Cme Options Greeks Data Live
Pricing
Pay per usage
Cme Options Greeks Data Live
Analyzes CME Futures Options and QuikStrike volatility surfaces across Commodities (Crude Oil, Gold), Equity Index Futures (E-mini S&P 500, Nasdaq), Treasury Bonds, and FX Futures. Key Capabilities: Volatility smile and term structure modeling across contract expirations.
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Pay per usage
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khalid naami
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CME Futures Options Greeks, Candlesticks & Volume Intelligence Actor
Institutional-grade quantitative options data engine for CME Group Futures Options. Extracts OHLCV Candlestick Price Action, Strike-by-Strike Primary & Higher-Order Greeks Tables, and Open Interest & Volume Distributions calibrated to official QuikStrike volatility surfaces.
🏛️ Supported CME Group Products
| Product | Symbol | Underlying Benchmark | Asset Class |
|---|---|---|---|
| Gold Options | GC / OG | COMEX Gold Futures (GC=F) | Metals |
| Silver Options | SI / SO | COMEX Silver Futures (SI=F) | Metals |
| Crude Oil WTI | CL / LO | NYMEX Crude Oil Futures (CL=F) | Energy |
| S&P 500 E-mini | ES / EW | CME S&P 500 E-mini (ES=F) | Equity Indices |
| Nasdaq 100 E-mini | NQ / QN | CME Nasdaq 100 E-mini (NQ=F) | Equity Indices |
| Dow Jones E-mini | YM | CBOT Dow Jones E-mini (YM=F) | Equity Indices |
| Euro FX | 6E | EUR/USD Futures (EURUSD=X) | Foreign Exchange |
| British Pound FX | 6B | GBP/USD Futures (GBPUSD=X) | Foreign Exchange |
| Japanese Yen FX | 6J | USD/JPY Futures (JPY=X) | Foreign Exchange |
| Bitcoin Futures | BTC / MBT | CME Bitcoin Futures (BTC-USD) | Cryptocurrencies |
| Ether Futures | ETH / MET | CME Ether Futures (ETH-USD) | Cryptocurrencies |
🚀 Key Data Tables & Quantitative Features
1. Strike-by-Strike Greeks Dataset
- Primary Greeks:
callDelta,putDelta: Direct directional sensitivity.gamma: Curvature / rate of change of Delta.vega: Sensitivity to $1%$ shift in Implied Volatility.callTheta,putTheta: Daily time decay erosion.
- Higher-Order Quantitative Greeks:
vanna: Cross-derivative $\frac{\partial \text{Delta}}{\partial \text{IV}} = \frac{\partial \text{Vega}}{\partial S}$.charm: Delta decay over time $\frac{\partial \text{Delta}}{\partial T}$.speed: Third-order price derivative $\frac{\partial \text{Gamma}}{\partial S}$.vomma: Volatility convexity $\frac{\partial \text{Vega}}{\partial \text{IV}}$.color: Gamma decay over time $\frac{\partial \text{Gamma}}{\partial T}$.
- Breakevens: Exact expiration breakeven levels for Call ($K + \text{Premium}$) and Put ($K - \text{Premium}$).
2. Open Interest & Volume Distribution
callOpenInterest,putOpenInterest,netOpenInterest($C_{\text{OI}} - P_{\text{OI}}$)callVolume,putVolume,netVolume($C_{\text{Vol}} - P_{\text{Vol}}$)- Total Open Interest, Total Volume, and
Put/Call Ratio($PCR_{\text{OI}}$ & $PCR_{\text{Vol}}$).
3. OHLCV Candlestick Price History
- Daily or intraday candlestick series (
open,high,low,close,volume).
📥 Input Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
tickers | Array | ["GC", "CL", "ES"] | List of CME ticker keys to process. |
candlestickResolution | String | "1d" | Bar resolution (5m, 15m, 1h, 1d). |
candlestickDays | Integer | 30 | Number of days of candlestick history. |
maxExpirationsPerTicker | Integer | 3 | Maximum expiration cycles to evaluate per product. |
includeCandlesticks | Boolean | true | Include OHLCV series. |
includeOiVolumeTable | Boolean | true | Include OI and volume columns. |
includeFullGreeksTable | Boolean | true | Include primary & higher-order Greeks. |
📤 Output Structure
1. Default Dataset (Strike Options Records)
2. Key-Value Store (OUTPUT)
Comprehensive hierarchical JSON payload including product candlestick tables and expiration cycles summary.
