How to suppress cookie request

I am using vba inside of Excel 2013 to scrape data off of Yahoo Option Contract and while I do get the data, I also get multiple requests to accept a cookie (see dialog below).

I tried accepting this to see if it would prevent further popups but no such luck. How can I suppress the dialog?

As an aside, I'm pretty sure there is an api for yahoo_option_contract that would serve up some cookie free xml but I couldn't get it to work. Can anyone verify that is does work and provide a link that explains how to use it?

Cheers

MORE INFO

Here is a sample link to yahoo's site. It also happens that I show most of my code and scrape strategy at the bottom of a previous SO post

UPDATE

Set http = New MSXML2.XMLHTTP60
With http
    .Open "GET", aUrl, False
    .send
    Do Until .readyState = 4
        DoEvents
    Loop
End With

Select Case http.Status
    Case Is = 200
        Set GetHttp = http
    Case Else
        err.Raise Number:=ERR_WEB_CONNECTION, _
            Description:="Bad Response " & http.Status & mStrings.Bracket(http.statusText)
End Select

Try VBA code below to retrieve HTML content of the page via XHR, parse it with RegEx and output to worksheet:

Option Explicit

Sub Scrape_Yahoo_Option_Contract()

    Dim sUrl As String
    Dim aHeaders
    Dim sResp As String
    Dim sContent
    Dim oTables As Object
    Dim oRows As Object
    Dim aData()
    Dim i As Long

    ' Get data
    sUrl = "https://finance.yahoo.com/quote/AAPL"
    aHeaders = Array( _
        Array("user-agent", "Mozilla/5.0 (Windows NT 6.1; WOW64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/57.0.2987.133 Safari/537.36") _
    )
    XmlHttpRequest "GET", sUrl, aHeaders, "", "", sResp
    ' Parse tables
    ParseToDict "(<table class=""[^""]*?W\(100%\)[^>]*>)([\s\S]*?)</table>", sResp, oTables
    ' Parse rows
    For Each sContent In oTables.Items
        ParseToDict "<tr><td>(.*?)</td><td>(.*?)</td></tr>", HtmlSimplify(sContent), oRows
    Next
    ' Populate 2d array
    ReDim aData(1 To oRows.Count, 1 To 2)
    i = 1
    For Each sContent In oRows
        aData(i, 1) = GetInnerText(sContent)
        aData(i, 2) = GetInnerText(oRows(sContent))
        i = i + 1
    Next
    ' Output array to worksheet 1
    With ThisWorkbook.Sheets(1)
        .Cells.Delete
        Output2DArray .Cells(1, 1), aData
        .Cells.EntireColumn.AutoFit
    End With

End Sub

Sub Output2DArray(oDstRng As Range, aCells As Variant)

    With oDstRng
        .Parent.Select
        With .Resize( _
                UBound(aCells, 1) - LBound(aCells, 1) + 1, _
                UBound(aCells, 2) - LBound(aCells, 2) + 1)
            .NumberFormat = "@"
            .Value = aCells
        End With
    End With

End Sub

Sub XmlHttpRequest(sMethod As String, sUrl As String, arrSetHeaders, sFormData, sRespHeaders As String, sContent As String)

    Dim arrHeader

    'With CreateObject("Msxml2.ServerXMLHTTP.3.0")
    '    .SetOption 2, 13056 ' SXH_SERVER_CERT_IGNORE_ALL_SERVER_ERRORS
    With CreateObject("Msxml2.XMLHTTP")
        .Open sMethod, sUrl, False
        If IsArray(arrSetHeaders) Then
            For Each arrHeader In arrSetHeaders
                .SetRequestHeader arrHeader(0), arrHeader(1)
            Next
        End If
        .Send sFormData
        sRespHeaders = .GetAllResponseHeaders
        sContent = .ResponseText
    End With

End Sub

Function HtmlSimplify(ByVal sCont)

    With CreateObject("VBScript.RegExp")
        .Global = True
        .MultiLine = True
        .IgnoreCase = True
        .Pattern = "(<[\w\/^<]*)[\s\S]*?>"
        sCont = .Replace(sCont, "$1>")
        .Pattern = "(?:<span>|</span>)"
        sCont = .Replace(sCont, "")
        .Pattern = "(?:<small>|</small>)"
        sCont = .Replace(sCont, "")
        .Pattern = "&nbsp;"
        sCont = .Replace(sCont, " ")
        .Pattern = "[\f\n\r\t\v]"
        sCont = .Replace(sCont, "")
        .Pattern = " +"
        sCont = .Replace(sCont, " ")
        .Pattern = "> <"
        sCont = .Replace(sCont, "><")
    End With
    HtmlSimplify = sCont

End Function

Sub ParseToDict(sPattern As String, sResponse As String, oDict As Object)

    Dim oMatch

    If oDict Is Nothing Then Set oDict = CreateObject("Scripting.Dictionary")
    With CreateObject("VBScript.RegExp")
        .Global = True
        .MultiLine = True
        .IgnoreCase = True
        .Pattern = sPattern
        For Each oMatch In .Execute(sResponse)
            If Trim(oMatch.SubMatches(0)) <> "" Then oDict(oMatch.SubMatches(0)) = oMatch.SubMatches(1)
        Next
    End With

End Sub

Function GetInnerText(ByVal sHtml As String) As String

    Static oHtmlfile As Object

    If oHtmlfile Is Nothing Then ' init
        Set oHtmlfile = CreateObject("htmlfile")
        oHtmlfile.Open
        oHtmlfile.Write "<body></body>"
    End If
    ' Convert
    On Error Resume Next
    oHtmlfile.body.innerHTML = sHtml
    GetInnerText = oHtmlfile.body.innerText

End Function