option historical data

Guhan
Guhan edited November 2023 in Python client
why historical data of illiquid options have OHLC prices even though volume is zero?
  • rakeshr
    Do you mean it for the day interval historical candle?
  • Guhan
    for 1 min ohlc candles, there is ohlc for candles whose volume is zero.
    for example for NIFTY23D0721200PE
    candle - 01-12-2023 15:10:00 has volume of 50, after which volumes are zero for all following candles.
    These zero volume candles has same ohlc equal to previous non zero volume candle's close.
  • rakeshr
    These zero volume candles has same ohlc equal to previous non zero volume candle's close.
    It can be there because of the depth changes in the tick packet. If we receive the tick packet from the exchange, we show it on the candles formation.
  • Guhan
    got it thanks. Please close the discussion.
  • MAG
    Pardon me but If I may add my own two cents here:

    Options instruments are derivatives and their price can change due to various factors, the most important of these being:
    1. Price of the underlying asset changes and this will result in the price of the option changing even though the volume is zero.
    2. Time decay - the price of the option will change as it approaches expiry.
This discussion has been closed.