get all open interest and greeks by strike by expiry

We will tackle this data collect in three steps. First, we will collect all the expiration dates for a given ticker using the "Expiry Breakdown" endpoint:

https://api.unusualwhales.com/docs#/operations/PublicApi.OptionContractController.expiry_breakdown

Once we have our list of expiration dates, our second step will use the "Greeks" endpoint to collect the greeks for each strike contained in each expiry:

https://api.unusualwhales.com/docs#/operations/PublicApi.TickerController.greeks

Our final step will use the "Option Contracts" endpoint to collect the open interest for each strike contained in each expiry:

https://api.unusualwhales.com/docs#/operations/PublicApi.OptionContractController.option_contracts

Let's get started using AAPL as an example:

Cool, expiry_rsp.json() gives us a collection of dictionaries like this:

{'data': [{'chains': 94,
   'expires': '2025-04-17',
   'open_interest': 126905,
   'volume': '14231'},
  {'chains': 90,
   'expires': '2025-01-24',
   'open_interest': 33185,
   'volume': '6566'},
   ...
   {'chains': 130,
   'expires': '2025-06-20',
   'open_interest': 509670,
   'volume': '11906'}]}

So let's grab the expires values for now and use those to collect data from the "Greeks" endpoint shortly after, which will give us (by expiry) a collection of directionaries like this:

{'data': [{'call_charm': '0.0000000000000000137155316518',
   'call_delta': '1',
   'call_gamma': '0',
   'call_rho': '0.000411816279807205',
   'call_theta': '0',
   'call_vanna': '-0.0000000000000000019712257766',
   'call_vega': '0',
   'call_volatility': '1.394776602024026',
   'date': '2024-12-17',
   'expiry': '2024-12-20',
   'put_charm': '0',
   'put_delta': '0',
   'put_gamma': '0',
   'put_rho': '0',
   'put_theta': '0',
   'put_vanna': '0',
   'put_vega': '0',
   'put_volatility': '1.022728627372261',
   'strike': '5'},
   ...

To make this data easier to slice and dice, I will compile polars DataFrames for each expiry then combine them into one:

Now we have compiled each expiration's Call and Put greeks by strike into individual DataFrames, so next I want to combine them all together, convert strings into floats for delta and gamma, drop the unnecessary greek values, and create an "option symbol"-format column, like AAPL241217C00110000 for the Dec24 110C:

Nice! We are in the home stretch, all that's left to obtain is the is the open interest by contract:

https://api.unusualwhales.com/docs#/operations/PublicApi.OptionContractController.option_contracts

Which will give us a response that looks like this:

{'data': [{'ask_volume': 51140,
   'avg_price': '0.9626352941176470588235294113',
   'bid_volume': 33953,
   'floor_volume': 0,
   'high_price': '1.30',
   'implied_volatility': '0.2002082604759955',
   'last_price': '1.17',
   'low_price': '0.41',
   'mid_volume': 9682,
   'multi_leg_volume': 3553,
   'nbbo_ask': '1.20',
   'nbbo_bid': '1.14',
   'no_side_volume': 0,
   'open_interest': 35917,
   'option_symbol': 'AAPL241220C00255000',
   'prev_oi': 29454,
   'stock_multi_leg_volume': 83,
   'sweep_volume': 4010,
   'total_premium': '9123376.00',
   'volume': 94775},

The endpoint is capped at 500 records per response though, so we will iterate through expiry-by-expiry to make sure we collect all the open interest that we need for the final gamma exposure and delta exposure calculations.

And while some of this information will likely be valuable to you and your client, for now I'm going to chop it all the way down and just keep the option_symbol (to join with our earlier data compilation) and the open_interest (since that is what the gamma exposure and delta exposure calculations will be based on):

And that's it! I will leave the matching of the option_symbol column inside the option_contracts_df to the corresponding greeks_df columns call_option_symbol or put_option_symbol (could even further simplify with a melt() on the greeks_df) in your capable hands as you calculate the gamma and delta exposure for the symbols of interest.