I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind clicking multiple download links as well.
So, the ideal data would be all options (calls and puts) trading for the specified underlying, their strikes, expiries, volume of each for the day, OI for the day.
Basically, I'd like the output of getOptionChain() with the added parameters from and to as in getSymbols().