Scripts for working with Option Chain data from Google Finance. An Option Chain is a list of the Put and Call options on a given security for a specific maturity date.
Installation is straightforward using the devtools package.
library(devtools)
install_github("DataWookie/flipsideR")The quantmod package has existing functionality for accessing option chain data.
> library(quantmod)
> AAPL = getOptionChain("AAPL")
> names(AAPL)
[1] "calls" "puts"
> head(AAPL$calls)
Strike Last Chg Bid Ask Vol OI
AAPL160205C00070000 70 25.71 2.06 26.95 27.25 1 53
AAPL160205C00075000 75 20.50 0.00 21.95 22.25 1 2
AAPL160205C00080000 80 15.65 1.85 16.95 17.25 75 50
AAPL160205C00085000 85 10.61 1.42 11.95 12.25 151 44
AAPL160205C00086000 86 10.72 3.47 10.95 11.25 99 52
AAPL160205C00087000 87 10.30 0.00 9.95 10.25 1 1
> head(AAPL$puts)
Strike Last Chg Bid Ask Vol OI
AAPL160205P00070000 70.0 0.01 0.00 0.00 0.02 13 428
AAPL160205P00075000 75.0 0.02 0.00 0.00 0.02 2 464
AAPL160205P00080000 80.0 0.02 -0.02 0.00 0.04 156 2774
AAPL160205P00083000 83.0 0.01 -0.06 0.01 0.05 102 625
AAPL160205P00085000 85.0 0.03 -0.07 0.03 0.04 1390 2999
AAPL160205P00085500 85.5 0.05 -0.15 0.02 0.06 10 248The data retrieved by flipsideR is essentially the same, but instead of returning a list of data frames with separate elements for Put and Call options, these are all consolidated in a single data frame. There's also a field indicating the time at which these data were retrieved. Since options data can be volative, this is an important feature.
> library(flipsideR)
> AAPL = getOptionChain("AAPL")
> head(AAPL)
symbol type expiry strike premium bid ask volume open.interest retrieved
1 AAPL Call 2016-02-05 50 NA 46.95 47.25 NA 0 2016-01-31 06:03:30
2 AAPL Call 2016-02-05 55 42.05 41.95 42.25 9 0 2016-01-31 06:03:30
3 AAPL Call 2016-02-05 60 NA 36.95 37.25 NA 0 2016-01-31 06:03:30
4 AAPL Call 2016-02-05 65 NA 31.95 32.25 NA 0 2016-01-31 06:03:30
5 AAPL Call 2016-02-05 70 25.71 26.95 27.25 NA 53 2016-01-31 06:03:30
6 AAPL Call 2016-02-05 75 20.50 21.95 22.25 NA 2 2016-01-31 06:03:30
> tail(AAPL)
symbol type expiry strike premium bid ask volume open.interest retrieved
1225 AAPL Put 2018-01-19 155 58.30 60.15 62.50 NA 71 2016-01-31 06:03:46
1226 AAPL Put 2018-01-19 160 63.95 64.30 66.70 NA 84 2016-01-31 06:03:46
1227 AAPL Put 2018-01-19 165 71.75 68.95 71.35 17 197 2016-01-31 06:03:46
1228 AAPL Put 2018-01-19 170 73.35 72.50 77.00 NA 3022 2016-01-31 06:03:46
1229 AAPL Put 2018-01-19 175 66.55 77.30 81.35 NA 68 2016-01-31 06:03:46
1230 AAPL Put 2018-01-19 180 88.00 82.00 86.80 NA 1074 2016-01-31 06:03:46