Options Data

IMPORTANT - Please Read The Note About NIFTY OPTIONS IEOD Data:

1. The Option data has been collected for Backtest Purpose.

2. Here Backtest is construed to be Manual. Mechanical testing will need the work to be done by the user himself.

3. The data of the Option strikes is mostly not from Expiry to Expiry. This statement can be explained through an example. Suppose In December 2013 NIFTY Spot is hovering around 8300 and we take the DECEMBER SERIES Option CE Strike 8300 Contract, the data of  8300 CE may comprise quotes from the month of October 2013 and November 2013 as well for that strike. This was done to fetch as much data as possible for the Option strikes for elaborate analysis. This is both for PE & CE contracts. If the user wants to reduce the data for the December month  then this could be done manually by editing the Excel Files  [manually checking the Expiry Date of previous month] and erasing the data of the strike/strikes before the previous month expiry date from the Excel Files

4. Mostly the files consist the data of the EXPIRY Day but in some cases [a month or two] due to unforeseen and unavoidable technical reasons the data of expiry day has been missed to be stored. Inconvenience regretted.

5.  The Option strikes are in 1 min. IEOD format but as the Deep Option strikes are sometimes illiquid so the trade might not have taken for quite sometime in a particular contract and therefore there may be gaps in Time Stamps ranging for several minutes to even a couple of hours. This construes that data is not missing quotes and just signifying the gap between consecutive trades.

6.  The data can be imported in Amibroker as the format of the excel files suffice the Amibroker Format. Can be helpful to read the charts of the Options. However as the Data files contain data for a particular strike for more than the contract month [previous month quotes as well] so they will have to be edited manually by the user [expiry to expiry] before importing them to Amibroker otherwise the quotes of similar strikes will overlap for same dates and charts will not show up correctly.

7. Mostly strikes 500 points apart above and below NIFTY values of the particular month were taken into account for the data. Very Deep strikes were skipped as the volumes traded in them are very low and they are very illiquid.

Data updated on 30th June 2017
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YEAR 2014

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YEAR 2016

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YEAR 2017

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63 comments:

  1. can you please share the data from 2010 to 2013 also.

    ReplyDelete
  2. Sorry Akshay , I do not have Options data for the period you have mentioned .

    Aryan.

    ReplyDelete
  3. Dear Sir, This is excellent. Nowhere else could I find this data. Thanks so so very much! Please keep this updated for every month. Thanks so much in advance.

    Also, it will be very kind of you to advise where you source this data from. Thanks so much

    Regards,
    Nelson.

    ReplyDelete
  4. Replies
    1. Daily update not possible as of now. Only month end update.

      Delete
  5. Very useful.
    Do you have BNF options data as well?

    ReplyDelete
    Replies
    1. Thanks.

      BNF Options data is not available as of now.

      Delete
    2. Will it be possible in near future?

      Delete
    3. Will try to incorporate in future. However previous years' data is not possible as of now.

      Delete
  6. Thanks for publishing the data. There is only volume information for options data. Do you also have the data with open interest?

    ReplyDelete
    Replies
    1. You are Welcome. Will try if open interest could be incorporated but cannot commit possibility as of now.

      Delete
    2. Great work. I have a same the question as Rajesh. I am assuming you are converting the original database entry to Amibroker entry format. Do you have Open interest stored in our original database ?

      Delete
    3. Forget to mention, I need Open Interest for my backtesting, hence the request to see if i could get the original database to get the Open Interest for 1 min data and add to existing 1 min data entry using script

      Delete
    4. Hello Mani,

      I myself really miss the Open Interest data. In the original database as well the open interest data is not available. I am planning to change the source of the Data , so might be in future , I will be able to incorporate the OI data as well , but as of now I will not be able to provide you with same.

      Have a great time !!

      Aryan.

      Delete
  7. Dear Trade Catcher. I genuinely want to thank you for constantly updating these files every month. It personally helps me a lot. I can't thank you enough.

    P.S. Can I have permission to connect with you on Facebook / other social media? Thanks.

    Big fan! :)

    ReplyDelete
    Replies
    1. Hey Nelly,

      Thanks for your comments.

      I would certainly have connected with you on Social sites if I had my account on any such site but I am not associated with any Social site as of now, not even Facebook.

      In future if I join any site will certainly let you know.

      Have a great time !!

      Delete
  8. This comment has been removed by the author.

    ReplyDelete
  9. Dear Trade Catcher, Can I please know till how many strikes away from the may expiry value of Nifty and Bank Nifty, are you able to provide the 1 minute data for Index Options for May 2016? About 500 i guess? Thanks much in advance

    Also can you please tell me where you source this data from, so that I do not have to bother you for this data every month. I really need this data and your blog is the only free source to provide this data :) Thanks

    ReplyDelete
    Replies
    1. Hi Nelly,

      More or less I try to incorporate data of 500 to 600 points strikes apart from the Nifty Spot value near the expiry. This is because of the fact that other deep strikes are too illiquid & hardly have any relevancy for backtesting.

      The data is sourced from Nest Terminal in a staggered way [several days in a month] . You can fetch the data on your own everyday.

      Cheers !!

      Delete
    2. Thats a lot of hard work and efforts you put in, my friend! Sincere thanks and kudos for your effort!

      Delete
  10. Dear Aryan,

    Thanks a lot for this wealth of information. On the pricing side, how to read those 4 columns? High Bid, High ask, low bid, low ask?

    Thanks
    Pradeep K

    ReplyDelete
    Replies
    1. Hello Pradeep K. ,

      You are welcome !!

      As far as the four columns which you are mentioning are to be read as follows:

      Open Price High Price Low Price Close Price

      As this is in 1 minute time frame so it means the O, H, L, C prices as recorded in one minute of trading !!

      Cheers !!

      Aryan.

      Delete
  11. Hello Aryan, I am looking for Bank options data for 2016 and before. Is there a way i can get it. Would you know someone who can help.

    ReplyDelete
    Replies
    1. Hi SRN,

      AFAIK you can get Banknifty Options data through paid resources. Free resources I do not have any information.

      Have a nice time.

      Delete
  12. Thanks a lot. any idea who can provide at cheaper rate.

    ReplyDelete
    Replies
    1. Can't really tell whether Bank Nifty Options Data will be available with them but still I will give you their e-mail contact. Send me an e-mail at tradecatcher02@gmail.com

      Delete
  13. can u provide stock futures data of past year like u have done for jan to june 2016?

    ReplyDelete
  14. Thanks.

    Drew some charts using the data.

    http://bleedingmarkets.blogspot.in/2016/12/options-intraday-charts-for-nov-2016.html

    ReplyDelete
    Replies
    1. Hi Varun ,

      Cool !! Really nice to see the post on your blog with charts.

      Happy Trading

      Delete
  15. Is there any way from where I can get Nifty Options Data from 2008 on wards?

    ReplyDelete
  16. Hi Karan,

    I suppose this is only possible through paid sources if you want 1 minute data. EOD OHLC data is though available at NSE website.

    Happy Trading !!

    ReplyDelete
  17. I have downloaded your dump, but there was no heading for the below

    CE 8300 1/27/2017 9:15 361.6 387.05 361.6 386.9 4125

    Can u kindly give the HEADING for the above, as im not sure, which one is Bid Price or Ask Price or LTP ???

    ReplyDelete
    Replies
    1. Hi Joe, The heading goes like this

      Ticker, Date, Time , Open, High, Low, Close, Volume

      Happy Trading.

      Delete
  18. Thank you so much Aryan. Now I can able to backtest my paper trade.

    ReplyDelete
  19. Dear Aryan, Firstly, thanks for putting this data up.

    There were a couple of discrepancies that I noticed, can you pls take a look and let me know if I am looking at something wrong.

    NIFTY Jan-2017 8000CE Open on 2-Jan shows 253.35 on NSE website.
    (NIFTY 02-Jan-2017 25-Jan-2017 CE 8,000.00 253.35 263.65 217.70 244.65 244.50 244.65 9,450 58,385.46 1,685.46 25,72,275 -32,175 8,179.50)

    In your data, it shows 239.85
    (CE 8000,2017/01/02,09:15,239.85,255.25,239.85,248.25,13950)

    There are a few dates on which there are minor differences, but a couple of dates where the difference is large..
    Another one is Feb-2017, 8700CE, 17-Feb - 185 vs 158.55)

    Thanks,
    Anand.

    ReplyDelete
  20. Dear Anand,

    Thanks for your compliment.

    Actually this thing I too have noticed but the problem is that to get Intraday data I have to use the Data Table of the official trading terminal of a broker. Although the Data is supplied by NSE itself into the terminal as well but it happens that the terminal might miss the first Tick or a few first ticks due to latency factor and therefore the data which goes into the Data Table of the Terminal tends to have slight difference from the NSE website data. If you feel that your backtest might have implications due to such differences then you may change the value of the OPEN in the file after matching it with NSE website.

    However if you are not doing too mechanical a backtest then this difference will not have an impact as the price which matters more is the LTP or the CLOSE price.

    Happy Trading !!

    Aryan.

    ReplyDelete
  21. Dear Aryan, Received your mail about the occasional discrepancy in the data at open. Thanks a lot for the clarification.

    Best Regards,
    Anand.

    ReplyDelete
  22. Dear Aryan, Can you please provide 1 minute intraday data for Bank Nifty Weekly Options please? It would be really really helpful. Thanks

    ReplyDelete
    Replies
    1. Hi Nelly,

      I understand BN Weeklies are now the rage,will surely keep this suggestion in the pipeline for posting. Can't make a promise as of now as have time constraints but will try my best.

      Happy Trading.

      Delete
    2. Sure, whatever convenient to you! Thanks so much for everything!

      Delete
  23. very very useful, boosted my trading experience by 10 times.

    ReplyDelete
    Replies
    1. Glad to know that it helped you !!

      Happy Trading.

      Delete
  24. Hi "Trade Catcher"

    Thankyou Very Much for Providing such a well organised data, wonderful thing is continuously updating source and keeping us upto date.

    Regards
    Rajesh Raikar
    Bangalore

    ReplyDelete
    Replies
    1. Hi Rajesh,

      You are most welcome.

      Happy Trading !!
      Aryan

      Delete
  25. Helped me in testing my option strategy.
    BankNifty weekly options would be sone pe suhaga.

    Thanks for your work
    GreyCells

    ReplyDelete
  26. Glad to know that data was helpful for your testing purpose.

    Banknifty Weekly Options ...ha ha..Sone Pe Suhaga, I agree, but that work is cumbersome as of now due to time constraints. Will see, if it could be done in near future.

    Happy Trading !!
    Aryan.

    ReplyDelete
  27. If it is lot of work then I can help. Let me know if I can help and we can make this data available for BankNifty weekly.

    ReplyDelete
    Replies
    1. You are welcome,it would be a help to the trading community as a whole.

      Delete
  28. Its a blog but wonder full place to get nse option data along with other information for traders all over the world, specially i am using your index option historical data, which is very much use full for backtest purpose, its more interesting if daily option data available at the end of day.

    Hopes we get the benefits soon.

    ReplyDelete
    Replies
    1. Hi Raj Kumar Das,

      Thanks for your comments. I have noted your point , will consider if it could be possible in near future.

      Happy Trading !!
      Aryan.

      Delete
  29. Need options Data before 2014 intraday. Can u pls help with this

    ReplyDelete
    Replies
    1. As far as data before 2014 is concerned , unfortunately as of now it is not available.

      Delete
  30. Aryan sir I'm unable to download Aug 2016 nifty options data, can you pls reupload that? Thank U in advance

    ReplyDelete
    Replies
    1. Hi Chandra,

      I will re-upload the files soon. Do check back after some time.

      Happy Trading !!

      Delete
    2. Thank you sir for uploading, wish you best of luck in trading and life, Happy trading sir.

      Delete
  31. Please add september 2017 option data . In september folder/ zip august 2017 data is present

    ReplyDelete
    Replies
    1. Hi Sachin,

      The data is of the Option Contracts of September Expiry with starting dates including the contract prices in the month August. This has been done to facilitate backtesting of various spreads on Options involving Near Month & Next Month Contracts.

      Happy Trading !!

      Delete
    2. Hi sir,
      These are the the 1st and last rates in the file of 27 sept which show dates only august till end of file till 3.30pm Please where would I download 9700ce for the day 27 september
      CE 9700 24-08-2017 09:18 272.35 272.35 272 272 225

      CE 9700 24-08-2017 15:30 280.9 281.9 280.9 277.65 0
      Regards

      Delete
  32. Please ignore my previous comment I found what I needed realised my mistake
    egards,
    Sachin

    ReplyDelete

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