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 matplotlib.pyplot as plt
import numpy as np
from EcoFin.dataDownload.optionsManager import OptionManager
from EcoFin.dataDownload.ticker import Ticker
from EcoFin.options.blackScholesModel import BSM
from EcoFin.stat.equityVolatility import EquityVolatility
# -------------------------[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)
# ----------------------------------------------------------
strikeList = optionChain.getStrikeList()
volatility_back = 260
series = ticker.getHistory(
end=optionChain.getChainDate()).tail(volatility_back)
price = optionChain.getSpotPrice()
r = optionChain.getRiskFreeRate()
sigma = EquityVolatility(series).meanSigma()
maturity = optionChain.getTimeToMaturity().days