Retrieving option data from Yahoo! Finance

There are many sources of option data that we could use for our investments, research, or teaching. One of them is Yahoo! Finance. To retrieve option data for IBM, we have the following procedure:

1. Go to http://finance.yahoo.com.
2. Type IBM in the search box (top left-hand side).
3. Click on Options on the left-hand side.

The web page address of Yahoo! Finance is http://finance.yahoo.com/q/op?s=IBM+Options. The screenshot of this web page is shown as follows:

The following program will download option data from Yahoo! Finance:

>>>from pandas.io.data import Options
>>>ticker='IBM'
>>>x = Options(ticker)
>>>calls, puts = x.get_options_data()

We can use the head() and tail() functions to view the first and last several lines of the retrieved data:

>>>calls.head()
   Strike              Symbol   Last  Chg    Bid    Ask  Vol  Open Int
0     100  IBM140118C00100000  78.25    0  83.65  87.10    2        12
1 ...