Historical queries for the Snapshot Options API

[danlim-wz]

Is your feature request related to a problem? Please describe.
Currently, the Snapshot Options API only displays the current state and not the historical states of an option contract. Knowing historical states are vital for strategy formulation/backtesting & powering of option chain analytical dashboards.

(1) Historical open_interest is currently not available. Knowing the change in the daily open_interest for an option contract is particularly useful to determine if contracts are being opened/closed/exchanged (when compared with contract volume).

(2) Historical implied_volatility is currently not available. This is incredibly useful to determine the implied volatility percentile/rank for a given contract/underlying stock.

Describe the solution you'd like
Addition/support for an optional date range query for the Snapshot - Option Contract: /v3/snapshot/options/{underlyingAsset}/{optionContract} endpoint as per your other endpoints:

Describe alternatives you've considered
(1) I currently do not have a way to retrieve historical open interest programmatically. My broker displays it on their platform but it cannot be retrieved via their API. Have considered pulling data from polygon once a day but this is not feasible/scalable at all especially when I need data from 2 years back.

(2) I currently pull historical stock prices and it's 1 month forward option contract prices and solve for the implied volatility using the Black-Scholes formula. This results in a lot of computations. It would be much easier/faster if polygon offered the historical implied volatility for option contracts.

Additional context
The 13/52 week Implied Volatility Percentile/Rank is widely used/displayed and may potentially be of some value if offered.

P.S. Really appreciate the Polygon team's work on the options API endpoints thus far!

[jrbell19]

This is one of the most highly requested feature requests, so we are working to prioritize this. We have all the data, we just need to build the service out.

[jyt109]

Is there an update here, generally it seems like implied_volatility is also missing after market hours

[andrewcz]

Second this @jrbell19

[bad76]

Is there any update here?

[ARNAUFITE]

Any update? I personally think historical open interest should be mandatory...

[AirswitchAsa]

we need historical option chian data