A lot of my option strats involve looking at the option chain. Until now I only had the 1 minute ohlc data for options, from which I needed to construct the option chain for each minute before I can backtest.
Recently I found someone who is selling option chain snapshots data, i.e., a snapshot of the option chain for each minute of the trading day for each of the index options and some of the most liquid stock options. But this data also contains all the option greeks like delta, gamma, theta, vega, rho and implied votatility in addition to the option premium. A single snapshot for NIFTY with 9 expiries is around 60kB. So if I store this data for NIFTY for 1 year, the total size would be:
Size on disk = 60 kB/minute * 375 minutes/day * 250 trading days/year = 5.5 GB/year
I will probably need to have around 5 years of data for indices/stocks when available, which would easily run into a few 100 GBs on my hard disk, which will be difficult to store and slow to process.
However, if I remove all the data of option greens from the snapshots then the size of a single snapshot is reduced to only ~15kb. This would lead to a lot less data on disk, and can possibly even be stored directly into a database.
But I was wondering if I am losing something by removing all the option greeks? Are option greeks an important part of historical data? Or can they be removed and be calculated when needed from the index, future, vix and option prices? Do you rely on option greeks in making your trades? Until now I have mostly ignored them.
