Getting historical option data.

  • rakeshr
    @ballu281996
    Continuous data is only available for future contracts, not for options.
  • Guhan
    @rakeshr why is it so? then is it possible to get instrument token for expired contracts?
  • nithin
    Few reasons
    1. There was never a use case for historical data for options (btw no one stores it). Historical data is typically used to plot charts. Looking at historical option charts mean nothing as all contracts expire and restart at a different price.
    2. there are over 15000 option contracts trading and these contracts keep changing every month. Storing historical data for all lakhs of contracts is also a challenge.
  • Guhan
    Guhan edited July 2018
    @nithin thanks for the reply Nithin, I am new to options trading, I am looking to find a relationship between implied volatility and realised volatility, so to calculate implied volatility one needs premium data right?

    Also I found that it is available in NSE site
  • jpariz
    would be an excellent data set to have back test/fwd test/curve fit strategies with.
    whats the challenge? hardware money?
  • Guhan
    @jpariz, what I found from research is that options historical data is sold at a premium in US, which are used by institutions, and HFT firms with big money.
    Like @nithin mentioned there are no brokers or vendors that offer option premium data at an affordable cost for retail traders, also there are no use case for option premium data(I might be wrong here). All the strategy testing can be done on the underlying based on which option strategy can be built
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