Option Chain

This API allows you to get the option chain of an underlying, with Call and Put strikes, India VIX and available expiries.

USE CASE

Fetch the strikes around the current price to build an option-chain screen or pick a strike to trade.

Note

strikecount is the number of strikes on each side of ATM (maximum 50). For example, a strike count of 2 returns ATM plus 2 ITM and 2 OTM strikes for both CE and PE.

Details

The Optionchain API provides important information about options trading, specifically focusing on strike prices, which are predetermined prices at which an option contract can be exercised. This API offers data for both Call (CE) and Put (PE) options, along with values for index, IndiaVIX (Volatility Index) and available expiry dates.
When using the API, you can specify the number of strike prices you're interested in. For example, if you request a strike count of 2, the API will return data for:
At-The-Money (ATM) strike: The closest strike price to the current market price.
Out-of-The-Money (OTM) strikes: Strike prices higher than the current market price for Calls (CE) and lower than the current market price for Puts (PE). The API will return data for 2 CE and 2 PE OTM strikes.
In-The-Money (ITM) strikes: Strike prices lower than the current market price for Calls (CE) and higher than the current market price for Puts (PE). The API will return data for 2 CE and 2 PE ITM strikes.
Set greeks to 1 to receive delta, gamma, theta, vega and iv. Each strike then carries them in a nested greeks object.
The first optionsChain entry is the underlying itself (strike_price -1, empty option_type), with its future price in fp, fpch and fpchp.
expiryData lists the available expiries with date (DD-MM-YYYY), epoch expiry and expiry_flag. India VIX is returned in indiavixData.
callOi and putOi give total open interest for each side. For each strike, oi, oich, oichp and prev_oi show open interest and its change.
Rate limits differ between the Standard and Prime plans. See Plans & rate limits.

Request Attributes

Attribute	Data Type	Description
`symbol`*	string	Mandatory. Eg: NSE:SBIN-EQ
`strikecount`	int	Options strike count for symbol(MAX = 50)
`timestamp`	string	Options chain data at timestamp
`greeks`	string	Set greeks to 1 for greeks data which includes delta, gamma, theta, vega and iv.

Response Attributes

Attribute	Data Type	Description
`s`	string	ok / error
`code`	int	This is the code to identify specific responses
`callOi`	int	Total open interest for call options
`putOi`	int	Total open interest for put options
`date`	string	Expiry date in DD-MM-YYYY
`expiry`	string	Expiry timestamp
`ask`	float	Ask price
`bid`	float	Bid price
`description`	string	Description of the stock
`ex_symbol`	string	Exchange Symbol
`exchange`	int	The exchange in which order is placed. View Details
`fytoken`	string	Fytoken is a unique identifier for every symbol. View Details
`delta`	float	Sensitivity of option price to a 1-unit change in underlying price
`gamma`	float	Rate of change of delta with respect to underlying price
`theta`	float	Time decay: change in option price per day as expiry approaches
`vega`	float	Sensitivity of option price to a 1% change in implied volatility
`iv`	float	Implied volatility: expected future volatility derived from option price
`ltp`	float	LTP is the price from which the next sale of the stocks happens
`ltpch`	float	Change in last traded price
`ltpchp`	float	Percentage change in last traded price
`option_type`	string	Type of option (if applicable)
`strike_price`	int	Strike price (if applicable)
`symbol`	string	Symbol
`fp`	float	Future price
`fpch`	float	Change in future price
`fpchp`	float	Percentage change in future price
`oi`	int	Open interest
`oich`	int	Change in Open interest
`oichp`	float	Percentage change in Open interest
`prev_oi`	int	Previous Open interest
`volume`	int	Volume traded

Request

from fyers_apiv3 import fyersModel
client_id = "YYYYYYY-100"
access_token = "XXXXXXXXXXXXX"
# Initialize the FyersModel instance with your client_id, access_token, and enable async mode
fyers = fyersModel.FyersModel(client_id=client_id, token=access_token,is_async=False, log_path="")
data = {
    "symbol":"NSE:TCS-EQ",
    "strikecount":1,
    "timestamp": "",
    "greeks":"1"
}
response = fyers.optionchain(data=data);
print(response)

{
  "code": 200,
  "data": {
    "callOi": 10038175,
    "expiryData": [
      {
        "date": "25-04-2024",
        "expiry": "1714039200"
      },
      {
        "date": "30-05-2024",
        "expiry": "1717063200"
      },
      {
        "date": "27-06-2024",
        "expiry": "1719482400"
      }
    ],
    "indiavixData": {
      "ask": 0,
      "bid": 0,
      "description": "INDIAVIX-INDEX",
      "ex_symbol": "INDIAVIX",
      "exchange": "NSE",
      "fyToken": "101000000026017",
      "ltp": 10.55,
      "ltpch": -2.15,
      "ltpchp": -16.93,
      "option_type": "",
      "strike_price": -1,
      "symbol": "NSE:INDIAVIX-INDEX"
    },
    "optionsChain": [
      {
        "ask": 3880.15,
        "bid": 3880.05,
        "description": "TATA CONSULTANCY SERV LT",
        "ex_symbol": "TCS",
        "exchange": "NSE",
        "fp": 3876.65,
        "fpch": 14.2,
        "fpchp": 0.37,
        "fyToken": "101000000011536",
        "ltp": 3880.15,
        "ltpch": 15.55,
        "ltpchp": 0.4,
        "option_type": "",
        "strike_price": -1,
        "symbol": "NSE:TCS-EQ"
      },
      {
        "ask": 34.9,
        "bid": 34.35,
        "fyToken": "1011240425139431",
        "ltp": 34.8,
        "ltpch": 2.7,
        "ltpchp": 8.41,
        "oi": 99575,
        "oich": -3325,
        "oichp": -3.23,
        "option_type": "CE",
        "prev_oi": 102900,
        "strike_price": 3860,
        "symbol": "NSE:TCS24APR3860CE",
        "volume": 202650,
        "greeks": {
            "delta": 0.49,
            "gamma": 0.0007,
            "theta": -28.39,
            "vega": 9.6,
            "iv": 23.42
        }
      },
      {
        "ask": 19.3,
        "bid": 19,
        "fyToken": "1011240425139432",
        "ltp": 19.05,
        "ltpch": -12.4,
        "ltpchp": -39.43,
        "oi": 159075,
        "oich": 28525,
        "oichp": 21.85,
        "option_type": "PE",
        "prev_oi": 130550,
        "strike_price": 3860,
        "symbol": "NSE:TCS24APR3860PE",
        "volume": 304150,
        "greeks": {
            "delta": 0.49,
            "gamma": 0.0007,
            "theta": -28.39,
            "vega": 9.6,
            "iv": 23.42
        }
      },
      {
        "ask": 24.85,
        "bid": 24.55,
        "fyToken": "1011240425133432",
        "ltp": 24.95,
        "ltpch": -0.55,
        "ltpchp": -2.16,
        "oi": 165900,
        "oich": 9975,
        "oichp": 6.4,
        "option_type": "CE",
        "prev_oi": 155925,
        "strike_price": 3880,
        "symbol": "NSE:TCS24APR3880CE",
        "volume": 543025,
        "greeks": {
            "delta": 0.49,
            "gamma": 0.0007,
            "theta": -28.39,
            "vega": 9.6,
            "iv": 23.42
        }
      },
      {
        "ask": 29.35,
        "bid": 28.8,
        "fyToken": "1011240425133433",
        "ltp": 29.2,
        "ltpch": -14.1,
        "ltpchp": -32.56,
        "oi": 98175,
        "oich": 28350,
        "oichp": 40.6,
        "option_type": "PE",
        "prev_oi": 69825,
        "strike_price": 3880,
        "symbol": "NSE:TCS24APR3880PE",
        "volume": 199500,
        "greeks": {
            "delta": 0.49,
            "gamma": 0.0007,
            "theta": -28.39,
            "vega": 9.6,
            "iv": 23.42
        }
      },
      {
        "ask": 17.8,
        "bid": 17.6,
        "fyToken": "1011240425139433",
        "ltp": 17.75,
        "ltpch": -1.4,
        "ltpchp": -7.31,
        "oi": 631050,
        "oich": 23275,
        "oichp": 3.83,
        "option_type": "CE",
        "prev_oi": 607775,
        "strike_price": 3900,
        "symbol": "NSE:TCS24APR3900CE",
        "volume": 981925,
        "greeks": {
            "delta": 0.49,
            "gamma": 0.0007,
            "theta": -28.39,
            "vega": 9.6,
            "iv": 23.42
        }
      },
      {
        "ask": 42.45,
        "bid": 41.85,
        "fyToken": "1011240425139434",
        "ltp": 41.75,
        "ltpch": -14.65,
        "ltpchp": -25.98,
        "oi": 338100,
        "oich": -9975,
        "oichp": -2.87,
        "option_type": "PE",
        "prev_oi": 348075,
        "strike_price": 3900,
        "symbol": "NSE:TCS24APR3900PE",
        "volume": 129325,
        "greeks": {
            "delta": 0.49,
            "gamma": 0.0007,
            "theta": -28.39,
            "vega": 9.6,
            "iv": 23.42
        }
      }
    ],
    "putOi": 3875200
  },
  "message": "",
  "s": "ok"
}