Where do websites get this information? Do they get it for free or do they pay CBOE for it?
edit: as in the raw data
edit: as in the raw data
I’m actually building something similar for my own options trading and was eventually going to spin it into a SaaS.
If you can do with delayed data, I wrote a post on my data extraction using IB. This works pretty neatly both with R and Python for my analysis.