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Options EOD Quotes

by QuantShare, 1824 days ago
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This downloader gets EOD quotes data from Yahoo for all options listed in US exchanges. Only the last quote is downloaded and so in order to create an historical quotes database, this item should be run on a daily basis. For screening purpose, you will only need the last quotes data, but for backtesting, you should run this item every day to create your options database.

Data is downloaded for all options symbols (more than 45773) and believe it or not, it is done quickly. The following options fields are retrieved: close price, open price, high price, low price and volume price.

Using the URL-Scripting, I have made a little script that groups several symbols in a request. In fact, each request retrieves data for 198 symbols, and so the total number of requests needed to complete the downloading process is 232 requests (45773 / 198). The total downloading process should take less than 4 minutes.

In order for this item to work, it needs a list of US options symbols. I have already created this list and split it into two parts: US Options symbols A-M and US Options symbols N-Z.
This list contains a lot of information about these options. It tell you whether the option is a put or a call, its underlying security symbol and underlying issue name, the expiration date and the strike price of the option... All these data can be used programmatically to create functions or to filter your options database in search of profitable opportunities.

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Update: Use the following downloader to get all options contracts plus current data (last/ask/bid/volume/open interest):
Option Chains Data


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Type: Download Script

Object ID: 308


Country:
United States

Market: Options Market

Style:
All

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