Archive Data

The S&P 500 option data is collected on a daily basis from the Google Finance API or the Yahoo Finance API. The following zip files contain the data for each day. Click the various year, month and day linkes to select the date you want. Then download the zip file containing the XML data.

Please note that the option data for the last Friday is not updated on Saturday or Sunday. Google Finance does not update the open interest until Monday morning a few hours before Monday morning. Therefore, you wait until Monday to download the last Friday zip file.

The XML schema is very simple. The root node is "Table" with child nodes "Row". Each row node represents a option, and each option can be considered an underlying stock, expiration date and a strike price. Each row node has attributes for option ticker (o), stock ticker (t), strike (s), price (p), bid (b), ask (a), open interest (i), and volume (v). Here is an example of what the XML looks like.


<Row o="AAPL160415C00122000" t="AAPL" p="0.03" v="15" s="122.00" b="0.01" a="0.02" i="788" />
<Row o="AAPL160415C00123000" t="AAPL" p="0.01" v="22" s="123.00" b="0.01" a="0.02" i="328" />
<Row o="AAPL160415C00124000" t="AAPL" p="0.03" v="-" s="124.00" b="-" a="0.02" i="4" />
<Row o="AAPL160415C00125000" t="AAPL" p="0.01" v="63" s="125.00" b="-" a="0.01" i="30386" />
<Row o="AAPL160415C00126000" t="AAPL" p="0.01" v="-" s="126.00" b="-" a="0.02" i="50" />

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