def defineForwordVolatilityStatergy(underlyinglist,
strikeprice,
nofdayslist,
callorputlist,
callorputflag,
symbol,
expieryDaysList,
date,
checkExit=False):
m = range(0, 3)
noofdaysVarienceDir = dict()
name = ''
for i in m:
underlying = underlyinglist[i]
noofdays = nofdayslist[i]
callorputprice = callorputlist[i]
flag = callorputflag
if flag == 'P':
name = 'Put'
price = mibian.Me([underlying, strikeprice, 0, 0, noofdays],
putPrice=callorputprice)
else:
name = 'Call'
#print("values are ",underlying,strikeprice,noofdays,callorputprice)
price = mibian.Me([underlying, strikeprice, 0, 0, noofdays],
callPrice=callorputprice)
# price = mibian.Me([underlying,strikeprice,0,0,noofdays],name = callorputprice)
varience = calculatendayVarience(price.impliedVolatility, noofdays)
noofdaysVarienceDir.update({i: (noofdays, varience)})
firstVarince = noofdaysVarienceDir[0]
secondVarince = noofdaysVarienceDir[1]
thridVarience = noofdaysVarienceDir[2]
firstandsecondVol = calculateForwordVolatility(firstVarince, secondVarince)
secondandthridVol = calculateForwordVolatility(secondVarince,
thridVarience)
if checkExit:
statergy, statergyDF = makeExitStatergy(firstandsecondVol,
secondandthridVol, strikeprice,
symbol, name, expieryDaysList,
callorputlist, date)
else:
statergy, statergyDF = makeFvStatergy(firstandsecondVol,
secondandthridVol, strikeprice,
symbol, name, expieryDaysList,
callorputlist, date)
return statergy, statergyDF, noofdaysVarienceDir, firstandsecondVol, secondandthridVol
def testMe(self):
'''Merton model tests'''
test = mibian.Me([52, 50, 1, 1, 30], volatility=30)
self.assertEqual([test.callPrice, test.putPrice],
[2.8984579845404852, 0.93950583663422549])
self.assertEqual([test.callDelta, test.putDelta],
[0.68691662012467536, -0.31150401721361859])
#self.assertEqual([test.callDelta2, test.putDelta2],
# [-0.54332493698317152, 0.4468605293205825])
self.assertEqual([test.callTheta, test.putTheta],
[-0.025346097581119695, -0.026712759026055157])
self.assertEqual([test.callRho, test.putRho],
[0.026976333913925447, -0.014085792930199226])
self.assertEqual(test.vega, 0.052657699586925684)
self.assertEqual(test.gamma, 0.07897789426868787)
test = mibian.Me([52, 50, 1, 1, 30], callPrice=3)
self.assertEqual(test.impliedVolatility, 31.25)
def calc_pnl(spot, dte, opt_df, r, div):
l_pnl = []
for i in opt_df.iterrows():
if i[1]['Contract'] == 'STK':
l_pnl.append((spot - i[1]['Avg px']) * i[1]['pos'])
else:
c = mibian.Me([spot, i[1]['Contract'][-2], r, div * 100, dte],
volatility=i[1]['IV'] * 100)
if i[1]['Contract'][-1] == 'C':
l_pnl.append(
((c.callPrice - i[1]['Avg px']) * i[1]['pos']) * 100)
else:
l_pnl.append(
((c.putPrice - i[1]['Avg px']) * i[1]['pos']) * 100)
pnl = sum(l_pnl)
return {'spot': spot, 'dte': dte, 'pnl': pnl}
def getDateStrike(i,dbq,con,x=0):
strlist = []
temp_Close = Df_F.loc[Df_F[date] == i][close].tolist()[x]
exp_date = Df_F.loc[Df_F[close] == temp_Close]['EXPIRY_DT'].tolist()[0]
temp_OI = DF_O.loc[DF_O[date] == i]['STRIKE_PR'].tolist()[-2:]
diff, Strike_High, Strike_Low = getStrikes.getStrikes(temp_Close,temp_OI)
# diff = abs(temp_OI[0] - temp_OI[1])
# Strike_High = temp_Close + (diff - (temp_Close % diff)) # Get smallest no from larger no then Close
# Strike_Low = temp_Close + - (temp_Close % diff) # Get largest no from smaller then Close
Strike_High_mask_CE = (DF_O[date] == i)\
& (DF_O['STRIKE_PR'] == Strike_High)\
& (DF_O['EXPIRY_DT'] == exp_date)\
& (DF_O['OPTION_TYP'] == 'CE')
Strike_High_mask_PE = (DF_O[date] == i) \
& (DF_O['STRIKE_PR'] == Strike_High) \
& (DF_O['EXPIRY_DT'] == exp_date) \
& (DF_O['OPTION_TYP'] == 'PE')
Strike_Low_mask_CE = (DF_O[date] == i) \
& (DF_O['STRIKE_PR'] == Strike_Low) \
& (DF_O['EXPIRY_DT'] == exp_date) \
& (DF_O['OPTION_TYP'] == 'CE')
Strike_Low_mask_PE = (DF_O[date] == i) \
& (DF_O['STRIKE_PR'] == Strike_Low) \
& (DF_O['EXPIRY_DT'] == exp_date) \
& (DF_O['OPTION_TYP'] == 'PE')
CE_High = DF_O.loc[Strike_High_mask_CE][close].tolist()[0]
CE_Low = DF_O.loc[Strike_Low_mask_CE][close].tolist()[0]
PE_High = DF_O.loc[Strike_High_mask_PE][close].tolist()[0]
PE_Low = DF_O.loc[Strike_Low_mask_PE][close].tolist()[0]
days_to_expire = int(get_tradingDay(i,exp_date,False))
CE_H_IV = mibian.Me([temp_Close, Strike_High, 7, 0, days_to_expire], callPrice=CE_High).impliedVolatility
CE_L_IV = mibian.Me([temp_Close, Strike_Low, 7, 0, days_to_expire], callPrice=CE_Low).impliedVolatility
PE_H_IV = mibian.Me([temp_Close, Strike_High, 7, 0, days_to_expire], putPrice=PE_High).impliedVolatility
PE_L_IV = mibian.Me([temp_Close, Strike_Low, 7, 0, days_to_expire], putPrice=PE_Low).impliedVolatility
DF_test = DF_O.loc[(DF_O[date] == i) & (DF_O['EXPIRY_DT'] == exp_date)]
mp_strike_pr,mp,r1 = OIMAXPAIN.findmaxpain(symbol,DF_test)
ce_maxpain, pe_maxpain, maxpain = mp['CE'],mp['PE'],mp['totalpain']
CE_OI_Max2,CE_OI_Max1 = sorted(r1['CE'].tolist())[-2:]
PE_OI_Max2,PE_OI_Max1 = sorted(r1['PE'].tolist())[-2:]
CE_OI_Max2_St_Pr,CE_OI_Max2_CHG_OI = DF_test.loc[DF_test['OPEN_INT'] == CE_OI_Max2][['STRIKE_PR','CHG_IN_OI']].values[0][-2:]
CE_OI_Max1_St_Pr,CE_OI_Max1_CHG_OI = DF_test.loc[DF_test['OPEN_INT'] == CE_OI_Max1][['STRIKE_PR','CHG_IN_OI']].values[0][-2:]
PE_OI_Max2_St_Pr,PE_OI_Max2_CHG_OI = DF_test.loc[DF_test['OPEN_INT'] == PE_OI_Max2][['STRIKE_PR','CHG_IN_OI']].values[0][-2:]
PE_OI_Max1_St_Pr,PE_OI_Max1_CHG_OI = DF_test.loc[DF_test['OPEN_INT'] == PE_OI_Max1][['STRIKE_PR','CHG_IN_OI']].values[0][-2:]
#
# OI_CE_High = DF_O.loc[Strike_High_mask_CE][close].tolist()[0]
# OI_CE_Low = DF_O.loc[Strike_Low_mask_CE][close].tolist()[0]
# OI_PE_High = DF_O.loc[Strike_High_mask_PE][close].tolist()[0]
# OI_PE_Low = DF_O.loc[Strike_Low_mask_PE][close].tolist()[0]
#
# COI_CE_High = DF_O.loc[Strike_High_mask_CE][close].tolist()[0]
# COI_CE_Low = DF_O.loc[Strike_Low_mask_CE][close].tolist()[0]
# COI_PE_High = DF_O.loc[Strike_High_mask_PE][close].tolist()[0]
# COI_PE_Low = DF_O.loc[Strike_Low_mask_PE][close].tolist()[0]
#
#
strlist.append([i, symbol, exp_date, temp_Close, Strike_High,Strike_Low,
CE_H_IV, CE_L_IV, PE_H_IV, PE_L_IV, days_to_expire,
ce_maxpain, pe_maxpain, maxpain, mp_strike_pr,
CE_OI_Max2_St_Pr, CE_OI_Max2_CHG_OI,
CE_OI_Max1_St_Pr, CE_OI_Max1_CHG_OI,
PE_OI_Max2_St_Pr, PE_OI_Max2_CHG_OI,
PE_OI_Max1_St_Pr, PE_OI_Max1_CHG_OI])
implobj = ImpliedVolatility(dbq = dbq, conn = con)
implobj.save_data(strlist)
df['spots'] = range(int(s1), int(s2))
if stockpos != None:
i = 0
for spot in range(int(s1), int(s2)):
df['stk'][i] = stockpos * (spot - s)
i += 1
n = 1
for o in opts:
i = 0
for spot in range(int(s1), int(s2)):
df['spots'][i] = spot
dtes = o[2] - d
if dtes > 0:
c = mibian.Me([
df['spots'].iloc[i], o[0]['strike'], r * 100, div * 100, d
],
volatility=o[1] * 100)
if o[0]['kind'] == 'C':
df['pos' + str(n)][i] = (
(c.callPrice - o[0]['close']) * o[3]) * 100
else:
df['pos' +
str(n)][i] = ((c.putPrice - o[0]['close']) * o[3]) * 100
else:
df['pos' + str(n)][i] = o[0]['close'] * o[3]
df['dte'][i] = d
i += 1
@author: sanjotraibagkar """ #The formula for IV rank is simple, really. It is: #100 x (the current IV level - the 52 week IV low) / (the 52 week IV high - 52 week IV low) = IV Rank import mibian from nsepy import get_history from datetime import date import pandas as pd from matplotlib import pyplot as plt import datetime c = mibian.Me([10692, 10700, 7, 0, 30], callPrice=153) print(c.impliedVolatility) c = mibian.Me([10692, 10600, 7, 0, 21], volatility=13) print(c.callPrice) from nsepy.derivatives import get_expiry_date expiry = get_expiry_date(year=2018, month=5) print(expiry) stock = 'SBIN' start = date(2017, 3, 25) end = date(2018, 4, 26) end2 = date(2018, 4, 27)
cov_VIX_VXD = (1 - 0.94) * np.sum(lamda * log_VIX * log_VXD)
y = np.array([[var_SPX, cov_SPX_DJX, cov_SPX_VIX, cov_SPX_VXD],
[cov_SPX_DJX, var_DJX, cov_DJX_VIX, cov_DJX_VXD],
[cov_SPX_VIX, cov_DJX_VIX, var_VIX, cov_VIX_VXD],
[cov_SPX_VXD, cov_DJX_VXD, cov_VIX_VXD, var_VXD]])
print('Covariance matrix')
print(y)
#Question 1-b
annual_var_SPX = np.sqrt(252) * np.sqrt(var_SPX)
annual_var_DJX = np.sqrt(252) * np.sqrt(var_DJX)
annual_var_VIX = np.sqrt(252) * np.sqrt(var_VIX)
annual_var_VXD = np.sqrt(252) * np.sqrt(var_VXD)
# Question 2
c_SPX = mibian.Me([SPX[0], 1865, 0.25, 2.22, 35], callPrice=(49.5 + 50.1) / 2)
p_SPX = mibian.Me([SPX[0], 1865, 0.25, 2.22, 35], putPrice=(55.5 + 56.1) / 2)
c_DJX = mibian.Me([DJX[0] / 100, 160, 0.25, 2.48, 35],
callPrice=(3.85 + 4.05) / 2)
p_DJX = mibian.Me([DJX[0] / 100, 160, 0.25, 2.48, 35],
putPrice=(4.7 + 4.9) / 2)
print('implied Volatility')
print('SPX call:', c_SPX.impliedVolatility)
print('SPX put:', p_SPX.impliedVolatility)
print('DJX call:', c_DJX.impliedVolatility)
print('DJX put:', p_DJX.impliedVolatility)
# Question 3 & 4
SPX_initial = mibian.Me(
[SPX[0], 1865, 0.25, 2.22, 35],
volatility=(c_SPX.impliedVolatility + p_SPX.impliedVolatility) / 2)
if corp in ["Call", "call"]:
print("")
print("Call Option Analytics")
xpx = input("Strike Price = ")
xpx_float = float(xpx)
if xpx_float <= underpx:
print("This option is in the money and should be exercised.")
elif xpx_float > underpx:
intrt = input("Interest Rate = ")
adiv = input("Annual Dividend = ")
dte = input("Days to Expiration = ")
#vol = input("Volatility = ")
cpx = input("Call Price = ")
#ppx = input("Put Price = ")
#import mibian
c=mibian.Me([underpx, xpx, intrt, adiv, dte], callPrice = cpx)
print ("")
print ("Implied Vol ", round(c.impliedVolatility,4))
ivol = c.impliedVolatility
c=mibian.Me([underpx, xpx, intrt, adiv, dte], volatility = ivol)
#print ("Call Price ",c.callPrice)
print("")
print ("Put Price ", round(c.putPrice, 4))
print ("Call Delta ", round(c.callDelta, 4))
print ("Put Delta ", round(c.putDelta, 4))
print ("Call Theta ", round(c.callTheta, 4))
print ("Put Theta ", round(c.putTheta, 4))
print ("Call Rho ", round(c.callRho, 4))
print ("Put Rho ", round(c.putRho, 4))
print ("Vega ", round(c.vega, 4))
print ("Gamma ", round(c.gamma, 4))
def iv_bisection(target_value, call_put, S, K, r, q, daystoexpiry):
if call_put == 'call':
opt = mibian.Me([S, K, r, q, daystoexpiry], callPrice=target_value)
else:
opt = mibian.Me([S, K, r, q, daystoexpiry], putPrice=target_value)
return opt.impliedVolatility
def bs_price(call_put, v, S, K, r, q, daystoexpiry):
opt = mibian.Me([S, K, r, q, daystoexpiry], volatility=v)
if call_put == 'call':
return opt.callPrice, opt.vega
else:
return opt.putPrice, opt.vega