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polygon-io / feature-requests

Feature requests for the Polgon.io Platform. Any bug reports should be opened in polygon-io/issues/issuess
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Historical queries for the Snapshot Options API #3

Open danlim-wz opened 2 years ago

danlim-wz commented 2 years ago

Is your feature request related to a problem? Please describe. Currently, the Snapshot Options API only displays the current state and not the historical states of an option contract. Knowing historical states are vital for strategy formulation/backtesting & powering of option chain analytical dashboards.

(1) Historical open_interest is currently not available. Knowing the change in the daily open_interest for an option contract is particularly useful to determine if contracts are being opened/closed/exchanged (when compared with contract volume).

(2) Historical implied_volatility is currently not available. This is incredibly useful to determine the implied volatility percentile/rank for a given contract/underlying stock.

Describe the solution you'd like Addition/support for an optional date range query for the Snapshot - Option Contract: /v3/snapshot/options/{underlyingAsset}/{optionContract} endpoint as per your other endpoints: Screenshot from 2022-05-05 19-48-09

Describe alternatives you've considered (1) I currently do not have a way to retrieve historical open interest programmatically. My broker displays it on their platform but it cannot be retrieved via their API. Have considered pulling data from polygon once a day but this is not feasible/scalable at all especially when I need data from 2 years back.

(2) I currently pull historical stock prices and it's 1 month forward option contract prices and solve for the implied volatility using the Black-Scholes formula. This results in a lot of computations. It would be much easier/faster if polygon offered the historical implied volatility for option contracts.

Additional context The 13/52 week Implied Volatility Percentile/Rank is widely used/displayed and may potentially be of some value if offered.

P.S. Really appreciate the Polygon team's work on the options API endpoints thus far!

jrbell19 commented 1 year ago

This is one of the most highly requested feature requests, so we are working to prioritize this. We have all the data, we just need to build the service out.

jyt109 commented 1 year ago

Is there an update here, generally it seems like implied_volatility is also missing after market hours

andrewcz commented 1 year ago

Second this @jrbell19

bad76 commented 5 months ago

Is there any update here?

ARNAUFITE commented 3 months ago

Any update? I personally think historical open interest should be mandatory...

AirswitchAsa commented 3 months ago

we need historical option chian data