getOptionChain does not pull down last trade date and implied volatility from Yahoo

[hg2581]

Description

getOptionChain from CRAN does not pull last trade or implied volatility from Yahoo.

Expected behavior

Both ot these should be pulled since they are useful.

Minimal, reproducible example

getOptionChain("SPY")

[joshuaulrich]

I can add IV, but last trade is already returned in the "Last" column.

oc <- quantmod::getOptionChain("SPY")
head(oc$puts)
                   Strike Last Chg Bid  Ask Vol   OI
SPY200518P00140000    140 0.01   0   0 0.01   1  844
SPY200518P00145000    145 0.06   0   0 0.01   3   50
SPY200518P00150000    150 0.01   0   0 0.01   2 1125
SPY200518P00155000    155 0.04   0   0 0.01   1   16
SPY200518P00160000    160 0.01   0   0 0.01  40  166
SPY200518P00165000    165 0.01   0   0 0.01   1   96

Maybe you meant "lastTradeDate"?

[hg2581]

Yes, you are correct, I do mean lastTradeDate. Both that and IV have value.

Thank you!

[rjvelasquezm]

Just a heads up, I downloaded the github version of quantmod and am now running into issues with getOptionChain.

Trying to run the following command: spy_chain = getOptionChain('SPY','2020')

returns the error: Error in class(xx) <- cl : attempt to set an attribute on NULL

If I tried to pull options for AAPL rather than SPY there didn't seem to be any issue there.

[joshuaulrich]

Thanks for testing, and thanks for the report!

I can replicate, and it looks like it's because the lastTradeDate is NULL.

R> spy_chain = quantmod::getOptionChain('SPY','2020')
## Error in class(xx) <- cl : attempt to set an attribute on NULL
R> traceback()
## 6: .POSIXct(dftables$calls$lastTradeDate, tz = tz)
## 5: FUN(X[[i]], ...)
## 4: lapply(expiry.subset, getOptionChain.yahoo, Symbols = Symbols,
##        .expiry.known = TRUE)
## 3: getOptionChain.yahoo(Symbols = "SPY", Exp = "2020")
## 2: do.call(Call, list(Symbols = Symbols, Exp = Exp, ...))
## 1: quantmod::getOptionChain("SPY", "2020")
R> .POSIXct
## function (xx, tz = NULL, cl = c("POSIXct", "POSIXt"))
## {
##     class(xx) <- cl    ## <- this line throws the error because 'xx' is NULL
##     attr(xx, "tzone") <- tz
##     xx
## }
## <bytecode: 0x5644f9943b28>
## <environment: namespace:base>

I will fix. Thanks again!

[joshuaulrich]

@rjvelasquezm this should be fixed in master now.

[rjvelasquezm]

Awesome, thanks a lot!!