Ticker_base_asset_d=['MX']
Month_OPT_d = ['A', 'B', 'C']
Strikes_d = [[5000,160000,370000],[50,1700,3700],[2500,27500,230000]]

Ticker_d=[]
for i in range(len(Ticker_base_asset_d)):
    Month_d=[]
    for j in range(len(Month_OPT_d)):
        data_d=[]
        for h in range(Strikes_d[i][1], Strikes_d[i][2]+1, Strikes_d[i][0]):
            url=f'https://iss.moex.com/iss/engines/futures/markets/options/\
securities/{Ticker_base_asset_d[i]}{h}B{Month_OPT_d[j]}9/candles.csv?from=\
2019-01-01&till=2020-01-01&interval=24&iss.meta=on'
            data_sheet=[]
            try:
                data_sheet = pd.read_csv(url,sep=";",skiprows=3)
            except Exception:
                pass
            data_d.append(data_sheet)
        Month_d.append(data_d)
    Ticker_d.append(Month_d)


Вывод
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