def main():
# -------------------------[Set-up]-------------------------
ticker = Ticker('MSFT')
optionManager = OptionManager(ticker, now=None)
i = 0 # <- Time To Maturity curve
exp = optionManager.getExpirations()[i]
optionChain = optionManager.getOptionChain(exp=exp)
# ----------------------------------------------------------
start_time = time.time()
impliedVolatility = ImpliedVolatility(optionChain)
curve = impliedVolatility.getImpliedVolatility()
print('chrono: {}'.format(time.time() - start_time))
fig, ax = plt.subplots(figsize=(8, 5))
ax.set(xlabel='Strike',
ylabel='Volatility',
title='Option implied volatility ({})'.format(
ticker.getInfo().ticker))
ax.plot(curve.calls.strike,
curve.calls.IV,
label='Calls',
color='green',
alpha=.5)
ax.plot(curve.puts.strike,
curve.puts.IV,
label='Puts',
color='red',
alpha=.5)
ax.plot(curve.calls.strike,
curve.calls.naturalIV,
linestyle='dotted',
label='Original Calls',
color='green')
ax.plot(curve.puts.strike,
curve.puts.naturalIV,
linestyle='dotted',
label='Original Puts',
color='red')
plt.legend()
plt.show()
import os
import pandas as pd
from EcoFin.dataDownload.optionsManager import OptionManager
from EcoFin.dataDownload.ticker import Ticker
from EcoFin.options.deepOptionChain import DeepOptionChain
# -------------------------[Set-up]-------------------------
ticker = Ticker('MSFT')
optionManager = OptionManager(ticker)
exp = optionManager.getExpirationByMaturity(30, method='greater')
optionChain = optionManager.getOptionChain(exp=exp)
# ----------------------------------------------------------
ticker_info = ticker.getInfo()
forwardPrice = optionChain.getForwardPrice()
deepOptionChain = DeepOptionChain(optionChain, computeIV=False)
data = deepOptionChain.getDeepOptionChain()
# ----------------------[EXPORT BLOCK]--------------------------------
path = '../Export/[{}]'.format(ticker.ticker)
if not os.path.exists(path):
os.makedirs(path)
with pd.ExcelWriter('{}/deepOptionChain_[{}].xlsx'.format(path,
exp)) as writer:
data.to_excel(writer, sheet_name='Chain', index=False)
print('\nFile saved!')
# ----------------------[EXPORT BLOCK]--------------------------------
volatilitySmile = VolatilitySmile(impliedVolatility)
smile = volatilitySmile.getVolatilitySmile()
fig, ax = plt.subplots(figsize=(8, 5))
ax.plot(smile.strike, smile.smile, label='Smile', alpha=.5)
ax.plot(smile.strike,
smile.naturalSmile,
linestyle='dotted',
label='Original Smile')
ax.plot(forwardPrice,
np.amin(smile.smile) * 0.5,
markersize=8,
marker="^",
color='violet')
ax.vlines(forwardPrice,
np.amin(smile.smile) * 0.5,
np.amax(smile.smile),
linestyles="dashed",
color='violet',
alpha=.6,
label='Forward Price')
ax.set(xlabel='Strike',
ylabel='Volatility',
title='Option volatility smile ({})'.format(ticker.getInfo().ticker))
ax.legend()
ax.grid()
plt.show()
from EcoFin.options.chainWeights import ChainWeights
from EcoFin.options.impliedVolatility import ImpliedVolatility
from EcoFin.options.volatilitySmile import VolatilitySmile
# -------------------------[Set-up]-------------------------
ticker = Ticker('MSFT')
optionManager = OptionManager(ticker, now=None)
i = 0 # <- Time To Maturity curve
exp = optionManager.getExpirations()[i]
optionChain = optionManager.getOptionChain(exp=exp)
# ----------------------------------------------------------
fig, axs = plt.subplots(2, figsize=(15, 8), sharex=True)
fig.suptitle('Weigh implied volatility ({})'.format(ticker.getInfo().ticker),
fontsize=16)
forwardPrice = optionChain.getForwardPrice()
impliedVolatility = ImpliedVolatility(optionChain)
volatilitySmile = VolatilitySmile(impliedVolatility)
smile = volatilitySmile.getVolatilitySmile()
chainWeights = ChainWeights(optionChain)
weights = chainWeights.computeMoneynessWeights()
# chart 1
axs[0].set_title('Volatility smile (VS)')
axs[0].plot(smile.strike, smile.smile, label='Smile')
axs[0].plot(forwardPrice,
""" tickerHistory.py Created by Luca Camerani at 06/10/2020, University of Milano-Bicocca. ([email protected]) All rights reserved. This file is part of the EcoFin-Library (https://github.com/LucaCamerani/EcoFin-Library), and is released under the "BSD Open Source License". """ import matplotlib.pyplot as plt from EcoFin.dataDownload.ticker import Ticker ticker = Ticker('MSFT') history = ticker.getHistory().tail(100) plt.plot(history.index, history.Close, label='Price ($S_t$)') plt.show() print(ticker.getInfo())
