Hysterical options data for more than ATM+10 (deep OTM)

APIs, Automation, Algos & Code
1

@Tradehull_Imran

Sir,

I want to backtest Options strategies which involve deep otm strikes.

  1. How to download Hysterical options data for more than ATM+10 (deep OTM).

  2. How to store the large data efficiently.

Please guide.

2

Hello @anjalik ,

For active contracts, you can fetch the complete option chain and retrieve OHLC data for any required active contract using the available APIs.

Option Chain API: Option Chain API

Intraday Historical Data API: Intraday Historical Data API

For expired contracts, the availability is more limited. For index options around the near expiry, the Expired Options Data API supports data on a rolling basis from ATM -10 to ATM +10. For other contracts and expiries, the available range is limited to ATM -3 to ATM +3.

Therefore, historical expired-options data beyond these supported strike ranges, such as deeper OTM strikes beyond ATM ±10, cannot currently be retrieved through the Expired Options Data API.

You can refer to the documentation here: Expired Options Data API

Also for storing the data we cannot share any recommended method from our end. This has to be handled individually based on the use case.

Also @Tradehull_Imran may be able to assist here.

3

Hi @anjalik ,

As mentioned above for expired contracts, the Expired Options Data API supports ATM -10 to ATM +10 for index options on a rolling basis, while other contracts and expiries are limited to ATM -3 to ATM +3. Therefore, deeper OTM historical data beyond these ranges cannot currently be retrieved through the API.

The retrieved data can be stored in CSV files, organized by date, symbol, expiry, strike, or option type. For larger datasets, other storage formats or databases can also be considered.