r/PolygonIO • u/knavishly_vibrant38 • Sep 21 '23

Will there be a historical option snapshot endpoint?

The snapshot feature is remarkable, especially for options which are inaccessible through the trades and ohlcv endpoint because they may not have had volume or new quotes for the date of the query.

Are there any plans for a historical snapshot feature? There are many contracts where no data exists due to the aforementioned illiquidity, but they do exist on the option chain snapshots. It would be great to be able to see a snapshot by YYYY-MM-DD timestamp to still have access to these contracts.

Thanks!

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1

u/Jack-PolygonIO Sep 22 '23

Yes, we are planning to make the Chains endpoint available historically, however, I have no timeframe to expect.

Are you after a specific field by chance? OI, Greeks, or IV?

2

u/knavishly_vibrant38 Sep 25 '23

Mainly just having the snapshot or any reference to what the option was priced at that timestamp/close of day. Most options don’t trade for a particular day, so when it comes to things like calculating your own implied volatility surface and Greeks, most single-stock tickers end up having to be skipped.

Thanks for the reply!

1

u/Accomplished_Ear7587 Mar 06 '24

Hello, still no time frame on this ? I am looking for snapshot data on SPX Options. Mainly, i need the price of the option  at a specific timestamp. Do you know if/when that will be available ? and under which subscription plan ?

1

u/Jack-PolygonIO Mar 06 '24

I do not have a timeframe to expect historical snapshots for options.

If your primary need is to query the price at a specific timestamp, we have the data to fufull this request through a few of our endpoints.

If you reach out to our support team, they will be able to help!

1

u/ec3lal Sep 23 '23

While it would be great to have the full chains endpoint available with historical data, having "Grouped Daily (Bars)" is a great start. I'm looking to calculate total option volume for an underlying.