Option Chain¶

Provides entire Option Chain of any Option Instrument. This includes OI, greeks, volume, top bid/ask and price data of all strikes of a particular underlying scrip.

Usage¶

Python

from nubra_python_sdk.marketdata.market_data import MarketData
from nubra_python_sdk.start_sdk import InitNubraSdk, NubraEnv

# Initialize the Nubra SDK client
# Use NubraEnv.UAT for testing or NubraEnv.PROD for production
nubra = InitNubraSdk(NubraEnv.UAT)  # or NubraEnv.PROD

##using totp login and .env file 
#nubra = InitNubraSdk(NubraEnv.UAT, totp_login= True ,env_creds = True)

# Initialize MarketData with the client
mdInstance = MarketData(nubra)

# Get option chain for an instrument
result = mdInstance.option_chain("NIFTY",exchange="NSE")

Accessing Data¶

Python

# Access the chain data
chain = result.chain
print(f"Current Price: {chain.current_price}")
print(f"ATM Strike: {chain.at_the_money_strike}")
print(f"Available Expiries: {chain.all_expiries}")


# Find and print ATM options
print("\nATM Options:")
atm_ce = next((opt for opt in chain.ce if opt.strike_price == chain.at_the_money_strike), None)
atm_pe = next((opt for opt in chain.pe if opt.strike_price == chain.at_the_money_strike), None)

if atm_ce:
    print("Call Option:")
    print(f"Ref Id: {atm_ce.ref_id}")
    print(f"Strike Price: {atm_ce.strike_price}")
    print(f"LTP: {atm_ce.last_traded_price}")
    print(f"LTP Change : {atm_ce.last_traded_price_change}")
    print(f"OI: {atm_ce.open_interest}")
    print(f"Volume: {atm_ce.volume}")
    print(f"Lot Size: {atm_ce.lot_size}")
    print(f"IV: {atm_ce.iv}")
    print(f"Delta: {atm_ce.delta}")
    print(f"Gamma: {atm_ce.gamma}")
    print(f"Theta: {atm_ce.theta}")
    print(f"Vega: {atm_ce.vega}")


if atm_pe:
    print("\nPut Option:")
    print(f"Ref Id: {atm_pe.ref_id}")
    print(f"Strike Price: {atm_pe.strike_price}")
    print(f"LTP: {atm_pe.last_traded_price}")
    print(f"LTP Change : {atm_pe.last_traded_price_change}")
    print(f"OI: {atm_pe.open_interest}")
    print(f"Volume: {atm_pe.volume}")
    print(f"Lot Size: {atm_pe.lot_size}")
    print(f"IV: {atm_pe.iv}")
    print(f"Delta: {atm_pe.delta}")
    print(f"Gamma: {atm_pe.gamma}")
    print(f"Theta: {atm_pe.theta}")
    print(f"Vega: {atm_pe.vega}")

Request Parameters¶

Python

Attribute	Data Type	Description
instrument`required`	String	Underlying instrument symbol (e.g. "NIFTY")
expiry	String	Expiry date in YYYYMMDD format (e.g. "20250508")
exchange	String	"NSE" , "BSE"

Response Structure¶

Python

# Response object structure
class OptionChainWrapper:
    chain: OptionChain
    message: str
    exchange: str

class OptionChain:
    asset: str                    # Underlying asset symbol
    expiry: str                   # Expiry date
    ce: List[OptionData]          # Call options
    pe: List[OptionData]          # Put options
    at_the_money_strike: int      # At-the-money strike price
    current_price: int            # Current price of underlying
    all_expiries: List[str]       # Available expiry dates

class OptionData:
    ref_id: int                     # Reference ID of the option
    timestamp: int                  # Timestamp in Epoch
    strike_price: int               # Strike price
    lot_size: int                   # Lot size
    last_traded_price: int          # Last traded price
    last_traded_price_change: float # Change in last traded price (percentage)
    iv: float                       # Implied volatility
    delta: float                    # Option delta
    gamma: float                    # Option gamma
    theta: float                    # Option theta
    vega: float                     # Option vega
    open_interest: int              # Open interest
    open_interest_change: float     # Open interest Change
    volume: int                     # Trading volume

Response attributes¶

Python

Attribute	Description
chain	Option Chain object containing the option chain data
chain.asset	Underlying asset symbol
chain.expiry	Expiry date of the options
chain.ce	List of Option objects for call options
chain.pe	List of Option objects for put options
chain.at_the_money_strike	At-the-money strike price
chain.current_price	Current price of underlying
chain.all_expiries	List of available expiry dates
chain.[ce/pe][i].ref_id	Reference ID of the option
chain.[ce/pe][].timestamp	Timestamp in Epoch
chain.[ce/pe][].strike_price	Strike price
chain.[ce/pe][].lot_size	Lot size
chain.[ce/pe][].last_traded_price	Last traded price
chain.[ce/pe][].last_traded_price_change	Change in last traded price (percentage)
chain.[ce/pe][].iv	Implied volatility
chain.[ce/pe][].delta	Option delta
chain.[ce/pe][].gamma	Option gamma
chain.[ce/pe][].theta	Option theta
chain.[ce/pe][].vega	Option vega
chain.[ce/pe][].open_interest	Open interest
chain.[ce/pe][].volume	Trading volume
message	Response message