Extract option IDs from option chain

I'm using Jeff Ryan's excellent QuantMod and its getOptionChain
to download option data. I've fruitlessly spent hours searching
for a way to extract option ID's as strings.

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.)

Thanks in advance for any help on this very frustrating problem.

The R world is too vast for my half-vast brain... :(

-rex
My sister opened a computer store in Hawaii.  She sells C shells down
by the seashore.
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.

Surely there's a simple way? All I want is the number of trading
days to expiration of options of a particular type that expire in
a given month.

-rex
Expansion means complexity; and complexity decay.
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
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com
An embedded and charset-unspecified text was scrubbed...
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Yahoo hasn't done a stellar job with the OSI initiative as far as I
can tell. They seem to be getting better, but as Marc points out, it
is far from perfect.

You could possibly go from right to left to avoid the symbol width
issue (which *should* be 6 wide).

One other comment though --- if you are just looking to get days to
expiry, you are specifically requesting that in the call to retrieve
the chains - so all the parsing isn't really needed for that part.

Best,
Jeff
Just a final word of caution if you automate this procedure across a large
number of stocks. ?From time to time, you will find option symbols that
deviate from the standard format, i.e. where there are more than 6
characters between the stock ticker and the option type symbol. ?Code
similar to the one presented by Gabor was failing for me for some stocks
because of that. ?Currently I used a brute force approach, I remove all
these as they typically also would pollute other calculations like the
implied volatility. ?A current example of this type of problem is the
October expiration for BHI, see below. ?In my approach, I remove all rows
where the number of characters is strictly more than the minimum for that
expiration.

Options <- getOptionChain("BHI",Exp=NULL)
rownames(Options[[2]]$puts)
?[1] "BHI1101016P00017000" "BHI1101016P00018000" "BHI1101016P00019000"
"BHI101016P00020000"
?[5] "BHI1101016P00020000" "BHI1101016P00021000" "BHI1101016P00022000"
"BHI101016P00022500"
?[9] "BHI1101016P00023000" "BHI1101016P00024000" "BHI101016P00025000"
"BHI1101016P00025000"
[13] "BHI1101016P00026000" "BHI101016P00030000" ?"BHI101016P00034000"
"BHI101016P00035000"
[17] "BHI101016P00036000" ?"BHI101016P00037000" ?"BHI101016P00038000"
"BHI101016P00039000"
[21] "BHI101016P00040000" ?"BHI101016P00041000" ?"BHI101016P00042000"
"BHI101016P00043000"
[25] "BHI101016P00044000" ?"BHI101016P00045000" ?"BHI101016P00046000"
"BHI101016P00047000"
[29] "BHI101016P00048000" ?"BHI101016P00049000" ?"BHI101016P00050000"
"BHI101016P00055000"
[33] "BHI101016P00060000" ?"BHI101016P00065000"
nchar(rownames(Options[[2]]$puts))
?[1] 19 19 19 18 19 19 19 18 19 19 18 19 19 18 18 18 18 18 18 18 18 18 18 18
18 18 18 18 18
[30] 18 18 18 18 18

On Mon, Sep 6, 2010 at 6:45 PM, Gabor Grothendieck
<ggrothendieck at gmail.com>wrote:

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
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com

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Jeffrey Ryan
jeff.a.ryan at gmail.com
Just a final word of caution if you automate this procedure across a large
number of stocks. ?From time to time, you will find option symbols that
deviate from the standard format, i.e. where there are more than 6
characters between the stock ticker and the option type symbol. ?Code
If we can assume that its garbage followed by 6 good digits followed
by P then just replace \d+ with \d{6} in the strapply solution like
this:
x <- c("BHI1101016P00017000", "BHI1101016P00018000", "BHI1101016P00019000",
+ "BHI101016P00020000", "BHI1101016P00020000", "BHI1101016P00021000",
+ "BHI1101016P00022000", "BHI101016P00022500", "BHI1101016P00023000",
+ "BHI1101016P00024000", "BHI101016P00025000", "BHI1101016P00025000",
+ "BHI1101016P00026000", "BHI101016P00030000", "BHI101016P00034000",
+ "BHI101016P00035000", "BHI101016P00036000", "BHI101016P00037000",
+ "BHI101016P00038000", "BHI101016P00039000", "BHI101016P00040000",
+ "BHI101016P00041000", "BHI101016P00042000", "BHI101016P00043000",
+ "BHI101016P00044000", "BHI101016P00045000", "BHI101016P00046000",
+ "BHI101016P00047000", "BHI101016P00048000", "BHI101016P00049000",
+ "BHI101016P00050000", "BHI101016P00055000", "BHI101016P00060000",
+ "BHI101016P00065000")
strapply(x, "(\\d{6})P", ~ as.Date(x, "%y%m%d"), simplify = c)
[1] "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16"
 [6] "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16"
[11] "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16"
[16] "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16"
[21] "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16"
[26] "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16"
[31] "2010-10-16" "2010-10-16" "2010-10-16" "2010-10-16"
Statistics & Software Consulting
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com
It is not Yahoo for BHI, this is the arguably strange method that was
specified for contract changes, and
OCC should/could have selected something that makes a little bit more
sense.  The relevant text from
http://www.optionsclearing.com/components/docs/initiatives/symbology/contract_adjustments_and_the_osi.pdf
reads like this

"Under OSI, the option symbol in most cases will be the same as the
stock symbol. For
example, ?MSFT? will be the option symbol for the underlying security
?MSFT?. If an
option symbol change is necessary in a contract adjustment (e.g., 3
for 2 split), option
symbol MSFT will change to MSFT1, with the numeric suffix identifying
this option as
an adjusted, ?non-standard? contract."

This mostly guarantees that you need extra information about the exact
change to interpret the non standard
quotes, so IMO it is simpler to drop all of these non standard symbols
when using automated scripts.  OCC choice
was poor as it may be difficult to spot the extra "1" especially for
years 201x, it literally took me 10+ minutes to
spot the difference while trying to understand why my script was
failing to correctly calculate the expiration date :-(
Yahoo hasn't done a stellar job with the OSI initiative as far as I
can tell. They seem to be getting better, but as Marc points out, it
is far from perfect.

You could possibly go from right to left to avoid the symbol width
issue (which *should* be 6 wide).

One other comment though --- if you are just looking to get days to
expiry, you are specifically requesting that in the call to retrieve
the chains - so all the parsing isn't really needed for that part.

Best,
Jeff

On Mon, Sep 6, 2010 at 10:29 PM, Marc Delvaux <mdelvaux at gmail.com> wrote:
Just a final word of caution if you automate this procedure across a large
number of stocks. ?From time to time, you will find option symbols that
deviate from the standard format, i.e. where there are more than 6
characters between the stock ticker and the option type symbol. ?Code
similar to the one presented by Gabor was failing for me for some stocks
because of that. ?Currently I used a brute force approach, I remove all
these as they typically also would pollute other calculations like the
implied volatility. ?A current example of this type of problem is the
October expiration for BHI, see below. ?In my approach, I remove all rows
where the number of characters is strictly more than the minimum for that
expiration.

Options <- getOptionChain("BHI",Exp=NULL)
rownames(Options[[2]]$puts)
?[1] "BHI1101016P00017000" "BHI1101016P00018000" "BHI1101016P00019000"
"BHI101016P00020000"
?[5] "BHI1101016P00020000" "BHI1101016P00021000" "BHI1101016P00022000"
"BHI101016P00022500"
?[9] "BHI1101016P00023000" "BHI1101016P00024000" "BHI101016P00025000"
"BHI1101016P00025000"
[13] "BHI1101016P00026000" "BHI101016P00030000" ?"BHI101016P00034000"
"BHI101016P00035000"
[17] "BHI101016P00036000" ?"BHI101016P00037000" ?"BHI101016P00038000"
"BHI101016P00039000"
[21] "BHI101016P00040000" ?"BHI101016P00041000" ?"BHI101016P00042000"
"BHI101016P00043000"
[25] "BHI101016P00044000" ?"BHI101016P00045000" ?"BHI101016P00046000"
"BHI101016P00047000"
[29] "BHI101016P00048000" ?"BHI101016P00049000" ?"BHI101016P00050000"
"BHI101016P00055000"
[33] "BHI101016P00060000" ?"BHI101016P00065000"
nchar(rownames(Options[[2]]$puts))
?[1] 19 19 19 18 19 19 19 18 19 19 18 19 19 18 18 18 18 18 18 18 18 18 18 18
18 18 18 18 18
[30] 18 18 18 18 18

On Mon, Sep 6, 2010 at 6:45 PM, Gabor Grothendieck
<ggrothendieck at gmail.com>wrote:

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
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com

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Jeffrey Ryan
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Marc Delvaux <mdelvaux at gmail.com> [2010-09-06 20:30]:
Just a final word of caution if you automate this procedure across a large
number of stocks.  From time to time, you will find option symbols that
deviate from the standard format, i.e. where there are more than 6
characters between the stock ticker and the option type symbol.
Thanks for the heads up.

As Jeff mentioned, this is a Yahoo implementation problem, not
OSI. While OSI provides for symbol changes as you pointed out, OSI
also specifies field widths, and the symbol field should be padded
if the symbol < 6 chars. Unfortunately, the padding character is
apparently not specified, and longer fields are permitted. (!) 

http://www.optionsclearing.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf

(Page 4)
Minimum field sizes
      Symbol ? 6 bytes
      Year ? 2 bytes
      Month ? 2 bytes
      Day ? 2 bytes
      Call/Put indicator ? 1 byte
Options <- getOptionChain("BHI",Exp=NULL)
Your command above fails for me:
Options <- getOptionChain("BHI",Exp=NULL)
Error in as.yearmon.character(allExp) :
  yearmon variable can only have one format

So does your next line when used on a successful getOptionChain call:
rownames(Options[[2]]$puts)
Error in Options[[2]]$puts : $ operator is invalid for atomic
vectors

Both rownames(Options[[2]]) and rownames(Options$puts) return the
desired result.

I don't see how the commands below could possibly have worked for you.
rownames(Options[[2]]$puts)
[1] "BHI1101016P00017000" "BHI1101016P00018000" "BHI1101016P00019000"
"BHI101016P00020000"
[5] "BHI1101016P00020000" "BHI1101016P00021000" "BHI1101016P00022000"
"BHI101016P00022500"
[9] "BHI1101016P00023000" "BHI1101016P00024000" "BHI101016P00025000"
"BHI1101016P00025000"
[13] "BHI1101016P00026000" "BHI101016P00030000"  "BHI101016P00034000"
"BHI101016P00035000"
[17] "BHI101016P00036000"  "BHI101016P00037000"  "BHI101016P00038000"
"BHI101016P00039000"
[21] "BHI101016P00040000"  "BHI101016P00041000"  "BHI101016P00042000"
"BHI101016P00043000"
[25] "BHI101016P00044000"  "BHI101016P00045000"  "BHI101016P00046000"
"BHI101016P00047000"
[29] "BHI101016P00048000"  "BHI101016P00049000"  "BHI101016P00050000"
"BHI101016P00055000"
[33] "BHI101016P00060000"  "BHI101016P00065000"
nchar(rownames(Options[[2]]$puts))
[1] 19 19 19 18 19 19 19 18 19 19 18 19 19 18 18 18 18 18 18 18 18 18 18 18
18 18 18 18 18
[30] 18 18 18 18 18
-rex
"It is not disbelief that is dangerous to our society; it is
belief." --G.B. Shaw
Jeff Ryan <jeff.a.ryan at gmail.com> [2010-09-06 20:46]:
One other comment though --- if you are just looking to get days to
expiry, you are specifically requesting that in the call to retrieve
the chains - so all the parsing isn't really needed for that part.
The expiration day is not specified in my call. The call to getOptionChain is:
allOpts <- getOptionChain(stkSym, Exp=optExpire) where optExpire
<- "2010-09". So, parsing the returned option data is required to
get the expiration day unless some other solution is used.

The obscure part of my code is this line:
id         <- dimnames(allOpts$puts)[1][[1]]
I only discovered it provided what's needed after a lot of
fiddling with things that didn't work. I now use the much clearer:

id <- rownames(allOpts$puts)

It's obvious in retrospect. :(

The rest is straightforward:
id1        <- id[1]
expDate    <- as.Date(paste("20", substr(id1,5,6), "-", substr(id1,7,8), "-", substr(id1,9,10), sep=""))
Jeff, thanks again for your many and continuing contributions to
the R community. I use QuantMod constantly and recently started
exploring your IBrokers package. 

-rex
Here I am in 53 B.C. and all I want is a dill pickle!!