Does anyone know a good source of option open intrest in equities? I tried to get it out of IB using their API but it is not one of the data fields available. Esignal has it but since OI is only published 1 time a day, I don't want to pay $200/mo for it. Any other suggestions? Thanks
I don't know that I am understanding you completely. You can get OI from free sites like MSN money. Are you looking for real-time info or something?
I should've made my question more clear. I would like to be able to have a list of tickers in excel and use VB to download into excel the open interest of the options underlying that ticker. I used to be able to do it thru Esignal using DDE. For instance, I would use IB's API to get all the appropriate options of QQQQ i.e. QQQRP QQQRO QQQAO,etc then use esignals dde to download the OI of each option once a day. Being that I don't want to use esignal, are there any other sites I could use. Thanks again.
I was thinking about this for you but couldn't come up with anything. The APIs I know of don't supply OI data but I'm sure there are others besides ESignal that do - most likely will have to pay similar fees though. Given OI is updated daily, you can always manually download from Yahoo.com etc. and merge in your spreadsheet. If using Internet Explorer and Excel this can actually be quite painless - just right-click on the option chains table on the web page and "Export to Microsoft Excel". I'm not sure if any of the Yahoo data downloader tools support downloading Options chains directly. Last resort is to develop a screen scraper yourself to do this if you have the capabilities. As always, there is probably an even simpler solution than all above but brain is mush right now. Sorry. MoMoney.
If you're using VB you can get the option chains from Yahoo!, including the open interest, easily. I don't know how accurate and delayed is their data: i.e. http://finance.yahoo.com/q/op?s=QQQQ&m=2006-06
are you a programer ? 20$ a month , I use them for couple of years http://www.stricknet.com/main/eqdata.htm
Thanks IV, the $20 is for stocks, $35 for options and I still don't know if they have OI data. I shall keep looking. I am sure there something out there.I am really suprised IB does not expose OI info in their API.
Thanks for the suggestions. I guess the biggest issue I need to solve is that I don't really need the entire montage per ticker. In addition, since I might have a list of 100 tickers, doing it manually might take hours. Basically I need to be able to submit the options OPRA symbol (i..e QQQ AD) and get its Open int, record it in Excel, go to the next OPRA symbol,etc. Can I retrieve such using YHOO or MSFt money Thanks