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Option strike prices on IG API


Timbo

Question

Daily FX options on the API seem to have epic names like "DO.D.CABLE.35.IP" where the number varies between 1 and 100. Different numbers represent different strike prices and alternate between calls and puts. For example

100: Daily GBPUSD 12140 CALL
99: Daily GBPUSD 12140 PUT
98: Daily GBPUSD 12160 CALL
97:Daily GBPUSD 12160 PUT
.
.
.
2: Daily GBPUSD 12800 CALL
1: Daily GBPUSD 12800 PUT

I think these strike prices are different on different days. Presumably they change as the spot price moves, otherwise they would drift deep out of the money over time.

I want to make use of historical option data, downloaded using the prices endpoint. My problem is I can't find what the strike price was for e.g. DO.D.CABLE.35.IP on10th April. Does anyone know how to get or work out historical strike prices for these option epics?

Thanks!

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Posted (edited)

I have resolved this by looking for an option that's deep in the money at the expiry time. At expiry, the option's value is equal to the market price minus the strike price, so I can work out the strike price from there. I can then work out the strike price for other options if the markets not too volatile as it moves by 10 points between epics except at the extremes.

It's really not pretty but it's the best I can do at the moment. If anyone comes up with a better solution then please let me know.  

Edited by Timbo
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