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test_options_data.json
[
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C10.00",
"symbolId": 29247369,
"bidPrice": 1.31,
"bidSize": 23,
"askPrice": 1.35,
"askSize": 1,
"lastTradePriceTrHrs": 1.33,
"lastTradePrice": 1.33,
"lastTradeSize": 1,
"lastTradeTick": "Up",
"lastTradeTime": "2020-05-07T15:14:03.567000-04:00",
"volume": 808,
"openPrice": 1.43,
"highPrice": 1.55,
"lowPrice": 1.25,
"volatility": 119.064862,
"delta": 0.544705,
"gamma": 0.08968,
"theta": -0.019925,
"vega": 0.013,
"rho": 0.004351,
"openInterest": 5258,
"delay": 0,
"isHalted": false,
"VWAP": 1.466522
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C11.00",
"symbolId": 29247370,
"bidPrice": 0.96,
"bidSize": 14,
"askPrice": 1.02,
"askSize": 1,
"lastTradePriceTrHrs": 0.98,
"lastTradePrice": 0.98,
"lastTradeSize": 2,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T15:23:30.040000-04:00",
"volume": 5616,
"openPrice": 1.05,
"highPrice": 1.17,
"lowPrice": 0.92,
"volatility": 117.708414,
"delta": 0.463608,
"gamma": 0.089872,
"theta": -0.019966,
"vega": 0.013028,
"rho": 0.003818,
"openInterest": 9860,
"delay": 0,
"isHalted": false,
"VWAP": 1.007086
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C12.00",
"symbolId": 29247371,
"bidPrice": 0.71,
"bidSize": 15,
"askPrice": 0.74,
"askSize": 1,
"lastTradePriceTrHrs": 0.72,
"lastTradePrice": 0.72,
"lastTradeSize": 4,
"lastTradeTick": "Up",
"lastTradeTime": "2020-05-07T15:13:30.404000-04:00",
"volume": 626,
"openPrice": 0.74,
"highPrice": 0.89,
"lowPrice": 0.67,
"volatility": 116.233188,
"delta": 0.390791,
"gamma": 0.086844,
"theta": -0.019293,
"vega": 0.012589,
"rho": 0.003298,
"openInterest": 7580,
"delay": 0,
"isHalted": false,
"VWAP": 0.797859
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C13.00",
"symbolId": 25945759,
"bidPrice": 0.51,
"bidSize": 18,
"askPrice": 0.56,
"askSize": 28,
"lastTradePriceTrHrs": 0.51,
"lastTradePrice": 0.51,
"lastTradeSize": 14,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T15:14:36.650000-04:00",
"volume": 634,
"openPrice": 0.5,
"highPrice": 0.66,
"lowPrice": 0.2,
"volatility": 115.838753,
"delta": 0.326976,
"gamma": 0.08162,
"theta": -0.018131,
"vega": 0.011832,
"rho": 0.002817,
"openInterest": 6939,
"delay": 0,
"isHalted": false,
"VWAP": 0.587823
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C14.00",
"symbolId": 27356253,
"bidPrice": 0.38,
"bidSize": 18,
"askPrice": 0.41,
"askSize": 41,
"lastTradePriceTrHrs": 0.37,
"lastTradePrice": 0.37,
"lastTradeSize": 1,
"lastTradeTick": "Down",
"lastTradeTime": "2020-05-07T15:00:53.084000-04:00",
"volume": 161,
"openPrice": 0.39,
"highPrice": 0.82,
"lowPrice": 0.37,
"volatility": 115.688945,
"delta": 0.272052,
"gamma": 0.075081,
"theta": -0.016678,
"vega": 0.010884,
"rho": 0.002384,
"openInterest": 4000,
"delay": 0,
"isHalted": false,
"VWAP": 0.447826
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C15.00",
"symbolId": 25888528,
"bidPrice": 0.28,
"bidSize": 19,
"askPrice": 0.3,
"askSize": 19,
"lastTradePriceTrHrs": 0.27,
"lastTradePrice": 0.27,
"lastTradeSize": 5,
"lastTradeTick": "Down",
"lastTradeTime": "2020-05-07T15:24:58.924000-04:00",
"volume": 8507,
"openPrice": 0.31,
"highPrice": 0.36,
"lowPrice": 0.26,
"volatility": 115.424791,
"delta": 0.225416,
"gamma": 0.067916,
"theta": -0.015086,
"vega": 0.009845,
"rho": 0.002004,
"openInterest": 14916,
"delay": 0,
"isHalted": false,
"VWAP": 0.326863
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C16.00",
"symbolId": 27356254,
"bidPrice": 0.21,
"bidSize": 18,
"askPrice": 0.23,
"askSize": 18,
"lastTradePriceTrHrs": 0.22,
"lastTradePrice": 0.22,
"lastTradeSize": 14,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T15:14:36.650000-04:00",
"volume": 356,
"openPrice": 0.23,
"highPrice": 0.27,
"lowPrice": 0.22,
"volatility": 116.239237,
"delta": 0.186217,
"gamma": 0.06063,
"theta": -0.013468,
"vega": 0.008789,
"rho": 0.001676,
"openInterest": 24669,
"delay": 0,
"isHalted": false,
"VWAP": 0.237247
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C17.00",
"symbolId": 27356255,
"bidPrice": 0.15,
"bidSize": 19,
"askPrice": 0.17,
"askSize": 19,
"lastTradePriceTrHrs": 0.16,
"lastTradePrice": 0.16,
"lastTradeSize": 10,
"lastTradeTick": "Up",
"lastTradeTime": "2020-05-07T15:17:44.790000-04:00",
"volume": 315,
"openPrice": 0.19,
"highPrice": 0.2,
"lowPrice": 0.15,
"volatility": 115.704333,
"delta": 0.15352,
"gamma": 0.053564,
"theta": -0.011898,
"vega": 0.007765,
"rho": 0.001397,
"openInterest": 3770,
"delay": 0,
"isHalted": false,
"VWAP": 0.156222
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C18.00",
"symbolId": 25681308,
"bidPrice": 0.12,
"bidSize": 18,
"askPrice": 0.13,
"askSize": 1,
"lastTradePriceTrHrs": 0.12,
"lastTradePrice": 0.12,
"lastTradeSize": 14,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T15:14:36.650000-04:00",
"volume": 361,
"openPrice": 0.13,
"highPrice": 0.16,
"lowPrice": 0.12,
"volatility": 117.007254,
"delta": 0.126399,
"gamma": 0.04693,
"theta": -0.010424,
"vega": 0.006803,
"rho": 0.001161,
"openInterest": 3960,
"delay": 0,
"isHalted": false,
"VWAP": 0.13698
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C19.00",
"symbolId": 27356256,
"bidPrice": 0.09,
"bidSize": 4,
"askPrice": 0.12,
"askSize": 46,
"lastTradePriceTrHrs": 0.09,
"lastTradePrice": 0.09,
"lastTradeSize": 5,
"lastTradeTick": "Up",
"lastTradeTime": "2020-05-07T14:44:13.441000-04:00",
"volume": 33,
"openPrice": 0.12,
"highPrice": 0.12,
"lowPrice": 0.08,
"volatility": 119.750563,
"delta": 0.103997,
"gamma": 0.040849,
"theta": -0.009073,
"vega": 0.005922,
"rho": 0.000963,
"openInterest": 1682,
"delay": 0,
"isHalted": false,
"VWAP": 0.094545
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C20.00",
"symbolId": 25681309,
"bidPrice": 0.07,
"bidSize": 13,
"askPrice": 0.09,
"askSize": 19,
"lastTradePriceTrHrs": 0.09,
"lastTradePrice": 0.09,
"lastTradeSize": 3,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T14:34:36.380000-04:00",
"volume": 84,
"openPrice": 0.1,
"highPrice": 0.1,
"lowPrice": 0.08,
"volatility": 119.912962,
"delta": 0.085547,
"gamma": 0.035371,
"theta": -0.007856,
"vega": 0.005127,
"rho": 0.000799,
"openInterest": 4602,
"delay": 0,
"isHalted": false,
"VWAP": 0.0925
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C21.00",
"symbolId": 27356257,
"bidPrice": 0.05,
"bidSize": 55,
"askPrice": 0.08,
"askSize": 66,
"lastTradePriceTrHrs": 0.08,
"lastTradePrice": 0.08,
"lastTradeSize": 1,
"lastTradeTick": "Up",
"lastTradeTime": "2020-05-07T10:56:39.547000-04:00",
"volume": 2,
"openPrice": 0.06,
"highPrice": 0.08,
"lowPrice": 0.06,
"volatility": 121.312947,
"delta": 0.070384,
"gamma": 0.030502,
"theta": -0.006775,
"vega": 0.004422,
"rho": 0.000661,
"openInterest": 3690,
"delay": 0,
"isHalted": false,
"VWAP": 0.07
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C22.00",
"symbolId": 27356258,
"bidPrice": 0.04,
"bidSize": 64,
"askPrice": 0.07,
"askSize": 65,
"lastTradePriceTrHrs": 0.04,
"lastTradePrice": 0.04,
"lastTradeSize": 9,
"lastTradeTick": "Down",
"lastTradeTime": "2020-05-07T15:06:40.947000-04:00",
"volume": 27,
"openPrice": 0.07,
"highPrice": 0.07,
"lowPrice": 0.04,
"volatility": 123.289158,
"delta": 0.057936,
"gamma": 0.026218,
"theta": -0.005823,
"vega": 0.003801,
"rho": 0.000548,
"openInterest": 1072,
"delay": 0,
"isHalted": false,
"VWAP": 0.055555
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C23.00",
"symbolId": 25681310,
"bidPrice": 0.03,
"bidSize": 78,
"askPrice": 0.05,
"askSize": 18,
"lastTradePriceTrHrs": 0.05,
"lastTradePrice": 0.05,
"lastTradeSize": 1,
"lastTradeTick": "Up",
"lastTradeTime": "2020-05-07T14:20:51.830000-04:00",
"volume": 22,
"openPrice": 0.05,
"highPrice": 0.06,
"lowPrice": 0.04,
"volatility": 122.194411,
"delta": 0.047726,
"gamma": 0.022479,
"theta": -0.004993,
"vega": 0.003259,
"rho": 0.000454,
"openInterest": 1724,
"delay": 0,
"isHalted": false,
"VWAP": 0.050909
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C24.00",
"symbolId": 27356259,
"bidPrice": 0.02,
"bidSize": 106,
"askPrice": 0.05,
"askSize": 33,
"lastTradePriceTrHrs": 0.04,
"lastTradePrice": 0.04,
"lastTradeSize": 2,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T14:35:35.550000-04:00",
"volume": 3,
"openPrice": 0.04,
"highPrice": 0.04,
"lowPrice": 0.04,
"volatility": 124.380332,
"delta": 0.039353,
"gamma": 0.019237,
"theta": -0.004273,
"vega": 0.002789,
"rho": 0.000376,
"openInterest": 1373,
"delay": 0,
"isHalted": false,
"VWAP": 0.04
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C25.00",
"symbolId": 25681311,
"bidPrice": 0.03,
"bidSize": 109,
"askPrice": 0.04,
"askSize": 58,
"lastTradePriceTrHrs": 0.03,
"lastTradePrice": 0.03,
"lastTradeSize": 1,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T14:46:36.797000-04:00",
"volume": 27,
"openPrice": 0.06,
"highPrice": 0.06,
"lowPrice": 0.03,
"volatility": 128.700899,
"delta": 0.032485,
"gamma": 0.016439,
"theta": -0.003651,
"vega": 0.002383,
"rho": 0.000312,
"openInterest": 4247,
"delay": 0,
"isHalted": false,
"VWAP": 0.032962
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C26.00",
"symbolId": 27356260,
"bidPrice": 0.01,
"bidSize": 90,
"askPrice": 0.03,
"askSize": 19,
"lastTradePriceTrHrs": 0.03,
"lastTradePrice": 0.03,
"lastTradeSize": 1,
"lastTradeTick": "Up",
"lastTradeTime": "2020-05-07T14:11:40.670000-04:00",
"volume": 1,
"openPrice": 0.03,
"highPrice": 0.03,
"lowPrice": 0.03,
"volatility": 123.387345,
"delta": 0.026849,
"gamma": 0.014035,
"theta": -0.003117,
"vega": 0.002034,
"rho": 0.000259,
"openInterest": 1320,
"delay": 0,
"isHalted": false,
"VWAP": 0.03
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C27.00",
"symbolId": 27356261,
"bidPrice": 0.01,
"bidSize": 1,
"askPrice": 0.04,
"askSize": 40,
"lastTradePriceTrHrs": 0.03,
"lastTradePrice": 0.03,
"lastTradeSize": 0,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-06T00:00:00.000000-04:00",
"volume": 0,
"openPrice": 0,
"highPrice": 0,
"lowPrice": 0,
"volatility": 130.760108,
"delta": 0.022221,
"gamma": 0.011974,
"theta": -0.002659,
"vega": 0.001736,
"rho": 0.000215,
"openInterest": 5080,
"delay": 0,
"isHalted": false,
"VWAP": 0
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C28.00",
"symbolId": 25681312,
"bidPrice": 0.02,
"bidSize": 1,
"askPrice": 0.04,
"askSize": 117,
"lastTradePriceTrHrs": 0.03,
"lastTradePrice": 0.03,
"lastTradeSize": 2,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-07T13:31:30.132000-04:00",
"volume": 38,
"openPrice": 0.03,
"highPrice": 0.03,
"lowPrice": 0.03,
"volatility": 137.630418,
"delta": 0.018417,
"gamma": 0.010211,
"theta": -0.002268,
"vega": 0.00148,
"rho": 0.000179,
"openInterest": 8048,
"delay": 0,
"isHalted": false,
"VWAP": 0.03
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C29.00",
"symbolId": 27356262,
"bidPrice": 0.01,
"bidSize": 153,
"askPrice": 0.03,
"askSize": 32,
"lastTradePriceTrHrs": 0.01,
"lastTradePrice": 0.01,
"lastTradeSize": 1,
"lastTradeTick": "Down",
"lastTradeTime": "2020-05-07T12:09:49.187000-04:00",
"volume": 1,
"openPrice": 0.01,
"highPrice": 0.01,
"lowPrice": 0.01,
"volatility": 134.148874,
"delta": 0.015287,
"gamma": 0.008707,
"theta": -0.001934,
"vega": 0.001262,
"rho": 0.000149,
"openInterest": 1879,
"delay": 0,
"isHalted": false,
"VWAP": 0.01
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C3.00",
"symbolId": 29494155,
"bidPrice": 6.4,
"bidSize": 4,
"askPrice": 6.5,
"askSize": 154,
"lastTradePriceTrHrs": 6.5,
"lastTradePrice": 6.5,
"lastTradeSize": 1,
"lastTradeTick": "Down",
"lastTradeTime": "2020-05-07T12:50:02.119000-04:00",
"volume": 29,
"openPrice": 6.45,
"highPrice": 6.65,
"lowPrice": 6.4,
"volatility": 131.568548,
"delta": 0.99637,
"gamma": 0.002456,
"theta": -0.000554,
"vega": 0.000356,
"rho": 0.003568,
"openInterest": 36,
"delay": 0,
"isHalted": false,
"VWAP": 6.513793
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C30.00",
"symbolId": 25681313,
"bidPrice": 0.02,
"bidSize": 3,
"askPrice": 0.03,
"askSize": 37,
"lastTradePriceTrHrs": 0.02,
"lastTradePrice": 0.02,
"lastTradeSize": 2,
"lastTradeTick": "Down",
"lastTradeTime": "2020-05-07T12:29:21.315000-04:00",
"volume": 52,
"openPrice": 0.03,
"highPrice": 0.03,
"lowPrice": 0.02,
"volatility": 141.270848,
"delta": 0.012708,
"gamma": 0.007425,
"theta": -0.001649,
"vega": 0.001076,
"rho": 0.000124,
"openInterest": 10862,
"delay": 0,
"isHalted": false,
"VWAP": 0.029615
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C31.00",
"symbolId": 27356263,
"bidPrice": 0.01,
"bidSize": 39,
"askPrice": 0.03,
"askSize": 26,
"lastTradePriceTrHrs": 0.02,
"lastTradePrice": 0.02,
"lastTradeSize": 1,
"lastTradeTick": "Down",
"lastTradeTime": "2020-05-07T12:43:41.683000-04:00",
"volume": 6,
"openPrice": 0.03,
"highPrice": 0.03,
"lowPrice": 0.02,
"volatility": 140.615756,
"delta": 0.010581,
"gamma": 0.006334,
"theta": -0.001407,
"vega": 0.000918,
"rho": 0.000104,
"openInterest": 1839,
"delay": 0,
"isHalted": false,
"VWAP": 0.028333
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C32.00",
"symbolId": 25681314,
"bidPrice": 0.01,
"bidSize": 1,
"askPrice": 0.03,
"askSize": 42,
"lastTradePriceTrHrs": 0.06,
"lastTradePrice": 0.06,
"lastTradeSize": 0,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-04T00:00:00.000000-04:00",
"volume": 0,
"openPrice": 0,
"highPrice": 0,
"lowPrice": 0,
"volatility": 143.670545,
"delta": 0.008824,
"gamma": 0.005404,
"theta": -0.0012,
"vega": 0.000783,
"rho": 0.000087,
"openInterest": 6601,
"delay": 0,
"isHalted": false,
"VWAP": 0
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C33.00",
"symbolId": 27356264,
"bidPrice": 0.01,
"bidSize": 23,
"askPrice": 0.03,
"askSize": 56,
"lastTradePriceTrHrs": 0.1,
"lastTradePrice": 0.1,
"lastTradeSize": 0,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-04T00:00:00.000000-04:00",
"volume": 0,
"openPrice": 0,
"highPrice": 0,
"lowPrice": 0,
"volatility": 146.615366,
"delta": 0.007371,
"gamma": 0.004614,
"theta": -0.001025,
"vega": 0.000669,
"rho": 0.000073,
"openInterest": 1567,
"delay": 0,
"isHalted": false,
"VWAP": 0
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C34.00",
"symbolId": 27356265,
"bidPrice": null,
"bidSize": 0,
"askPrice": 0.03,
"askSize": 56,
"lastTradePriceTrHrs": 0.02,
"lastTradePrice": 0.02,
"lastTradeSize": 0,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-04T00:00:00.000000-04:00",
"volume": 0,
"openPrice": 0,
"highPrice": 0,
"lowPrice": 0,
"volatility": 157.015509,
"delta": 0.006167,
"gamma": 0.003941,
"theta": -0.000875,
"vega": 0.000571,
"rho": 0.000061,
"openInterest": 986,
"delay": 0,
"isHalted": false,
"VWAP": 0
},
{
"underlying": "AAL",
"underlyingId": 5070993,
"symbol": "AAL19Jun20C35.00",
"symbolId": 25681315,
"bidPrice": null,
"bidSize": 0,
"askPrice": 0.01,
"askSize": 2,
"lastTradePriceTrHrs": 0.03,
"lastTradePrice": 0.03,
"lastTradeSize": 0,
"lastTradeTick": "Equal",
"lastTradeTime": "2020-05-04T00:00:00.000000-04:00",
"volume": 0,
"openPrice": 0,
"highPrice": 0,
"lowPrice": 0,
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{
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{
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{
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{
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},
{
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}
]
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