TST: Add additional RemoteDataError check to io.data.Options

Author: davidastephens

doc/source/whatsnew/v0.15.2.txt

@@ -44,5 +44,5 @@ Experimental
 Bug Fixes
 ~~~~~~~~~
 - Bug in ``groupby`` signatures that didn't include *args or **kwargs (:issue:`8733`).
-- ``io.data.Options`` now raises ``RemoteDataError`` when no expiry dates are available from Yahoo (:issue:`8761`).
+- ``io.data.Options`` now raises ``RemoteDataError`` when no expiry dates are available from Yahoo and when it receives no data from Yahoo (:issue:`8761`), (:issue:`8783`).
 - Bug in slicing a multi-index with an empty list and at least one boolean indexer (:issue:`8781`)

pandas/io/data.py

@@ -685,8 +685,14 @@ def _option_frames_from_url(self, url):
             except IndexError:
                 self.underlying_price, self.quote_time = np.nan, np.nan
 
-        calls = self._process_data(frames[self._TABLE_LOC['calls']], 'call')
-        puts = self._process_data(frames[self._TABLE_LOC['puts']], 'put')
+        calls = frames[self._TABLE_LOC['calls']]
+        puts = frames[self._TABLE_LOC['puts']]
+
+        if len(calls) == 0 or len(puts) == 0:
+            raise RemoteDataError('Received no data from Yahoo at url: %s' % url)
+
+        calls = self._process_data(calls, 'call')
+        puts = self._process_data(puts, 'put')
 
         return {'calls': calls, 'puts': puts}