def reduce_strike(self, strike_list, expiry, is_put):
current_date_str = lib.create_current_date_string()
days_to_expiry = lib.calculate_days_difference(expiry, current_date_str)
strike_list = sorted(strike_list)
otm_rate = 0
itm_rate = 0
if self._price <= 25:
otm_rate = 0.50
itm_rate = 0.20
elif self._price <= 50:
otm_rate = 0.40
itm_rate = 0.15
elif self._price <= 100:
otm_rate = 0.36
itm_rate = 0.10
elif self._price <= 150:
otm_rate = 0.33
itm_rate = 0.10
elif self._price <= 200:
otm_rate = 0.28
itm_rate = 0.10
else:
otm_rate = 0.25
itm_rate = 0.10
if is_put:
otm_strike = self._price * (1 - otm_rate)
itm_strike = self._price * (1 + itm_rate)
strike_list = [x for x in strike_list if (x >= otm_strike and x <= itm_strike and int(x) == x)]
return strike_list
else:
otm_strike = self._price * (1 + otm_rate)
itm_strike = self._price * (1 - itm_rate)
strike_list = [x for x in strike_list if (x >= itm_strike and x <= otm_strike and int(x) == x)]
return strike_list
def reduce_strike(self, strike_list, expiry, is_put):
current_date_str = lib.create_current_date_string()
days_to_expiry = lib.calculate_days_difference(expiry,
current_date_str)
strike_list = sorted(strike_list)
otm_rate = 0
itm_rate = 0
if self._price <= 25:
otm_rate = 0.50
itm_rate = 0.20
elif self._price <= 50:
otm_rate = 0.40
itm_rate = 0.15
elif self._price <= 100:
otm_rate = 0.36
itm_rate = 0.10
elif self._price <= 150:
otm_rate = 0.33
itm_rate = 0.10
elif self._price <= 200:
otm_rate = 0.28
itm_rate = 0.10
else:
otm_rate = 0.25
itm_rate = 0.10
if is_put:
otm_strike = self._price * (1 - otm_rate)
itm_strike = self._price * (1 + itm_rate)
strike_list = [
x for x in strike_list
if (x >= otm_strike and x <= itm_strike and int(x) == x)
]
return strike_list
else:
otm_strike = self._price * (1 + otm_rate)
itm_strike = self._price * (1 - itm_rate)
strike_list = [
x for x in strike_list
if (x >= itm_strike and x <= otm_strike and int(x) == x)
]
return strike_list
import sys
import lib
from option_chain import OptionChain
from data import option_chain_data
if __name__ == '__main__':
if len(sys.argv) not in [2, 3]:
print sys.argv[0], " ticker ", "[expiry]"
exit
else:
underline_ticker = sys.argv[1].upper()
expiry = sys.argv[2] if len(sys.argv) == 3 else lib.CURRENT_EXPIRY
current_date_str = lib.create_current_date_string()
days_to_expiry = lib.calculate_days_difference(expiry, current_date_str)
option_chain_data_all = {}
if lib.DEBUG:
option_chain_data_all['P'] = option_chain_data.put_data
option_chain_data_all['C'] = option_chain_data.call_data
lib.find_iron_condor(underline_ticker, option_chain_data_all, days_to_expiry)
else:
option_chain = OptionChain(underline_ticker)
option_chain.download([expiry])
option_chain_data_all['P'] = option_chain._option_chain_sorted_dict['P']
option_chain_data_all['C'] = option_chain._option_chain_sorted_dict['C']
lib.find_iron_condor(underline_ticker, option_chain_data_all, days_to_expiry)
import sys
import lib
from option_chain import OptionChain
from data import option_chain_data
if __name__ == '__main__':
if len(sys.argv) not in [2, 3]:
print sys.argv[0], " ticker ", "[expiry]"
exit
else:
underline_ticker = sys.argv[1].upper()
expiry = sys.argv[2] if len(sys.argv) == 3 else lib.CURRENT_EXPIRY
current_date_str = lib.create_current_date_string()
days_to_expiry = lib.calculate_days_difference(expiry, current_date_str)
if lib.DEBUG:
put_option_chains = option_chain_data.put_data
lib.find_vertical_spread_long(underline_ticker, put_option_chains, days_to_expiry, True)
call_option_chains = option_chain_data.call_data
lib.find_vertical_spread_long(underline_ticker, call_option_chains, days_to_expiry, False)
else:
option_chain = OptionChain(underline_ticker)
option_chain.download([expiry])
put_option_chains = option_chain._option_chain_sorted_dict['P']
lib.find_vertical_spread_long(underline_ticker, put_option_chains, days_to_expiry, True)
call_option_chains = option_chain._option_chain_sorted_dict['C']
lib.find_vertical_spread_long(underline_ticker, call_option_chains, days_to_expiry, False)
