How to pull historical dates for option quote chain data particularly in Henry Hub and WTI using ...

Arcuss.Olofernes

...Codebook? What would be the option quote chain for the date 12/30/2022?

I am trying to understand how to pull option quote chain data using code book. I am interested in pulling the quote chain as of historical dates, for example as of 12/30/2022 what the option quote chain is. I am particularly interested in Henry Hub and WTI. Can you please provide me with a example of how to do this?

aramyan.h

Hi @Arcuss.Olofernes ,

Thank you for your question. I am afraid as of now, you can't get the expired option chains data with Codebook using our Python Libraries. In order to get historical prices of expired options you would need to reconstruct the RICs following the RIC Rules. Please have a look at this article, where I provide some useful links and describe how to do the reconstruction for several exchanges by providing Python functions to do that.

Functions to find Option RICs traded on different exchanges | Devportal (lseg.com)

Best regards,

Haykaz