Looking for EOD option data for entire option chains (with daily CSV download)

D

d0rian

I have a list of ~400 underlyings for which I want to download a daily CSV with all of the prior day's closing prices for the entire option chain (all strikes, expiries). Want to replace my own DIY solution and willing to pay a nominal subscription fee.
- Must include closing bids / asks
- Must provide a simple easily-downloadable/importable CSV that I can get into Excel each morning.
- Ideally I'd be able to specify the list of underlyings I want option data for...I found a provider who offers a downloadable file with every equity option that trades on US exchanges...but it's a massive 50+MB file; massive overkill for my needs as I only care about a few hundred underlyings.
 
FWIW it wasn't just the file size (which was actually 150MB, which I know still isn't all that onerous all things considered), but also the cost -- the package was priced for professionals ($500+ / month IIRC) who I suppose wanted a total-market snapshot. I can continue to use my DIY solution, which relies on a hack-y mass download > Excel macro-filtering, but was hoping to find an easily-downloadable CSV solution.
 
ensemble said:
https://datashop.cboe.com/option-quotes-end-of-day-with-calcs-subscription
About $1000/year for the entire market. The daily files are around 35 MB compressed.
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^That. You can get a 20% discount if you can do the calculations yourself (personally, I would not trust the vendor vols or greeks anyway). But the data is probably as good as you are going to get and they give you both a snap during a liquid point of the day as well as a closing print.
 
Thanks, i'd looked at CBOE but didn't realize they had monthly/annual subscription options which brings it down into the affordability range; had previously thought the only option was to buy daily downloads x 365 (or # of trading days or what-not)
 
My own solution for data downloads and data quality is to support multiple data sources and automation by moving some functionality from the db to the application level. Adding new data api's without adding new code, price adjustments, bad data, exchange wide processing, analytics, automatic download and db updates etc are then more easily supported while keeping the advantages of the rdbms approach. It takes some effort to do this but for me it has been worth it.
 
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d0rian said:
Thanks, i'd looked at CBOE but didn't realize they had monthly/annual subscription options which brings it down into the affordability range; had previously thought the only option was to buy daily downloads x 365 (or # of trading days or what-not)
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CBOE "without calcs" data is $600/yr. Nightly zip file is ~22mb. Put your tickers in a text file, one ticker per line. Then use the following one-liner to parse the file:

Code: 
gawk -F, 'NR==FNR{a[$1]++;next}$1 in a' tickers.txt UnderlyingOptionsEODQuotes_2020-02-14.csv > temp.csv

Then load temp.csv into excel.
 
Kevin Schmit said:
CBOE "without calcs" data is $600/yr. Nightly zip file is ~22mb. Put your tickers in a text file, one ticker per line. Then use the following one-liner to parse the file:

Code: 
gawk -F, 'NR==FNR{a[$1]++;next}$1 in a' tickers.txt UnderlyingOptionsEODQuotes_2020-02-14.csv > temp.csv

Then load temp.csv into excel.
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Yep, I found the $600 w/o Calcs option too; seems to be everything i need at the lowest price point.

I have very rudimentary programming chops (aka can't code but can usually hack something together with some help) -- is that line of code you give something I drop into a batch file and run as a .bat?
 
d0rian said:
-- is that line of code you give something I drop into a batch file and run as a .bat?
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Yes, gawk,exe is a command line scripting utility for file manipulation, You need it in your path for the command to work in a batch file The one-liner could also be done with other command line utilities like sed, grep,... or perl, You can download standalone versions of these utilities here:

https://sourceforge.net/projects/ezwinports/

Or, better, just install Cygwin (www.cygwin.com) and add the cygwin bin diretory to your path.

If you put the command in a batch file you will want to make the date an input arg, as the CBOE filename changes each day,.So replace the date in the above line by %1. You can also use the utility ncftpget (comes with cygwin, or wget or curl...) in your batch file to automatically download the nightly file, then unzip to uncommpress it, and then the gawk line above.
 
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