Maximum-pain.com is please to announce that it has free option data available. This data is provided free of charge to you. The data is intended to be used for machine learning, neural networks and trading algorithms. However, there is no restriction on how you use it. We would ask that you share any algorithms and results you obtain from this website with us. The purpose of sharing is to publish the findings here and work as a community trading strategies.
Maximum-pain.com is currently working on volatility and max pain data as well. Unfortunately that data is not complete and cannot be released at this time.
You can download the option data for any of the stocks in the S&P 500, the SPY ETF. Please note that the stocks of the S&P 500 to change periodically, so the data would be available from the day the stock was added to the index. You are free to download the options for any stock and use for your own purposes.
The data is gathered daily from Yahoo finance, or Google finance. The data is collected each morning prior to market open for the previous day. Yahoo finance provides bid, ask, last price, open interest, volume and implied volatility data.
The daily options history is provided in comma separated values (csv) format. This is the preffered format for Python Panda dataframes, the most common machine learning language.
Please note that the data may not be complete. First, data has only been captured from the end of January 2017. Second, outages at Yahoo finance caused data to missed near the end of April 2017. However, from Monday May 2, 2017 the data should be complete. Finally, the data may not be suitable for trading. However, it should be useful for algorithm development. You may want to consider purchasing option data for any back testing or trading.