def main():
ticker = 'SPY'
root = './data'
path = make_dir(root)
# scraping
yf = YahooFinance(ticker)
chain = yf.get_chain()
spot = yf.get_spot()
array = qd.get('FRED/FEDFUNDS', rows=1, returns='numpy')
rate = array[0][1]
# option chain
oc = OptionChain(ticker,
chain).add_spot(spot).add_rate(rate,
name='Fed Funds Rate (%)')
oc.get_df().to_csv(f'{path}/option_chain.csv')
# call prices
call_prices = oc.get_price_mx()
call_prices.to_csv(f'{path}/call_prices.csv')
# implied vols
implied_vols = vol_surface(call_prices, spot, rate / 100)
implied_vols.to_csv(f'{path}/implied_vols.csv')
# interpolated surfaces
interp_linear = interpolate(implied_vols, 'linear')
interp_linear.to_csv(f'{path}/implied_vols_interpolated_lin.csv')
interp_cubic = interpolate(implied_vols, 'cubic')
interp_cubic.to_csv(f'{path}/implied_vols_interpolated_cub.csv')
# parametric models
model = DumasFlemingWhaley()
model.fit(implied_vols.reset_index())
model.get_surface().to_csv(f'{path}/implied_vols_parametric_dfw.csv')
# update repo
update_repo(root)
return
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)
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)
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_straddle(underline_ticker, option_chain_data_all, days_to_expiry)
else:
option_chain = OptionChain(underline_ticker)
option_chain.download([expiry])
underline_price = option_chain.get_price()
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_straddle(underline_ticker, underline_price, option_chain_data_all, days_to_expiry)
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_straddle(underline_ticker, option_chain_data_all,
days_to_expiry)
else:
option_chain = OptionChain(underline_ticker)
option_chain.download([expiry])
underline_price = option_chain.get_price()
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_straddle(underline_ticker, underline_price,
option_chain_data_all, days_to_expiry)
