BUG: Fix pandas.io.data.Options for change in format of Yahoo Option page

ENH: Automatically choose next expiry if expiry date isn't valid

COMPAT: Remove dictionary comprehension to pass 2.6 test

BUG: Add check that tables were downloaded.

ENH: Replace third_saturday function with Pandas offset

BUG: Check to make sure enough option tables are downloaded.

TST: Add sample options page during market open.

DOC: Add bug fix report to v0.15.1.txt for data.Options

BUG: Ensure that the value used for chopping is within the range of strikes.

TST: Add test for requesting out of range chop

BUG: Fix missing underlying price and quote time in first process data

BUG: Fix AM/PM on quote time

ENH: Refactor to expose available expiry dates

DOC: Update documentation for Options given Yahoo change.

DOC: Update documentation for Options given Yahoo change.

BUG: Undo accidental deletion of privat emethods

ENH: Add ability to use list as expiry parameter.

Also has year & month return all data for the specified year and month.

TST: Remove tests for warnings that are no longer in use.

DOC: Update docstrings of Options class.

Author: davidastephens

doc/source/remote_data.rst

@@ -86,8 +86,27 @@ If you don't want to download all the data, more specific requests can be made.
       data = aapl.get_call_data(expiry=expiry)
       data.iloc[0:5:, 0:5]
 
-Note that if you call ``get_all_data`` first, this second call will happen much faster, as the data is cached.
+Note that if you call ``get_all_data`` first, this second call will happen much faster,
+as the data is cached.
 
+If a given expiry date is not available, data for the next available expiry will be
+returned (January 15, 2015 in the above example).
+
+Available expiry dates can be accessed from the ``expiry_dates`` property.
+
+.. ipython:: python
+
+      aapl.expiry_dates
+      data = aapl.get_call_data(expiry=aapl.expiry_dates[0])
+      data.iloc[0:5:, 0:5]
+
+A list-like object containing dates can also be passed to the expiry parameter,
+returning options data for all expiry dates in the list.
+
+.. ipython:: python
+
+      data = aapl.get_near_stock_price(expiry=aapl.expiry_dates[0:3])
+      data.iloc[0:5:, 0:5]
 
 .. _remote_data.google:
 

doc/source/whatsnew/v0.15.1.txt

@@ -169,6 +169,39 @@ API changes
 
 - added Index properties `is_monotonic_increasing` and `is_monotonic_decreasing` (:issue:`8680`).
 
+.. note:: io.data.Options has been fixed for a change in the format of the Yahoo Options page (:issue:`8612`)
+
+  As a result of a change in Yahoo's option page layout, when an expiry date is given,
+  ``Options`` methods now return data for a single expiry date.  Previously, methods returned all
+  data for the selected month.
+
+  The ``month`` and ``year`` parameters have been undeprecated and can be used to get all
+  options data for a given month.
+
+  If an expiry date that is not valid is given, data for the next expiry after the given
+  date is returned.
+
+  Option data frames are now saved on the instance as ``callsYYMMDD`` or ``putsYYMMDD``.  Previously
+  they were saved as ``callsMMYY`` and ``putsMMYY``.  The next expiry is saved as ``calls`` and ``puts``.
+
+  New features:
+
+  The expiry parameter can now be a single date or a list-like object containing dates.
+
+  A new property ``expiry_dates`` was added, which returns all available expiry dates.
+
+  current behavior:
+
+  .. ipython:: python
+
+     from pandas.io.data import Options
+     aapl = Options('aapl','yahoo')
+     aapl.get_call_data().iloc[0:5,0:1]
+     aapl.expiry_dates
+     aapl.get_near_stock_price(expiry=aapl.expiry_dates[0:3]).iloc[0:5,0:1]
+
+  See the Options documentation in :ref:`Remote Data  <remote_data.yahoo_options>`
+
 .. _whatsnew_0151.enhancements:
 
 Enhancements