# Cme Options Greeks Data Live (`khnaami/cme-options-greeks-intelligence-actor`) Actor

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.

- **URL**: https://apify.com/khnaami/cme-options-greeks-intelligence-actor.md
- **Developed by:** [khalid naami](https://apify.com/khnaami) (community)
- **Stats:** 2 total users, 1 monthly users, 100.0% runs succeeded, 0 bookmarks
- **User rating**: No ratings yet

## Pricing

Pay per usage

This Actor is paid per platform usage. The Actor is free to use, and you only pay for the Apify platform usage, which gets cheaper the higher subscription plan you have.

Learn more: https://docs.apify.com/actors/running/actors-in-store.md#pay-per-usage

## What's an Apify Actor?

An Actor is a serverless cloud program that runs on the Apify platform. It has two run modes.
In Batch mode, an Actor accepts a well-defined JSON input, performs an action which can take anything from a few seconds to a few hours,
and optionally produces a well-defined JSON output, datasets with results, or files in key-value store.
In Standby mode, an Actor provides a web server which can be used as a website, API, or an MCP server.

Apify vocabulary and the platform model are defined once, in the agent quickstart at https://apify.com/agents.md.

## How to integrate an Actor?

If asked about integration, you help developers integrate Actors into their projects.
You adapt to their stack and deliver integrations that are safe, well-documented, and production-ready.

Do not guess an integration path. Every one of them is in the agent quickstart at https://apify.com/agents.md: the Apify MCP server, Agent Skills with the Apify CLI, the JavaScript and Python clients, the REST API, and the account-free path for an agent with no human to sign in. It also carries the rule on stating cost before the first paid run.

For examples already wired to this Actor's own input schema, see the [API](#api) section below.

Each client library has reference documentation the quickstart does not restate: [JavaScript/TypeScript](https://docs.apify.com/api/client/js/docs.md) (`npm install apify-client`) and [Python](https://docs.apify.com/api/client/python/docs.md) (`pip install apify-client`).

# README

## 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)

```json
{
  "ticker": "GC",
  "productName": "Gold Futures Options",
  "underlyingPrice": 2685.50,
  "expirationDate": "2026-10-27",
  "daysToExpiration": 27,
  "strike": 2700.00,
  "callLastPrice": 42.80,
  "putLastPrice": 57.30,
  "impliedVolatilityPct": 18.25,
  "callDelta": 0.4682,
  "putDelta": -0.5318,
  "gamma": 0.002845,
  "vega": 3.7540,
  "callTheta": -0.8420,
  "putTheta": -0.8115,
  "vanna": 0.012450,
  "charmCall": -0.003120,
  "speed": -0.0000142,
  "vomma": 0.048200,
  "color": -0.0000085,
  "callOpenInterest": 1450,
  "putOpenInterest": 890,
  "netOpenInterest": 560,
  "callVolume": 340,
  "putVolume": 180,
  "netVolume": 160,
  "callBreakeven": 2742.80,
  "putBreakeven": 2642.70
}
```

#### 2. Key-Value Store (`OUTPUT`)

Comprehensive hierarchical JSON payload including product candlestick tables and expiration cycles summary.

# Actor input Schema

## `tickers` (type: `array`):

List of CME futures options tickers to process (e.g., GC for Gold, CL for Oil, ES for S\&P 500, NQ for Nasdaq, BTC for Bitcoin).

## `candlestickResolution` (type: `string`):

Bar interval for underlying futures candlestick price action.

## `candlestickDays` (type: `integer`):

Number of days of historical OHLCV candlesticks to extract.

## `maxExpirationsPerTicker` (type: `integer`):

Maximum number of upcoming options expiration cycles to generate.

## `includeCandlesticks` (type: `boolean`):

Whether to extract and output the OHLCV candlestick price action dataset.

## `includeOiVolumeTable` (type: `boolean`):

Whether to output the strike-level Open Interest and Volume table.

## `includeFullGreeksTable` (type: `boolean`):

Whether to output the full primary and higher-order Greeks dataset.

## Actor input object example

```json
{
  "tickers": [
    "GC",
    "CL",
    "ES"
  ],
  "candlestickResolution": "1d",
  "candlestickDays": 30,
  "maxExpirationsPerTicker": 3,
  "includeCandlesticks": true,
  "includeOiVolumeTable": true,
  "includeFullGreeksTable": true
}
```

# Actor output Schema

## `results` (type: `string`):

Dataset items and records produced by the Actor

## `overview` (type: `string`):

Summary report stored in Key-Value store

# API

You can run this Actor programmatically using our API. Below are code examples in JavaScript, Python, and CLI, as well as the OpenAPI specification and MCP server setup.

## JavaScript example

```javascript
import { ApifyClient } from 'apify-client';

// Initialize the ApifyClient with your Apify API token
// Replace the '<YOUR_API_TOKEN>' with your token
const client = new ApifyClient({
    token: '<YOUR_API_TOKEN>',
});

// Prepare Actor input
const input = {};

// Run the Actor and wait for it to finish
const run = await client.actor("khnaami/cme-options-greeks-intelligence-actor").call(input);

// Fetch and print Actor results from the run's dataset (if any)
console.log('Results from dataset');
console.log(`💾 Check your data here: https://console.apify.com/storage/datasets/${run.defaultDatasetId}`);
const { items } = await client.dataset(run.defaultDatasetId).listItems();
items.forEach((item) => {
    console.dir(item);
});

// 📚 Want to learn more 📖? Go to → https://docs.apify.com/api/client/js/docs

```

## Python example

```python
from apify_client import ApifyClient

# Initialize the ApifyClient with your Apify API token
# Replace '<YOUR_API_TOKEN>' with your token.
client = ApifyClient("<YOUR_API_TOKEN>")

# Prepare the Actor input
run_input = {}

# Run the Actor and wait for it to finish
run = client.actor("khnaami/cme-options-greeks-intelligence-actor").call(run_input=run_input)

# Fetch and print Actor results from the run's dataset (if there are any)
print(f"💾 Check your data here: https://console.apify.com/storage/datasets/{run.default_dataset_id}")
for item in client.dataset(run.default_dataset_id).iterate_items():
    print(item)

# 📚 Want to learn more 📖? Go to → https://docs.apify.com/api/client/python/docs/quick-start

```

## CLI example

```bash
echo '{}' |
apify call khnaami/cme-options-greeks-intelligence-actor --silent --output-dataset

```

## MCP server setup

```json
{
    "mcpServers": {
        "apify": {
            "type": "http",
            "url": "https://mcp.apify.com/?tools=fetch-actor-details,khnaami/cme-options-greeks-intelligence-actor"
        }
    }
}
```

The hosted server signs you in with OAuth on first connect, so no API token belongs in this config. Clients without OAuth support can send an `Authorization: Bearer <APIFY_API_TOKEN>` header instead, using a token from API & Integrations in Apify Console (https://console.apify.com/settings/integrations).

## OpenAPI specification

Download the OpenAPI definition: https://api.apify.com/v2/actors/4Di2pkHcqYDGzr7c5/builds/I8On0F6INzia5njr3/openapi.json