Sources and Access Options for Daily and Intraday Option Data
Summary
The document discusses ways to obtain option-chain information for a chosen underlying, including strikes, expirations, trading volume, and open interest. The responses distinguish freely viewable or scrapeable option-chain pages from historical tick-level and intraday data, which the contributors say generally requires paid access. One answer points to a commercial data vendor and suggests that a university business program may have tick data available to researchers.
Another response describes a historical R function for downloading option quotes and demonstrates plotting open interest by strike for a particular expiration. These suggestions are tied to services and code from the period represented in the discussion; the document does not establish that the cited pages, function, or vendor offerings still work or provide the requested history today. It also gives no systematic comparison of coverage, licensing, timestamps, or data quality. The main research takeaway is to distinguish a current option chain from historical daily or intraday records and verify access terms and completeness before relying on a source.
Key ideas
- Option-chain data can include strikes, expirations, volume, and open interest.
- A displayed chain does not necessarily provide historical or intraday records.
- The responses describe free web access, paid data, and a historical R-based download method.
- The cited resources are historical examples whose present availability and coverage are not established.
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Full text
# Daily option data
# Daily option data
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().
## Answer by Ted Taylor of Life (score 3, accepted)
https://quant.stackexchange.com/a/15008
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
## Answer by vonjd (score 6)
https://quant.stackexchange.com/a/16919
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")
```
## Answer by baerrus (score 1)
https://quant.stackexchange.com/a/15000
I do not know any free sources. One of the cheapest commercial is http://eoddata.com/products/default.aspxShown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.