ThetaData

What it is

ThetaData is a US options data vendor that also sells stocks, indices and interest rates. Its claim is completeness on the options side: it takes every NBBO quote and every trade OPRA disseminates, where many vendors filter quotes to survive the message rate, and it computes Black-Scholes greeks and implied volatility for each tick against the underlying's price at that moment.

The architecture is unusual. The REST API is not a hosted HTTPS endpoint: you run the Theta Terminal, an auto-updating Java JAR, and it serves the API on localhost while speaking a proprietary compressed protocol upstream. The Python library is the one client that skips it.

Pricing

Each asset class is a separate subscription at Value, Standard or Pro, plus a free end-of-day level. Options run $40, $80 and $160 a month, or $32, $64 and $128 billed annually. Stocks are $30, $80 and $160; indices $30, $50 and $100; interest rates a single $30 plan.

Tiers differ in history depth, granularity and concurrency — 2, 4 or 8 simultaneous requests, set account-wide by your highest tier, so a second asset class adds data but no throughput. There is no per-request rate limit on paid plans; excess requests queue, 16 deep by default.

Payments are non-refundable and not pro-rated. The individual plans itemise no OPRA or exchange fee; the business plans are listed separately at $2,000 a month for options, $1,500 for stocks, $500 for indices and $250 for rates, each 20% less billed annually.

Data & coverage

Options cover every US equity and index option on OPRA, including SPX, VIX, XSP and NDX, with Global Trading Hours sessions. Standard adds trades and first-order greeks; Pro adds second- and third-order greeks, greeks computed on trades, and an unlimited trade stream. An options subscription does not include index underlying prices — those are the separate indices plan.

Stock real-time data is Nasdaq Basic, not the consolidated tape: the CTA and UTP feeds arrive 15 minutes delayed. UTP-listed history starts June 2012; CTA-only names such as SPY start 1 January 2020. Index data comes from the Cboe Global Indices Feed, with RUT and DJX history ending 1 July 2024. The rates plan carries SOFR and eleven Treasury maturities back to 1970. No futures, no non-US listings.

Integrations

REST returning CSV, JSON, NDJSON or HTML, described by a published OpenAPI 3.1 file; streaming over a single local WebSocket that your code must fan out itself; an official Python library on PyPI as thetadata (1.0.11, 23 September 2026, Python 3.12+) returning Polars or Pandas frames; an Excel add-in on Standard and Pro, unsupported in desktop Excel for Mac, capped at one million rows and without streaming; and an MCP server served by the Terminal over SSE, subscription required.

Limitations

• The individual licence is personal investing only. Any business use, including an app that shows the data to others, is the business plan at 12 to 50 times the price.
• Greeks use the European Black-Scholes model on American-style equity options, ignore dividends unless you pass one, and use SOFR as the rate. Deep in- or out-of-the-money contracts return a rising iv_error rather than a clean solve.
• Greeks are computed per request on the server, so they are slower than quote requests.
• NDX underlying history starts 11 May 2026, so historical NDX option greeks before then need a price you supply yourself.
• Extended-hours SPX, VIX, DJI and RUT option data has a gap from 2019 into 2022, which the vendor attributes to the source it bought that history from.
• Flat files are limited to "professional users" and the latest seven calendar days.
• The vendor's pages disagree with each other: the FAQ still says there are no API keys and no flat files, both of which the docs now document; the free-tier limit reads 20 requests a minute in one place and 30 in another; and the indices Value delay is a day on the pricing page and 15 minutes in the docs. Trust the docs.

Alternatives

ORATS sells options data with the volatility surface already smoothed, at a higher entry price. Cboe DataShop sells OPRA history from the exchange group by the file. Massive and Databento sell raw options ticks alongside equities from a hosted endpoint. The rest are in market data APIs.