Is there any source of historical NSE option chain?


#1

I’m trying to automate the back testing of FnO positions for any NSE stock. My strategy is to calculate the ROI for an option trade based on my strategy and hence I require historical option premiums. Is there any reliable source of obtaining historical NSE option chain? EOD data is fine by me.

Additionally, can anyone guide me as to how the strike price intervals for the options of any stock decided? e.g. TATAMOTORS option strike prices are Rs 5 apart, whereas let’s say for TCS, they are 50Rs apart. Has NSE provided any calculation methodology for the same? OK I found the answer to this in an earlier post. Linking it here.


#2

https://www.nseindia.com/products/content/derivatives/equities/historical_fo.htm


#3

Hi there,
You can find historical option chain for nifty as well as bank nifty from the website


#4

Thanks for your links.

NSE - I’m aware of the NSE link. But that link does not give me an idea of which were the valid strike prices for a stock at any given day. That was what my original requirement was. But combining the earlier xls that I mentioned with the link that you shared does help me figure out the nearest strike price that was valid in a given historical month.

Pastmarket - Will have a look at how I can automate the download of the daily zip files in my analysis.