[R-SIG-Finance] Extract option IDs from option chain

[Gabor Grothendieck]

On Mon, Sep 6, 2010 at 8:37 PM, rex <rex at nosyntax.net> wrote:
> rex <rex at nosyntax.net> [2010-09-06 16:11]:
>>
>> Format is:
>>
>>> allOpts <- getOptionChain("AAPL", Exp=optExpire)
>>> allOpts
>>
>> $calls
>>                     Strike   Last   Chg    Bid    Ask   Vol    OI
>> AAPL100918C00150000    150 108.50 16.50 106.80 108.85     3    13
>> AAPL100918C00155000    155  96.77  0.00 102.40 103.85     4    10
>> AAPL100918C00160000    160  95.75  4.50  97.40  98.85    10    30
>> [...]
>>
>> $puts
>>                   Strike  Last   Chg   Bid   Ask   Vol    OI
>> AAPL100918P00150000    150  0.01  0.00    NA  0.01     6   876
>> AAPL100918P00155000    155  0.02  0.00    NA  0.01    30   666
>> AAPL100918P00160000    160  0.02  0.00    NA  0.01    79  1535
>> [...]
>>
>> $symbol
>> [1] "AAPL"
>>
>> The obvious thing fails to produce the desired result:
>>>
>>> index(allOpts$puts)
>>
>> [1]  1  2  3  4  5  6  7  8  9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
>> 24
>>
>> What I need are the indexes of both $calls and $puts as a set of
>> strings that can be split, etc. (I need the expiration date of the
>> options as a Date to be used to calculate the days to expiration.)
>
> A solution (fugly, for sure):
>
>> dimnames(allOpts$puts)
>
> [[1]]
> [1] "AAPL100918P00150000" "AAPL100918P00155000" "AAPL100918P00160000"
> [4] "AAPL100918P00165000" "AAPL100918P00170000" "AAPL100918P00175000"
> [7] "AAPL100918P00180000" "AAPL100918P00185000" "AAPL100918P00190000"
> [10] "AAPL100918P00195000" "AAPL100918P00200000" "AAPL100918P00210000"
> [13] "AAPL100918P00220000" "AAPL100918P00230000" "AAPL100918P00240000"
> [16] "AAPL100918P00250000" "AAPL100918P00260000" "AAPL100918P00270000"
> [19] "AAPL100918P00280000" "AAPL100918P00290000" "AAPL100918P00300000"
> [22] "AAPL100918P00310000" "AAPL100918P00320000" "AAPL100918P00330000"
>
> [[2]]
> [1] "Strike" "Last"   "Chg"    "Bid"    "Ask"    "Vol"    "OI"
>>
>> id <- dimnames(allOpts$puts)[1]
>> id
>
> [[1]]
> [1] "AAPL100918P00150000" "AAPL100918P00155000" "AAPL100918P00160000"
> [4] "AAPL100918P00165000" "AAPL100918P00170000" "AAPL100918P00175000"
> [7] "AAPL100918P00180000" "AAPL100918P00185000" "AAPL100918P00190000"
> [10] "AAPL100918P00195000" "AAPL100918P00200000" "AAPL100918P00210000"
> [13] "AAPL100918P00220000" "AAPL100918P00230000" "AAPL100918P00240000"
> [16] "AAPL100918P00250000" "AAPL100918P00260000" "AAPL100918P00270000"
> [19] "AAPL100918P00280000" "AAPL100918P00290000" "AAPL100918P00300000"
> [22] "AAPL100918P00310000" "AAPL100918P00320000" "AAPL100918P00330000"
>>
>> typeof(id)
>
> [1] "list"
>>
>> id2 <- id[[1]]
>> id2[2]
>
> [1] "AAPL100918P00155000"
>>
>> substr(id2[2], 5, 10)
>
> [1] "100918"
>>
>> dat <- paste("20", substr(id2[2], 5, 10), sep="")
>
> < dat
> [1] "20100918"
>>
>> expDate <- as.Date(paste(substr(dat,1,4), "-", substr(dat,5,6), "-",
>> substr(dat,7,8), sep=""))
>> expDate
>
> [1] "2010-09-18"
>
> The above has got to be about the most convoluted and arcane
> method to get the expiration date one can imagine.

Here are a few approaches and variations:

> x <- rep( "AAPL100918P00155000", 3)
>
> # 1 - gsub
>
> as.Date(gsub("^\\D+|P.*", "", x), "%y%m%d")
[1] "2010-09-18" "2010-09-18" "2010-09-18"

> # 2 - rbind and strsplit
>
> as.Date(do.call(rbind, strsplit(x, "\\D+"))[,2], "%y%m%d")
[1] "2010-09-18" "2010-09-18" "2010-09-18"

> # 3 - sapply and strsplit
>
> as.Date(sapply(strsplit(x, "\\D+"), "[[", 2), "%y%m%d")
[1] "2010-09-18" "2010-09-18" "2010-09-18"

> # 4 - strapply
>
> library(gsubfn)
> strapply(x, "(\\d+)P", ~ as.Date(x, "%y%m%d"), simplify = c)
[1] "2010-09-18" "2010-09-18" "2010-09-18"

-- 
Statistics & Software Consulting
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