Raise OptionError instead of KeyError in __getattr__. Fixes  #19789.
- [x] closes #19789
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hello @jayfoad! Thanks for updating the PR.





Cheers ! There are no PEP8 issues in this Pull Request. :beers: 

##### Comment last updated on February 24, 2018 at 15:07 Hours UTC # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19790?src=pr&el=h1) Report
> :exclamation: No coverage uploaded for pull request base (`master@e8b80b1`). [Click here to learn what that means](https://docs.codecov.io/docs/error-reference#section-missing-base-commit).
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19790/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/19790?src=pr&el=tree)

```diff
@@            Coverage Diff            @@
##             master   #19790   +/-   ##
=========================================
  Coverage          ?   91.58%           
=========================================
  Files             ?      150           
  Lines             ?    48911           
  Branches          ?        0           
=========================================
  Hits              ?    44796           
  Misses            ?     4115           
  Partials          ?        0
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.96% <100%> (?)` | |
| #single | `41.77% <0%> (?)` | |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19790?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/config.py](https://codecov.io/gh/pandas-dev/pandas/pull/19790/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY29uZmlnLnB5) | `87.17% <100%> (ø)` | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19790?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19790?src=pr&el=footer). Last update [e8b80b1...ac53036](https://codecov.io/gh/pandas-dev/pandas/pull/19790?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks!