getOptionChain() not returning Index Options Data in R

Question

I am trying to call all the ^SPX options tables via quantmod:

library("quantmod")

# Returns the front month
getOptionChain("^SPX")

# does not return all the Option Tables
getOptionChain("^SPX", Exp=NULL)

The error message I get:

> getOptionChain("^SPX", NULL)
Error in (function (object = nm, nm)  : 
  attempt to set an attribute on NULL

How do I fix this issue so i can call all option tables?

Answer 1

The last two expiration dates for "^SPX" do not have data for calls and puts, respectively. Here's a patch you can apply to fix the issue (and an issue with commas in numeric data, which causes them to be kept as character):

diff --git a/R/getOptionChain.R b/R/getOptionChain.R
index fb490ef..b3cca51 100644
--- a/R/getOptionChain.R
+++ b/R/getOptionChain.R
@@ -20,13 +20,17 @@ getOptionChain.yahoo <- function(Symbols, Exp, ...)
       XML::xmlValue(x)
     }
   }
-  NewToOld <- function(x) {
+  NewToOld <- function(x, nm) {
+    if(is.null(x))
+      return(x)
     # clean up colnames, in case there's weirdness in the HTML
-    x <- setNames(x, make.names(names(x)))
+    x <- setNames(x, make.names(nm))
     # set cleaned up colnames to current output colnames
     d <- with(x, data.frame(Strike=strike, Last=last, Chg=change,
       Bid=bid, Ask=ask, Vol=volume, OI=openinterest,
       row.names=`contractname`, stringsAsFactors=FALSE))
+    # remove commas from the numeric data
+    d[] <- lapply(d, gsub, pattern=",", replacement="", fixed=TRUE)
     d[] <- lapply(d, type.convert, as.is=TRUE)
     d
   }
@@ -100,8 +104,7 @@ getOptionChain.yahoo <- function(Symbols, Exp, ...)
   dftables <- XML::xmlApply(XML::getNodeSet(tbl, xpaths$tables), XML::readHTMLTable, stringsAsFactors=FALSE)
   names(dftables) <- table.names

-  dftables <- mapply(setNames, dftables, table.headers, SIMPLIFY=FALSE)
-  dftables <- lapply(dftables, NewToOld)
+  dftables <- mapply(NewToOld, x=dftables, nm=table.headers, SIMPLIFY=FALSE)
   dftables
 }