Hey Everyone,
Since I'm trying to paper-trade an Options strategy that involves analyzing the "Greeks" (Delta, Gamma, etc.), I'm curious if anyone knew of any good tools for retrieving, searching, and analyzing the relevant data: especially if it's free!
You can find data on Options Chains everywhere, but I could only find data on the Greeks from the Nasdaq website (here's an example for SPY: http://www.nasdaq.com/symbol/spy/option-chain/greeks). Unfortunately, it doesn't allow me to go directly to a particular date; instead it lists out all the strike prices for every Friday in a particular month across several "pages". In other words, if I want to find some data on options that expire -say- June 19, 2015, I'm greeted with a bunch of June 5th options on sheet "1 of 10" and I kinda need to guess which sheet has the data for June 19th. Feel free to check out the link to see what I mean.
My initial solution was to import the data from each individual webpage to a spreadsheet, which is actually pretty easy to do with the "importHTML" function, then I could "massage" the data a little bit and find the appropriate data with a simple search (i.e. search "6/19/2015"). In fact, I made a rudimentary spreadsheet in Google Drive that brings up the Greeks from the Nasdaq website when you enter a ticker symbol, you can check it out with the following link and then clicking "File" > "Make a Copy" (https://docs.google.com/spreadsheets/d/1X9VBq7TLUa0wreJG_6DOQAN7pz-k5lTBYhppty_EH24/edit?usp=sharing).
I might make some more updates in the future, for example I might have the spreadsheet ONLY display data for a particular date. In the meantime, though, I hope this helps you all with your Options Trading =)
Oh, and of course, feedback & suggestions would be fantastic! In fact, feel free to copy & modify my work: I just request that you share your contributions with the community