With options pages the only real solution without a lot of codeing is the one posted by @nils-henrik setting autoload to true for the options page.
There is another option, but it is more involved. You can save options pages to post meta table instead of options table. This can be done by specifying a post ID for the options page ID. But you would basically need to set up a custom post type where you could save your values. But something like this would need to be done before any data was saved into the options because moving the existing data would be very difficult.
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