def test_analytical_delta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertAlmostEqual(analytical.delta('c', S, K, t, r, sigma),
row['CD'],
delta=0.000001)
self.assertAlmostEqual(analytical.delta('p', S, K, t, r, sigma),
row['PD'],
delta=0.000001)
def test_analytical_delta(self):
S = 49
K = 50
sigma = .2
r = .05
t = 0.3846
flag = 'p'
c_put = c_analytical.delta(flag, S, K, t, r, sigma)
py_put = py_analytical.delta(flag, S, K, t, r, sigma)
self.assertTrue(almost_equal(c_put, py_put))
flag = 'c'
c_call = c_analytical.delta(flag, S, K, t, r, sigma)
py_call = py_analytical.delta(flag, S, K, t, r, sigma)
self.assertTrue(almost_equal(c_call, py_call))
def test_delta(self):
deltas = [
delta(flag, S, K, t, r, sigma)
for flag, S, K, t, r, sigma in self.arg_combinations
]
ndeltas = [
ndelta(flag, S, K, t, r, sigma)
for flag, S, K, t, r, sigma in self.arg_combinations
]
self.assertTrue(self.diff_mean(deltas, ndeltas) < self.epsilon)
def precompute(underlying):
print "precompute: " + str(underlying)
print
db = MySQLdb.connect(host="localhost", user=settings.db_username, passwd=settings.db_password, db="optiondata")
cur2 = db.cursor()
query = "SELECT id, quote_date, underlying_bid_1545, underlying_ask_1545, bid_1545, ask_1545, expiration, strike, option_type FROM optiondata WHERE underlying_symbol = '" + underlying + "' AND iv IS NULL ORDER BY id asc"
cur2.execute(query)
for row in cur2:
rowid = row[0]
quote_date = row[1]
underlying_bid_1545 = row[2]
underlying_ask_1545 = row[3]
bid_1545 = row[4]
ask_1545 = row[5]
expiration = row[6]
strike = float(row[7])
option_type = row[8].lower()
current_quote = float((underlying_bid_1545 + underlying_ask_1545) / 2)
midprice = float((bid_1545 + ask_1545) / 2)
expiration_time = datetime.combine(expiration, time(16, 00))
remaining_time_in_years = util.remaining_time(quote_date, expiration_time)
iv = 0.001
delta = 0.001
theta = 0.001
if remaining_time_in_years > 0:
try:
iv = implied_volatility.implied_volatility(midprice, current_quote, int(strike), remaining_time_in_years, util.interest, option_type)
except:
iv = 0.001
delta = analytical.delta(option_type, current_quote, strike, remaining_time_in_years, util.interest, iv) * 100
theta = analytical.theta(option_type, current_quote, strike, remaining_time_in_years, util.interest, iv) * 100
updateQuery = "UPDATE optiondata SET iv=%s, delta=%s, theta=%s WHERE id=%s" % (iv, delta, theta, rowid)
try:
cur2.execute(updateQuery)
db.commit()
except:
print rowid
print current_quote
print midprice
print iv
print delta
print theta
print updateQuery
db.close()
def Calculate_delta(each_row):
if each_row['Implied_Volatility'] == 0:
measure= 0
else:
try:
measure = bs_a.delta(flag=each_row['CallOrPut'], S=each_row['Spot'], K=each_row['Strike_Price'],
t=each_row['Days_to_Expiry']/365, r=.1,sigma=each_row['Implied_Volatility'])
except:
measure = 0
print("Delta", end = " ")
return measure
def calc_all(self, b):
h = self.all_set(b)
if not h: return False
if not h.get("sigma"): self.civ(h)
if not h.get("sigma"): return False
a = (h["flag"], h["F"], h["K"], h["t"], h["r"], h["sigma"])
r = self.rounding
h["price"] = round(oprice(*a), r)
h["delta"] = round(delta(*a), r)
h["gamma"] = round(gamma(*a) * 100, r)
h["vega"] = round(vega(*a), r)
return h
def delta(self, option_obj, asset_price, timestamp, expiration,
call_put_flag):
flag = call_put_flag
S = asset_price
K = option_obj.strike
t = self.time_2_expiration(timestamp, expiration)
r = self.risk_free_rate
sigma = option_obj.sigma
delta = vollib_greeks.delta(flag, S, K, t, r, sigma)
return delta
def update_delta(self, asset_code):
flag = asset_code[0].lower()
S = self.mid_dict['IDX#PHX']
if len(asset_code) == 6:
K = int(asset_code[1:3])
elif len(asset_code) == 7:
K = int(asset_code[1:4])
t = (63 - (time.time() - self.start_time) /
(900 / 21)) / 252 #time to expiration in years
r = 0
price = self.mid_dict[asset_code]
sigma = IV(price, S, K, r, t, flag) * np.sqrt(252)
return bsga.delta(flag, S, K, t, r, sigma)
def calculateAllGreeks(ticker, date, type, strike):
S = si.get_live_price(ticker)
K = strike
sigma = calculateAnnualizedVolatility(ticker)
t = optionExpiration(date)
r = calculateTreasuryYield(date)
if type == 'Call' or type == "call" or type == "C" or type == 'c':
flag = 'c'
else:
flag = 'p'
dlta = delta(flag, S, K, t, r, sigma)
gam = gamma(flag, S, K, t, r, sigma)
thta = theta(flag, S, K, t, r, sigma)
vga = vega(flag, S, K, t, r, sigma)
rh = rho(flag, S, K, t, r, sigma)
return ({"delta": dlta, "gamma": gam, "theta": thta, "vega": vga, "rho": rh})
def calculate_portfolio_delta(tick, securities_data, orders_data):
S = securities_data["SAC"].last
K = 50
t =((300 - tick) / 15)/252
r = 0
sigma = .15
d = delta("c", S, K, t, r, sigma)
sac50c_position = -200
delta_from_options = sac50c_position * d * 100
sac_position = securities_data["SAC"].position
delta_from_stocks = sac_position
portfolio_delta = delta_from_options + delta_from_stocks
return portfolio_delta
def calculateGreek(ticker, date, type, strike, greek):
grk = 0
S = si.get_live_price(ticker)
K = strike
sigma = calculateAnnualizedVolatility(ticker)
t = optionExpiration(date)
r = calculateTreasuryYield(date)
flag = ''
if type == 'Call' or type == "call" or type == "C" or type == 'c':
flag = 'c'
flag = 'p'
if greek == "Delta" or greek == "delta":
grk = delta(flag, S, K, t, r, sigma)
elif greek == "Gamma" or greek == "gamma":
grk = gamma(flag, S, K, t, r, sigma)
elif greek == "Theta" or greek == "theta":
grk = theta(flag, S, K, t, r, sigma)
elif greek == "Vega" or greek == "vega":
grk = vega(flag, S, K, t, r, sigma)
else:
grk = rho(flag, S, K, t, r, sigma)
return grk
def on_update(msg, order):
now = time.time()
global tick
ms = msg['market_state']
tck = ms['ticker']
last_price = msg['market_state']['last_price']
tickers[tck]['price'].append(last_price)
tick += 1
if tck == fut:
return
S = tickers[fut]['price'][-1] if len(tickers[fut]['price']) > 0 else None
K = int(tck[1:4]) if len(tck) == 5 else int(tck[1:3])
t = (450 - tick) / 450 * 1 / 12
flag = 'c' if tck[-1] == 'C' else 'p'
if S is not None:
try:
iv = implied_volatility.implied_volatility(last_price, S, K, t, r,
flag)
theo_p = black_scholes.black_scholes(flag, S, K, t, r, iv)
delta = analytical.delta(flag, S, K, t, r, iv)
gamma = analytical.gamma(flag, S, K, t, r, iv)
# vega = analytical.vega(flag,S,K,t,r,iv)
tickers[tck]['vol'].append(vol)
tickers[tck]['delta'].append(delta)
tickers[tck]['gamma'].append(gamma)
# tickers[tck]['vega'].append(vega)
if len(tickers[tck]['vol']) > 5:
vol_sma = np.mean(np.array(ticker[tck]['vol'][-6:-1]))
if abs(iv - vol_sma) / vol_sma > .015:
if iv > vol_sma: order.addSell(tck, 10, last_price + dx)
else: order.addBuy(tck, 10, last_price - dx)
except:
print(S, K, last_price, flag)
def precompute(table, computedate, underlying, include_riskfree):
db = psycopg2.connect(host="localhost",
user=settings.db_username,
password=settings.db_password,
database="optiondata")
cur2 = db.cursor()
underlying_fragment = ""
if (underlying != "*"):
underlying_fragment = "underlying_symbol = '" + underlying + "' AND "
date_fragment = ""
if (computedate != "*"):
date_fragment = "quote_date = '" + str(computedate) + "' AND "
query = "SELECT id, quote_date, underlying_mid_1545, mid_1545, expiration, strike, option_type FROM " + \
table + " WHERE " + underlying_fragment + date_fragment + "iv IS NULL"
cur2.execute(query)
result = cur2.fetchall()
print(
str(computedate) + " " + str(underlying) + ": " + str(len(result)) +
" results")
bulkrows = []
if (len(result) > 0):
for row in result:
rowid = row[0]
quote_date = row[1]
underlying_mid_1545 = float(row[2])
mid_1545 = float(row[3])
expiration = row[4]
strike = float(row[5])
option_type = row[6]
expiration_time = datetime.datetime.combine(
expiration, datetime.time(16, 0))
remaining_time_in_years = util.remaining_time(
quote_date, expiration_time)
rf = util.interest
if include_riskfree:
rf = util.get_riskfree_libor(quote_date,
remaining_time_in_years)
try:
iv = implied_volatility.implied_volatility(
mid_1545, underlying_mid_1545, int(strike),
remaining_time_in_years, rf, option_type)
except:
iv = 0.001
try:
bs_price_bid_ask = black_scholes(option_type,
underlying_mid_1545, strike,
remaining_time_in_years, rf,
iv)
except:
bs_price_bid_ask = 0.001
try:
delta = analytical.delta(option_type, underlying_mid_1545,
strike, remaining_time_in_years, rf,
iv) * 100
except:
delta = 0.001
try:
theta = analytical.theta(option_type, underlying_mid_1545,
strike, remaining_time_in_years, rf,
iv) * 100
except:
theta = 0.001
try:
vega = analytical.vega(option_type, underlying_mid_1545,
strike, remaining_time_in_years, rf,
iv) * 100
except:
vega = 0.001
bulkrows.append({
'iv': iv,
'bs_price_bid_ask': bs_price_bid_ask,
'delta': delta,
'theta': theta,
'vega': vega,
'rowid': rowid
})
psycopg2.extras.execute_batch(
cur2,
"""UPDATE """ + table +
""" SET iv=%(iv)s, bs_price_bid_ask=%(bs_price_bid_ask)s, delta=%(delta)s, theta=%(theta)s, vega=%(vega)s WHERE id=%(rowid)s""",
bulkrows,
page_size=100)
db.commit()
db.close()
from py_vollib.black_scholes.greeks import analytical from py_vollib.black_scholes.greeks import numerical x = 'c', 10186, 10400, 10 / 250, 7.5, 11.5 print(analytical.delta(*x)) print(numerical.delta(*x))
def precompute(underlying, include_riskfree):
done = False
bulksize = 100000
counter = 0
print("precompute: " + str(underlying))
print()
while not done:
db = psycopg2.connect(host="localhost",
user=settings.db_username,
password=settings.db_password,
database="optiondata")
cur2 = db.cursor()
print("Query for next " + str(bulksize) + " items to precompute ")
query = "SELECT id, quote_date, underlying_mid_1545, mid_1545, expiration, strike, option_type FROM optiondata WHERE underlying_symbol = '" + underlying + "' AND iv IS NULL LIMIT " + str(
bulksize)
cur2.execute(query)
result = cur2.fetchall()
print(str(len(result)) + " items to precompute")
if len(result) == 0:
done = True
print("Done precomputing")
print()
bulkrows = []
for row in result:
rowid = row[0]
quote_date = row[1]
underlying_mid_1545 = float(row[2])
mid_1545 = float(row[3])
expiration = row[4]
strike = float(row[5])
option_type = row[6]
expiration_time = datetime.datetime.combine(
expiration, datetime.time(16, 0))
remaining_time_in_years = util.remaining_time(
quote_date, expiration_time)
rf = util.interest
if include_riskfree:
rf = util.get_riskfree_libor(quote_date,
remaining_time_in_years)
try:
iv = implied_volatility.implied_volatility(
mid_1545, underlying_mid_1545, int(strike),
remaining_time_in_years, rf, option_type)
delta = analytical.delta(option_type, underlying_mid_1545,
strike, remaining_time_in_years, rf,
iv) * 100
theta = analytical.theta(option_type, underlying_mid_1545,
strike, remaining_time_in_years, rf,
iv) * 100
vega = analytical.vega(option_type, underlying_mid_1545,
strike, remaining_time_in_years, rf,
iv) * 100
except:
iv = 0.001
delta = 0.001
theta = 0.001
vega = 0.001
bulkrows.append({
'iv': iv,
'delta': delta,
'theta': theta,
'vega': vega,
'rowid': rowid
})
counter += 1
if (((counter % 1000) == 0) or ((len(result) < bulksize) and
(counter == len(result)))):
try:
cur2.executemany(
"""UPDATE optiondata SET iv=%(iv)s, delta=%(delta)s, theta=%(theta)s, vega=%(vega)s WHERE id=%(rowid)s""",
bulkrows)
db.commit()
print("inserted: " + str(counter))
bulkrows = []
time.sleep(1)
except Exception as e:
print("an exception occurred")
print(e)
if (len(result) < bulksize) and (counter == len(result)):
done = True
print("Done precomputing")
print()
db.close()