getOptionChain: Download Option Chains

In quantmod: Quantitative Financial Modelling Framework

Download Option Chains

Description

Function to download option chain data from data providers.

Usage

getOptionChain(Symbols, Exp = NULL, src="yahoo", ...)

Arguments

Symbols	The name of the underlying symbol. Source ‘yahoo’ only allows for a single ticker while source ‘orats’ can return multiple tickers.
Exp	One or more expiration dates, NULL, or an ISO-8601 style string. If Exp is missing, only the front month contract will be returned.
src	Source of data. One of ‘yahoo’ or ‘orats’ with a default of ‘yahoo’.
...	Additional parameters.

Details

This function is a wrapper to data-provider specific APIs. By default the data is sourced from yahoo.

Value

A named list containing two data.frames, one for calls and one for puts. If more than one expiration was requested, this two-element list will be contained within list of length length(Exp). Each element of this list will be named with the expiration month, day, and year (for Yahoo sourced data).

If Exp is set to NULL, all expirations will be returned. Not explicitly setting will only return the front month.

Author(s)

Jeffrey A. Ryan, Joshua M. Ulrich, Steve Bronder

References

https://finance.yahoo.com, https://docs.orats.io/datav2-api-guide/data.html#strikes

See Also

getOptionChain.orats

Examples

## Not run: 
# Only the front-month expiry
AAPL.OPT <- getOptionChain("AAPL")
# All expiries
AAPL.OPTS <- getOptionChain("AAPL", NULL)
# All 2015 and 2016 expiries
AAPL.2015 <- getOptionChain("AAPL", "2015/2016")
# Using orats backend
NFLX.AAPL.2021 <- getOptionChain(c("NFLX", "AAPL"), "2021", src = "orats", 
  api.key = Sys.getenv("ORATS_API_KEY"))

## End(Not run)

quantmod documentation built on Aug. 22, 2023, 9:09 a.m.