I have the data of past 10 years of NIFTY (the National Stock Exchange of India) stock, futures and options and I want to show the lead-lag relationship (which reacts first, futures, options or stocks) among the three using cointegration test, VECM model and granger's causalty.
The issue is that I don't know how to use the options data because it has both call and put out of the money in the money, and at the money prices on all days for different expiry everyday, but there's multiple data to use for any given day.
I have to perform time-series statistical analysis on the data, so I need to have only one price for one day. Given this issue, how can I perform the tests mentioned above? I am using E-views to perform these tests. I want help to get around the options data.