I previously wrote about some ad hoc R code for downloading Option Chain data from Google Finance. I finally wrapped it up into a package called flipsideR, which is now available via GitHub. Since I last wrote on this topic I’ve also added support for downloading option data from the Australian Securities Exchange (ASX).
Installation is straightforward using devtools.
You’re ready to roll!
As I mentioned previously, there’s already functionality in quantmod for retrieving option chain data.
The data that you’ll get with flipsideR is pretty similar. The major differences are:
it’s all in a single data frame (as opposed to being split into separate frames for put and call options);
there’s additional information regarding the expiry date for the option and the date and time at which these data were retrieved.
Let’s grab the AAPL data using flipsideR.
The AAPL data were retrieved from the default exchange, NASDAQ. However, it’s also possible to specify an alternative exchange. For example, CVX data from the NYSE.
Finally, it’s also now possible to grab data from ASX.