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GetOptionChain - missing implied volatility? #224

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romanlelek opened this issue Apr 4, 2018 · 11 comments
Closed

GetOptionChain - missing implied volatility? #224

romanlelek opened this issue Apr 4, 2018 · 11 comments
Milestone
Release 0.4.18

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@romanlelek
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romanlelek commented Apr 4, 2018 •
edited by joshuaulrich
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Hi,

I have a question, why in function getOptionChain() is missing a column with implied volatility? For example:

(option_chain_AAPL <- getOptionChain("AAPL"))
#                     Strike  Last        Chg   Bid   Ask Vol   OI
# AAPL180413C00135000  135.0 43.85  0.0000000 31.50 35.50   9   12

But when I have a look on web:
https://finance.yahoo.com/quote/AAPL/options?p=AAPL
I can see:

Contract Name | Last Trade Date | Strike | Last Price | Bid | Ask | Change | % Change | Volume | Open Interest | Implied Volatility

Is it possible to add this column too?

Update: I have added the column on my end v, but I think that others would be interested too.

Thank you.

Best regards,
Roman
@joshuaulrich
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I had purposefully left out the implied volatility column because it's my opinion that you should calculate it yourself rather than assume Yahoo's calculation is relevant for your situation.

Even though I still have that opinion, it probably makes more sense to just return the data as Yahoo sends it. Thoughts?

@romanlelek
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romanlelek commented Apr 19, 2018 •
edited
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Yeah, in fact, I am calculating implied volatility by myslef, but I would like to compare it against implied volatility from Yahoo.

Today, I have discovered strange behaviour with function getOptionChain:
I would like to get optionChain for this date range - "2018-04-19/2018-07-18"

test1<-getOptionChain("PFE", "2018-04-19/2018-07-18")
test2<-getOptionChain("SPY", "2018-04-19/2018-07-18")

test1 result is as expected - data frame with various expiration dates
test2 shows Error in open.connection(con, "rb") : HTTP error 404.

Any ideas why SPY can not open connection? I have tried several tickers and only SPY doesn't work..It looks like that in case SPY, the function has a problem to return more than one expiration...

Best regards,
Roman

@simaan84
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Hi Josh,

I am have been using the getOptionChain on a recurring basis. However, the package drops information regarding the last trade date. Hence, if I download the data on a daily basis, the date during the data was downloaded can be misleading. I was wondering whether it would be possible to keep track of such info? I would appreciate any feedback on this.

Cheers,
Majeed

@joshuaulrich
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Hi @romanlelek, I'm not sure why you would get a 404 error. I wasn't able to try your code when you first encountered the issue, but your second line works now (with updated expiry dates).

Hi @simaan84, what would you think of adding an "updated" attribute to the result, similar to what getSymbols() does with the xts objects it returns?

@romanlelek
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Hi @joshuaulrich,

well, I have tested it now and it works....strange...maybe Yahoo fixed something on their side. No problem anymore.

Best regards,
R.

@simaan84
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Hi @joshuaulrich, I will look into this. Cheers

@simaan84
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I did not get the chance to address above earlier. There seems to be an issue running when it comes to stacking the data in the data.frame
"Error in data.frame(Strike = strike, Last = lastprice, Chg = change, Bid = bid, : object 'volume' not found"

I reckon this has to do with the NewToOld function in the source file. I did some adjustment to the code. It seems to run smoothly now. In addition, I added IV and the full variables in the new edit. Let me know what you think.

simaan84 added a commit to simaan84/quantmod-1 that referenced this issue May 27, 2019
@simaan84
Update getOptionChain.R
d4b105c 
I did some changes to the above. There seems to be a trouble with the NewToOld function. In addition, following issue joshuaulrich#224, I editted the code to have the complete list of the original variables.

For instance, the following code stacks all contracts in a single data.frame
ds <- getOptionChain.yahoo("SPY",NULL)
ds <- lapply(ds, function(ds_i) lapply(1:length(ds_i), 
                                        function(i) data.frame(Type = names(ds_i)[i], ds_i[[i]]))  )
ds <- lapply(ds, function(ds_i) do.call(plyr::rbind.fill,ds_i)  )
ds <- do.call(plyr::rbind.fill,ds)
@hg2581
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hg2581 commented May 31, 2020

I am using the current version in CRAN and just ran into these two problems:

SPY0529<-getOptionChain("SPY", NULL)
Error in data.frame(Strike = strike, Last = lastprice, Chg = change, Bid = bid, :
object 'bid' not found
and
VIX0529<-getOptionChain("^VIX", NULL)
Error in data.frame(Strike = strike, Last = lastprice, Chg = change, Bid = bid, :
object 'ask' not found
Not sure what the reason might be?

@joshuaulrich
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@hg2581 I wasn't able to replicate that error, so I assume it was a temporary issue with Yahoo.

I just noticed that #304 was a duplicate of this one, and it has been closed as fixed. So I'm going to close this one too, since it is no longer an issue.

@joshuaulrich
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There seems to be an issue running when it comes to stacking the data in the data.frame
"Error in data.frame(Strike = strike, Last = lastprice, Chg = change, Bid = bid, : object 'volume' not found"

@simaan84, this was reported in #299 and fixed in #300, both by @jrburl.

@joshuaulrich
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@hg2581 the 'bid' and 'ask' errors were fixed by @jrburl in #302.

@joshuaulrich joshuaulrich added this to the Release 0.4.18 milestone Nov 29, 2020
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@joshuaulrich @hg2581 @romanlelek @simaan84