Whole-market options data snapshots intraday every 30 minutes

traider · Oct 31, 2021

thecoder said:

I'm going to try the YahooFinance API for $9.99/month for 20,000 requests/month as offered here:
https://www.yahoofinanceapi.com/pricing
It looks like that a single request brings ALL options data of an expiration date for the underlying instrument, as one can try the API out here (the 2nd GET API function):
https://www.yahoofinanceapi.com/

If the above said is true, then it should be possible to get the whole data in about 4000 requests (but this way just the data for the current expiration date), but then the 20,000 requests/month is of course by far not enough; one rather needs the unlimited package ("Mega") for $259/month... :-(

Here's what it sent for ticker PROG w/o specifiying an expiration time (this has to be unix time format or so as its a long number; haven't studied the API doc yet...):

Code:

{
  "optionChain": {
    "result": [
      {
        "underlyingSymbol": "PROG",
        "expirationDates": [
          1637280000,
          1639699200,
          1642723200,
          1645142400,
          1649894400,
          1657843200,
          1663286400,
          1674172800,
          1705622400
        ],
        "strikes": [
          0.5,
          1,
          1.5,
          2,
          2.5,
          3,
          3.5,
          4,
          4.5,
          5,
          5.5
        ],
        "hasMiniOptions": false,
        "quote": {
          "language": "en-US",
          "region": "US",
          "quoteType": "EQUITY",
          "quoteSourceName": "Nasdaq Real Time Price",
          "triggerable": true,
          "tradeable": false,
          "currency": "USD",
          "marketState": "POST",
          "shortName": "Progenity, Inc.",
          "exchange": "NGM",
          "longName": "Progenity, Inc.",
          "messageBoardId": "finmb_256359845",
          "exchangeTimezoneName": "America/New_York",
          "exchangeTimezoneShortName": "EDT",
          "gmtOffSetMilliseconds": -14400000,
          "market": "us_market",
          "esgPopulated": false,
          "firstTradeDateMilliseconds": 1592573400000,
          "priceHint": 4,
          "postMarketChangePercent": 1.1111166,
          "postMarketTime": 1635546350,
          "postMarketPrice": 3.64,
          "postMarketChange": 0.0400002,
          "regularMarketChange": -0.26999998,
          "regularMarketChangePercent": -6.9767437,
          "regularMarketTime": 1635537603,
          "regularMarketPrice": 3.6,
          "regularMarketDayHigh": 3.92,
          "regularMarketDayRange": "3.465 - 3.92",
          "regularMarketDayLow": 3.465,
          "regularMarketVolume": 33324635,
          "regularMarketPreviousClose": 3.87,
          "bid": 3.56,
          "ask": 3.63,
          "bidSize": 11,
          "askSize": 29,
          "fullExchangeName": "NasdaqGM",
          "financialCurrency": "USD",
          "regularMarketOpen": 3.77,
          "averageDailyVolume3Month": 56888827,
          "averageDailyVolume10Day": 146744462,
          "fiftyTwoWeekLowChange": 2.9429998,
          "fiftyTwoWeekLowChangePercent": 4.4794517,
          "fiftyTwoWeekRange": "0.657 - 7.86",
          "fiftyTwoWeekHighChange": -4.26,
          "fiftyTwoWeekHighChangePercent": -0.54198474,
          "fiftyTwoWeekLow": 0.657,
          "fiftyTwoWeekHigh": 7.86,
          "earningsTimestamp": 1628798400,
          "earningsTimestampStart": 1636405200,
          "earningsTimestampEnd": 1636750800,
          "epsTrailingTwelveMonths": -4.284,
          "epsForward": -1.01,
          "epsCurrentYear": -2.36,
          "priceEpsCurrentYear": -1.5254238,
          "sharesOutstanding": 132740000,
          "bookValue": -1.782,
          "fiftyDayAverage": 1.7938889,
          "fiftyDayAverageChange": 1.806111,
          "fiftyDayAverageChangePercent": 1.0068132,
          "twoHundredDayAverage": 2.300702,
          "twoHundredDayAverageChange": 1.2992978,
          "twoHundredDayAverageChangePercent": 0.5647397,
          "marketCap": 477864000,
          "forwardPE": -3.5643563,
          "priceToBook": -2.020202,
          "sourceInterval": 15,
          "exchangeDataDelayedBy": 0,
          "ipoExpectedDate": "2020-06-19",
          "averageAnalystRating": "2.7 - Hold",
          "displayName": "Progenity",
          "symbol": "PROG"
        },
        "options": [
          {
            "expirationDate": 1637280000,
            "hasMiniOptions": false,
            "calls": [
              {
                "contractSymbol": "PROG211119C00000500",
                "strike": 0.5,
                "currency": "USD",
                "lastPrice": 3.1,
                "change": -0.20000005,
                "percentChange": -6.060608,
                "volume": 274,
                "openInterest": 397,
                "bid": 3,
                "ask": 3.2,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635528336,
                "impliedVolatility": 0.500005,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119C00001000",
                "strike": 1,
                "currency": "USD",
                "lastPrice": 2.6,
                "change": -0.25,
                "percentChange": -8.77193,
                "volume": 74,
                "openInterest": 745,
                "bid": 2.55,
                "ask": 2.65,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635530886,
                "impliedVolatility": 0.500005,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119C00001500",
                "strike": 1.5,
                "currency": "USD",
                "lastPrice": 2.05,
                "change": -0.29999995,
                "percentChange": -12.765956,
                "volume": 552,
                "openInterest": 4180,
                "bid": 2.05,
                "ask": 2.15,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537384,
                "impliedVolatility": 0.500005,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119C00002000",
                "strike": 2,
                "currency": "USD",
                "lastPrice": 1.65,
                "change": -0.25,
                "percentChange": -13.157895,
                "volume": 690,
                "openInterest": 13203,
                "bid": 1.55,
                "ask": 1.7,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537584,
                "impliedVolatility": 1.5312523437499999,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119C00002500",
                "strike": 2.5,
                "currency": "USD",
                "lastPrice": 1.33,
                "change": -0.27999997,
                "percentChange": -17.391302,
                "volume": 1020,
                "openInterest": 17236,
                "bid": 1.25,
                "ask": 1.35,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537541,
                "impliedVolatility": 2.031254921875,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119C00003000",
                "strike": 3,
                "currency": "USD",
                "lastPrice": 1.08,
                "change": -0.25,
                "percentChange": -18.796993,
                "volume": 5356,
                "openInterest": 39511,
                "bid": 1.05,
                "ask": 1.1,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537554,
                "impliedVolatility": 2.3125042187499996,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119C00003500",
                "strike": 3.5,
                "currency": "USD",
                "lastPrice": 0.9,
                "change": -0.20000005,
                "percentChange": -18.181822,
                "volume": 3392,
                "openInterest": 25643,
                "bid": 0.85,
                "ask": 0.9,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537558,
                "impliedVolatility": 2.4062539843749997,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119C00004000",
                "strike": 4,
                "currency": "USD",
                "lastPrice": 0.8,
                "change": -0.19999999,
                "percentChange": -19.999998,
                "volume": 10495,
                "openInterest": 27628,
                "bid": 0.75,
                "ask": 0.8,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537587,
                "impliedVolatility": 2.6328159179687503,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119C00004500",
                "strike": 4.5,
                "currency": "USD",
                "lastPrice": 0.65,
                "change": -0.20000005,
                "percentChange": -23.529417,
                "volume": 3095,
                "openInterest": 17618,
                "bid": 0.65,
                "ask": 0.7,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537593,
                "impliedVolatility": 2.750003125,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119C00005000",
                "strike": 5,
                "currency": "USD",
                "lastPrice": 0.6,
                "change": -0.19999999,
                "percentChange": -24.999998,
                "volume": 7981,
                "openInterest": 35026,
                "bid": 0.55,
                "ask": 0.6,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537575,
                "impliedVolatility": 2.7890655273437504,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119C00005500",
                "strike": 5.5,
                "currency": "USD",
                "lastPrice": 0.55,
                "change": -0.14999998,
                "percentChange": -21.428568,
                "volume": 4092,
                "openInterest": 18844,
                "bid": 0.5,
                "ask": 0.55,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537585,
                "impliedVolatility": 2.9140652148437503,
                "inTheMoney": false
              }
            ],
            "puts": [
              {
                "contractSymbol": "PROG211119P00000500",
                "strike": 0.5,
                "currency": "USD",
                "lastPrice": 0.03,
                "change": -0.020000001,
                "percentChange": -40.000004,
                "volume": 4,
                "openInterest": 1765,
                "bid": 0,
                "ask": 0.05,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635532954,
                "impliedVolatility": 4.7500040624999995,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119P00001000",
                "strike": 1,
                "currency": "USD",
                "lastPrice": 0.02,
                "change": -0.01,
                "percentChange": -33.333336,
                "volume": 19,
                "openInterest": 3308,
                "bid": 0,
                "ask": 0.05,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635520228,
                "impliedVolatility": 3.06250234375,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119P00001500",
                "strike": 1.5,
                "currency": "USD",
                "lastPrice": 0.05,
                "change": 0,
                "percentChange": 0,
                "volume": 152,
                "openInterest": 3813,
                "bid": 0.05,
                "ask": 0.1,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635536826,
                "impliedVolatility": 2.81250296875,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119P00002000",
                "strike": 2,
                "currency": "USD",
                "lastPrice": 0.14,
                "change": -0.010000005,
                "percentChange": -6.66667,
                "volume": 314,
                "openInterest": 9444,
                "bid": 0.1,
                "ask": 0.15,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537359,
                "impliedVolatility": 2.3750040624999995,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119P00002500",
                "strike": 2.5,
                "currency": "USD",
                "lastPrice": 0.3,
                "change": -0.049999982,
                "percentChange": -14.285709,
                "volume": 667,
                "openInterest": 7388,
                "bid": 0.3,
                "ask": 0.35,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537558,
                "impliedVolatility": 2.5781285546875,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119P00003000",
                "strike": 3,
                "currency": "USD",
                "lastPrice": 0.58,
                "change": -0.030000031,
                "percentChange": -4.918038,
                "volume": 1307,
                "openInterest": 7639,
                "bid": 0.55,
                "ask": 0.6,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537494,
                "impliedVolatility": 2.6562533593750004,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119P00003500",
                "strike": 3.5,
                "currency": "USD",
                "lastPrice": 0.9,
                "change": 0,
                "percentChange": 0,
                "volume": 2640,
                "openInterest": 2037,
                "bid": 0.9,
                "ask": 0.95,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537559,
                "impliedVolatility": 2.8593778515625,
                "inTheMoney": false
              },
              {
                "contractSymbol": "PROG211119P00004000",
                "strike": 4,
                "currency": "USD",
                "lastPrice": 1.3,
                "change": 0,
                "percentChange": 0,
                "volume": 298,
                "openInterest": 1589,
                "bid": 1.25,
                "ask": 1.35,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537445,
                "impliedVolatility": 2.99219001953125,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119P00004500",
                "strike": 4.5,
                "currency": "USD",
                "lastPrice": 1.75,
                "change": 0.07000005,
                "percentChange": 4.16667,
                "volume": 12,
                "openInterest": 690,
                "bid": 1.65,
                "ask": 1.7,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635521525,
                "impliedVolatility": 3.031252421875,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119P00005000",
                "strike": 5,
                "currency": "USD",
                "lastPrice": 2.1,
                "change": 0,
                "percentChange": 0,
                "volume": 12,
                "openInterest": 1696,
                "bid": 2.05,
                "ask": 2.2,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635537062,
                "impliedVolatility": 3.2148457128906243,
                "inTheMoney": true
              },
              {
                "contractSymbol": "PROG211119P00005500",
                "strike": 5.5,
                "currency": "USD",
                "lastPrice": 2.55,
                "change": -0.049999952,
                "percentChange": -1.9230751,
                "volume": 7,
                "openInterest": 978,
                "bid": 2.5,
                "ask": 2.65,
                "contractSize": "REGULAR",
                "expiration": 1637280000,
                "lastTradeDate": 1635535595,
                "impliedVolatility": 3.3437516406249994,
                "inTheMoney": true
              }
            ]
          }
        ]
      }
    ],
    "error": null
  }
}

It's practically the same data as on this web page as the web page surely uses the same API and database...:
https://finance.yahoo.com/quote/PROG/options?date=1637280000&p=PROG

Btw, in the JSON data above, the "impliedVolatility" value has to be multiplied by 100.

More...

20000 requests per month sounds really low

thecoder · Oct 31, 2021

traider said:
20000 requests per month sounds really low
More...

The next plan for $25.99/m for 75,000 requests/m is not enough as well (at least for my use case), one needs their biggest package for $259/m for unlimited # of requests :-(

thecoder · Oct 31, 2021

thecoder said:
I haven't tried out yet, but it would be interesting to know whether one can request also past (ie. historic) options data via the yfapi.
More...

I just sent an email to their support, asking whether there are also API functions available for requesting (EOD) data of past dates, ie. historic data (in my case historic options data), for backfilling gaps in local DB etc...

algoseek · Nov 15, 2021

My best recommendations are algoseek and Polygon.io.

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Whole-market options data snapshots intraday every 30 minutes

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