Extract data from Alpha Vantage returned data

Usage

av_grep_opts(
  indta,
  grepstring = "F,M,C,otm",
  spot = NULL,
  mindays = 3,
  startdt = Sys.Date(),
  mindelta = 0.05,
  dropsymbol = FALSE
)

Arguments

indta

A data.table as returned by av_get_pf()

grepstring

(default F,M,call,otm,act) Three to five item string to select specific maturities, option types, strike ranges, and open interest categories from option sets returned by av_get_pf(.,"HISTORICAL_OPTIONS"). Each item in the list is an abbreviated code for what to select. The items are not case sensitive and in order are

Item	Values	description
Expiration Limit	`[F	B
Maturity Type	`[M	Q
Option Type	`[C	P
Moneyness	`[otm	itm
Activity	`[act	A]`

spot

(default NULL) Spot to be used to determine itm/otm, If null then it is inferred from most out of the money call or put Note: This parameter only applies if there is one symbol in indta. If there is more than one ticker in indta a column spot must be in indta to get correct results.

mindays

(default 3). Minimum number of days to expiration to be passed through from startdt

startdt

(default Sys.Date()). Date from which expirations will be considered.

mindelta

(default 0.05) delta limit on both moneyness sides, i.e. pass only options with deltas in range c(mindelta,1-mindelta)

dropsymbol

(default FALSE). Drop symbol from returned data table.

Value

A reduced set of options obtained from av_get_pf() using Alphavantage HISTORICAL_OPTIONS function.

Details

av_get_pf() returns a large list of options. This function helps to narrow down the list by maturity and moneyness.

Examples