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.
20000 requests per month sounds really low
