Historical Data On Option Required

O

Optioned

New Member
#1
#1
Hi,

I need to know the historical data of individual no of buy & sell contract for a particular Strike price on a given day.

Suppose let the strike price be 4600 for a put option

The historical Archive on the nifty site gives the total traded Quantity for that strike price.Not a bifurcation of no of contracts bought or sold on that particular date.

Guidance will be appreciated.
 
A

AW10

Well-Known Member
#2
#2
If you are downloading data from NSE / Home > F&O > Market Information > Historical Data > Contract-wise Data section.. then you will get "No. of contract" traded on that day for a particular strike +CE/PE.

If you have "Change in OI" number then you can easily get #of contracts traded by dividing this Change in OI number by 50 (nifty contract size).
That is the volume of that particular strike+option chain.

Hope this helps.
 
O

Optioned

New Member
#3
#3
Hi AW10,

I want the individual no of contracts sold & brought for a strike price on a given day.Not the total no of contract traded .

for ex on 27/07/2009 for strike price 4600 the no of contract bought & the no of contract sold.

Total contract traded(1)=No of contract bought(2) + no of contract sold(3).

I want 2 & 3 not 1.

Hope u can help.

thanks
 
A

AW10

Well-Known Member
#4
#4
Dear.. as far as I understand. for each trade to take place - we need a buyer and a seller. If only 1 party is present, the transaction can't take place.

so the "# of contract" tells us how many contracts have really changed the hand.
Buyers are always equal to sellers. They can't be different.
So in your example = contract trade (1) = buyer (1) = seller (1)

Order placed in the queue can be different, but that is just a wish order. I can place order to buy 100000, 4500 nifty july CAll contract at 1 Rs. .. but thats doesn't mean that trade has taken place. cause no will sell me that contract at 1 Rs.. when market price is 40Rs. so order just hangs there and gets deleted at end of the day.

So, if there are 12 contracts traded in a day.. and if you want to know that they are traded in how many transaction and what was the size of each transaction (eg. - 1, 5, 3, 2, 1.. ), then I don't think that such data will be available free.

Though, I wonder why would someone need such transaction level data.
 
O

Optioned

New Member
#5
#5
Hi Aw10,

Your replies are appreciated.

I believe i am not able to convey my question properly.

I am posting the actual data from NSE website for date 28-07-2009.

This is the Total Buy Qty 146400 Total Sell Qty 396550 for CE 4600.00 on 28-07-2009 .

I want Historical data of Total Buy Qty ,Total Sell Qty

If there is no free data available Recommend the source from where i can get the data required

Instrument Type Underlying Expiry Date Option Type Strike Price Market Lot
OPTIDX NIFTY 30JUL2009 CE 4600.00 50

Price Information
Open Price 47.00
High Price 53.00
Low Price 28.05
Last Price 30.20
Prev Close 48.30
Change from prev close -18.10
% Change from prev close -
Average Price 37.68
Underlying Value 4559.20
Number of contracts traded 250053
Turnover in Rs. Lakhs 579832.90
Open Interest 3856000
Change in Open Interest 413500
% Change 12.01

Order Book
Buy Qty Buy Price Sell Price Sell Qty
9400 30.20 31.00 3200
50 30.15 31.10 500
9650 30.00 31.50 600
50 29.85 31.80 5000
10000 29.80 32.00 7500

146400 Total Buy Qty Total Sell Qty 396550

Other Information
Settlement Price -
Daily Volatility 2.40
Annualised Volatality 45.94
Client Wise Position Limits 20919645
Market Wide Position Limits -
 
N

nareshch

Active Member
#6
#6
Optioned said:
Hi Aw10,

Your replies are appreciated.

I believe i am not able to convey my question properly.

I am posting the actual data from NSE website for date 28-07-2009.

This is the Total Buy Qty 146400 Total Sell Qty 396550 for CE 4600.00 on 28-07-2009 .

I want Historical data of Total Buy Qty ,Total Sell Qty

If there is no free data available Recommend the source from where i can get the data required

Instrument Type Underlying Expiry Date Option Type Strike Price Market Lot
OPTIDX NIFTY 30JUL2009 CE 4600.00 50

Price Information
Open Price 47.00
High Price 53.00
Low Price 28.05
Last Price 30.20
Prev Close 48.30
Change from prev close -18.10
% Change from prev close -
Average Price 37.68
Underlying Value 4559.20
Number of contracts traded 250053
Turnover in Rs. Lakhs 579832.90
Open Interest 3856000
Change in Open Interest 413500
% Change 12.01

Order Book
Buy Qty Buy Price Sell Price Sell Qty
9400 30.20 31.00 3200
50 30.15 31.10 500
9650 30.00 31.50 600
50 29.85 31.80 5000
10000 29.80 32.00 7500

146400 Total Buy Qty Total Sell Qty 396550

Other Information
Settlement Price -
Daily Volatility 2.40
Annualised Volatality 45.94
Client Wise Position Limits 20919645
Market Wide Position Limits -
Click to expand...
Thats what the confusion NSE creates . It should be BID qty and Offer qty instaed of Buy Qty adn sell Qty . The bid / offer changes in minutes all the time and i am sure it wont help you for the next day .

Naresh
 
M

mastermind007

Well-Known Member
#10
#10
nareshch

When I first looked at them, I remember being able to plot candlestick chart for options. Candles used to be very sparse and usually single dashes. But, off late, charts do not plot. If you are thinking about doing TA after plotting them, its waste of time. You had much rather rely on tick-by-tick data of underlying. I would not be surprised if someone would store it.

Orderbook that you show on screen is typically shown in market watch, right?
 
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