4
$\begingroup$

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().

Improve this question
$\endgroup$

3 Answers 3

Reset to default
3
$\begingroup$

There is no such thing as "free" option data.

This is free -->http://www.nasdaq.com/symbol/aapl/option-chain

You could crawl that.

But to get the actual ticks or intraday data, you will unfortunately have to pay. I strongly suggest you find a college business program that has option data ticks and reach out to them.

Best of luck,

JL

Improve this answer
$\endgroup$
1
  • 1
    $\begingroup$ Thanks for the reply, scraping the nasdaq site would yield the same data as getOptionChain() (although that function uses Yahoo Finance). But I will give accept your answer because I am currently a grad student and didn't think of taking advantage of the institution's subscriptions. Thanks. $\endgroup$
    – connor
    Oct 13, 2014 at 1:21
6
$\begingroup$

Your prayers were heard ;-) The following article gives you all you need, especially the function getOptionQuote() which lets you download option chains for any ticker symbol with one line of code!

You find the article here (with full R code):
https://web.archive.org/web/20150106140409/http://mktstk.wordpress.com/2014/12/29/start-trading-like-a-quant-download-option-chains-from-google-finance-in-r/

For example the following code plots the open interest by strike for the 4/17/2015 puts:

aapl_opt = getOptionQuote("AAPL")
plot(aapl_opt$"2015_4_17_puts"$strike, aapl_opt$"2015_4_17_puts"$oi, type = "s", main = "Open Interest by Strike")

enter image description here

Improve this answer
$\endgroup$
1
  • 1
    $\begingroup$ Wow, very interesting. Great addition! $\endgroup$
    – Ted Taylor of Life
    Jul 26, 2016 at 12:10
1
$\begingroup$

I do not know any free sources. One of the cheapest commercial is http://eoddata.com/products/default.aspx

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.