\partial\sigma}$): Volga / volatility of Vega (Vega sensitivity to implied volatility).
   • Color ($\frac{\partial\Gamma}{\partial t}$): Gamma decay over time (DGammaDTime).

4. Breakeven & Midpoint Pricing:

   • Accurate Bid/Ask midpoint evaluation and expiration breakeven levels ($\text{Strike} + \text{Call Mid}$, $\text{Strike} - \text{Put Mid}$).

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📥 Input Schema

Parameter	Type	Default	Description
tickers	array	["SPY", "QQQ", "AAPL"]	List of US equity/ETF tickers to analyze.
candlestickResolution	string	"1d"	Bar interval for underlying candlesticks (5m, 15m, 1h, 1d).
candlestickDays	integer	30	Number of days of historical OHLCV candlesticks to fetch (2-365).
maxExpirationsPerTicker	integer	3	Maximum number of upcoming expiration cycles per ticker (1-12).
riskFreeRate	number	0.045	Annualized risk-free interest rate (e.g., 0.045 for 4.5%).
includeCandlesticks	boolean	true	Include OHLCV price action series in output.
includeOiVolumeTable	boolean	true	Include strike-level OI & Volume distribution.
includeFullGreeksTable	boolean	true	Include full Primary & Higher-Order Greeks.

Example Input (INPUT.json)

{
  "tickers": ["SPY", "NVDA", "TSLA"],
  "candlestickResolution": "1d",
  "candlestickDays": 30,
  "maxExpirationsPerTicker": 3,
  "riskFreeRate": 0.045,
  "includeCandlesticks": true,
  "includeOiVolumeTable": true,
  "includeFullGreeksTable": true
}

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📤 Output Structure

1. Default Dataset (Tabular Records)

Each item in the dataset corresponds to a single strike option contract across expirations:

{
  "ticker": "SPY",
  "underlyingPrice": 574.82,
  "expirationDate": "2026-10-16",
  "daysToExpiration": 16,
  "strike": 575.0,
  "callMidPrice": 6.85,
  "putMidPrice": 6.92,
  "impliedVolatilityPct": 14.85,
  "callDelta": 0.5098,
  "putDelta": -0.4902,
  "gamma": 0.021542,
  "vega": 0.7842,
  "callTheta": -0.1984,
  "putTheta": -0.1762,
  "vanna": 0.003412,
  "charmCall": 0.004125,
  "speed": -0.00003512,
  "vomma": 0.004512,
  "color": -0.00045218,
  "callOpenInterest": 14520,
  "putOpenInterest": 18230,
  "netOpenInterest": -3710,
  "callVolume": 4210,
  "putVolume": 5890,
  "netVolume": -1680,
  "callBreakeven": 581.85,
  "putBreakeven": 568.08
}

2. Key-Value Store (OUTPUT)

The Key-Value store contains a structured summary payload with candles, expiration summaries, and strike arrays:

{
  "status": "SUCCESS",
  "timestamp": "2026-09-30T23:20:00Z",
  "tickersCount": 3,
  "totalStrikesAnalyzed": 642,
  "tickers": ["SPY", "NVDA", "TSLA"],
  "data": [
    {
      "ticker": "SPY",
      "underlyingPrice": 574.82,
      "dividendYieldPct": 1.25,
      "candlesticksCount": 30,
      "candlesticks": [ ... ],
      "expirationsEvaluated": 3,
      "expirations": [
        {
          "expirationDate": "2026-10-16",
          "daysToExpiration": 16,
          "strikesCount": 214,
          "totalCallOpenInterest": 352100,
          "totalPutOpenInterest": 489200,
          "netOpenInterest": -137100,
          "putCallRatioOI": 1.39,
          "totalCallVolume": 85400,
          "totalPutVolume": 112300,
          "netVolume": -26900,
          "putCallRatioVolume": 1.31,
          "strikes": [ ... ]
        }
      ]
    }
  ]
}

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🧮 Greeks Calculation Formulas

The Actor utilizes continuous dividend yield Black-Scholes analytical formulations:

$$d_1 = \frac{\ln(S/K) + (r - q + 0.5\sigma^2)T}{\sigma\sqrt{T}}, \quad d_2 = d_1 - \sigma\sqrt{T}$$

• Call Delta: $\Delta_C = e^{-qT} N(d_1)$
• Put Delta: $\Delta_P = -e^{-qT} N(-d_1)$
• Gamma: $\Gamma = \frac{e^{-qT} \phi(d_1)}{S \sigma \sqrt{T}}$
• Vega: $\nu = \frac{S e^{-qT} \phi(d_1) \sqrt{T}}{100}$
• Vanna: $\frac{\partial\Delta}{\partial\sigma} = -e^{-qT} \phi(d_1) \frac{d_2}{\sigma}$
• Speed: $\frac{\partial\Gamma}{\partial S} = -\frac{\Gamma}{S} \left(\frac{d_1}{\sigma\sqrt{T}} + 1\right)$
• Vomma: $\frac{\partial\nu}{\partial\sigma} = \frac{\nu \cdot d_1 d_2}{\sigma}$
• Charm: $\frac{\partial\Delta}{\partial t} = q e^{-qT} N(d_1) - e^{-qT} \phi(d_1) \left[\frac{2(r-q)T - d_2 \sigma \sqrt{T}}{2T \sigma \sqrt{T}}\right]$
• Color: $\frac{\partial\Gamma}{\partial t} = -\Gamma \left[\frac{r-q}{\sigma\sqrt{T}} + \frac{1 - d_1 d_2}{2T}\right]$

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💼 Institutional Use Cases

• Systematic Volatility Arbitrage: Identify mispriced options contracts relative to realized volatility.
• Delta Hedging & Dynamic Portfolio Rebalancing: Automate Greeks exposure tracking across stock & ETF options.
• Dealer Positioning & Liquidity Profiling: Track strike-level Gamma, Vanna, and Charm imbalances to anticipate market maker hedging flows.
• Market Sentiment & Hedging Flow: Monitor Put-Call Open Interest and Volume ratios across key US equities and benchmark indices.

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📜 License

MIT License. Designed for quantitative researchers, hedge funds, algorithmic traders, and financial engineers.