def option_model_wrapper(**kwargs):
# enter underlying, strike, (option_price or implied_vol)
# calculation_date, exercise_type, option_type
con = msu.get_my_sql_connection(**kwargs)
ticker = kwargs['ticker']
calculation_date = kwargs['calculation_date']
if 'interest_rate_date' in kwargs.keys():
interest_rate_date = kwargs['interest_rate_date']
else:
interest_rate_date = calculation_date
#print(ticker)
#print(kwargs['exercise_type'])
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_head = contract_specs_output['ticker_head']
contract_multiplier = cmi.contract_multiplier[ticker_head]
expiration_datetime = exp.get_expiration_from_db(ticker=ticker,
instrument='options',
con=con)
expiration_date = int(expiration_datetime.strftime('%Y%m%d'))
if 'con' not in kwargs.keys():
con.close()
interest_rate = grfs.get_simple_rate(
as_of_date=interest_rate_date, date_to=expiration_date)['rate_output']
if np.isnan(interest_rate):
option_greeks = {
'implied_vol': np.NaN,
'delta': np.NaN,
'vega': np.NaN,
'dollar_vega': np.NaN,
'theta': np.NaN,
'dollar_theta': np.NaN,
'gamma': np.NaN,
'dollar_gamma': np.NaN,
'interest_rate': np.NaN,
'cal_dte': np.NaN
}
else:
option_greeks = qom.get_option_greeks(risk_free_rate=interest_rate,
expiration_date=expiration_date,
**kwargs)
option_greeks['implied_vol'] = 100 * option_greeks['implied_vol']
option_greeks[
'dollar_vega'] = option_greeks['vega'] * contract_multiplier / 100
option_greeks[
'dollar_theta'] = option_greeks['theta'] * contract_multiplier
option_greeks[
'dollar_gamma'] = option_greeks['gamma'] * contract_multiplier
option_greeks['interest_rate'] = interest_rate
return option_greeks
def cal_greeks_4option_maturity(**kwargs):
option_prices = gop.get_options_price_from_db(**kwargs)
if option_prices.empty:
return pd.DataFrame()
option_prices = option_prices[option_prices['strike'] > 0]
option_prices.reset_index(drop=True, inplace=True)
contract_specs_out = cmi.get_contract_specs(kwargs['ticker'])
exercise_type = cmi.get_option_exercise_type(**contract_specs_out)
underlying_ticker = oput.get_option_underlying(**kwargs)
futures_price_output = gfp.get_futures_price_preloaded(
ticker=underlying_ticker, settle_date=kwargs['settle_date'])
if futures_price_output.empty:
return pd.DataFrame()
underlying_price = futures_price_output['close_price'].iloc[0]
expiration_datetime = exp.get_expiration_from_db(instrument='options',
**kwargs)
expiration_date = int(expiration_datetime.strftime('%Y%m%d'))
interest_rate = grfs.get_simple_rate(
as_of_date=kwargs['settle_date'],
date_to=expiration_date)['rate_output']
option_greeks = [
qom.get_option_greeks(underlying=underlying_price,
option_price=float(
option_prices['close_price'].iloc[x]),
strike=float(option_prices['strike'].iloc[x]),
risk_free_rate=interest_rate,
expiration_date=expiration_date,
calculation_date=kwargs['settle_date'],
option_type=option_prices['option_type'].iloc[x],
exercise_type=exercise_type)
for x in range(len(option_prices.index))
]
greek_frame = pd.DataFrame(option_greeks)
return pd.concat([
greek_frame[['delta', 'gamma', 'implied_vol', 'theta', 'vega']],
option_prices
],
axis=1)
def cal_greeks_4option_maturity(**kwargs):
option_prices = gop.get_options_price_from_db(**kwargs)
if option_prices.empty:
return pd.DataFrame()
contract_specs_out = cmi.get_contract_specs(kwargs['ticker'])
exercise_type = cmi.get_option_exercise_type(**contract_specs_out)
underlying_ticker = oput.get_option_underlying(**kwargs)
futures_price_output = gfp.get_futures_price_preloaded(ticker=underlying_ticker, settle_date=kwargs['settle_date'])
if futures_price_output.empty:
return pd.DataFrame()
underlying_price = futures_price_output['close_price'].iloc[0]
expiration_datetime = exp.get_expiration_from_db(instrument='options', **kwargs)
expiration_date = int(expiration_datetime.strftime('%Y%m%d'))
interest_rate = grfs.get_simple_rate(as_of_date=kwargs['settle_date'], date_to=expiration_date)['rate_output']
#print(kwargs['settle_date'])
#print(expiration_date)
option_greeks = [qom.get_option_greeks(underlying=underlying_price,
option_price=float(option_prices['close_price'].iloc[x]),
strike=float(option_prices['strike'].iloc[x]),
risk_free_rate=interest_rate,
expiration_date=expiration_date,
calculation_date=kwargs['settle_date'],
option_type=option_prices['option_type'].iloc[x],
exercise_type=exercise_type) for x in range(len(option_prices.index))]
greek_frame = pd.DataFrame(option_greeks)
return pd.concat([greek_frame[['delta', 'gamma', 'implied_vol', 'theta', 'vega']], option_prices], axis=1)
def calc_imp_vols(self):
vcs_pairs = self.vcs_pairs
vcs_pairs['validQ'] = False
print('YYYYUUUUUPPPP!')
for i in range(len(vcs_pairs.index)):
for j in [1, 2]:
if np.isnan(vcs_pairs.loc[i, 'current_strike' + str(j)]):
continue
call_option_ticker_string = vcs_pairs.loc[
i, 'ticker' + str(j)] + '_C_' + str(
vcs_pairs.loc[i, 'current_strike' + str(j)])
put_option_ticker_string = vcs_pairs.loc[
i, 'ticker' + str(j)] + '_P_' + str(
vcs_pairs.loc[i, 'current_strike' + str(j)])
ib_underlying_multiplier = ib_contract.ib_underlying_multiplier_dictionary.get(
vcs_pairs.loc[i, 'tickerHead'], 1)
if (self.bid_price_dictionary[call_option_ticker_string] > 0
) and (self.ask_price_dictionary[call_option_ticker_string]
> 0):
vcs_pairs.loc[i, 'call_mid_price' + str(j)] = (
self.bid_price_dictionary[call_option_ticker_string] +
self.ask_price_dictionary[call_option_ticker_string]
) / (2 * ib_underlying_multiplier)
option_greeks = qom.get_option_greeks(
underlying=vcs_pairs.loc[i, 'underlying_mid_price' +
str(j)],
option_price=vcs_pairs.loc[i,
'call_mid_price' + str(j)],
strike=vcs_pairs.loc[i, 'current_strike' + str(j)],
risk_free_rate=vcs_pairs.loc[i,
'interest_date' + str(j)],
expiration_date=vcs_pairs.loc[i, 'expiration_date' +
str(j)],
calculation_date=self.todays_date,
option_type='C',
exercise_type=vcs_pairs.loc[i, 'exercise_type'])
vcs_pairs.loc[i, 'call_iv' +
str(j)] = 100 * option_greeks['implied_vol']
if (self.bid_price_dictionary[put_option_ticker_string] > 0
) and (self.ask_price_dictionary[put_option_ticker_string]
> 0):
vcs_pairs.loc[i, 'put_mid_price' + str(j)] = (
self.bid_price_dictionary[put_option_ticker_string] +
self.ask_price_dictionary[put_option_ticker_string]
) / (2 * ib_underlying_multiplier)
option_greeks = qom.get_option_greeks(
underlying=vcs_pairs.loc[i, 'underlying_mid_price' +
str(j)],
option_price=vcs_pairs.loc[i,
'put_mid_price' + str(j)],
strike=vcs_pairs.loc[i, 'current_strike' + str(j)],
risk_free_rate=vcs_pairs.loc[i,
'interest_date' + str(j)],
expiration_date=vcs_pairs.loc[i, 'expiration_date' +
str(j)],
calculation_date=self.todays_date,
option_type='P',
exercise_type=vcs_pairs.loc[i, 'exercise_type'])
vcs_pairs.loc[i, 'put_iv' +
str(j)] = 100 * option_greeks['implied_vol']
for j in [1, 2]:
vcs_pairs['straddle_iv' +
str(j)] = (vcs_pairs['put_iv' + str(j)] +
vcs_pairs['call_iv' + str(j)]) / 2
vcs_pairs['straddle_price' +
str(j)] = (vcs_pairs['call_mid_price' + str(j)] +
vcs_pairs['put_mid_price' + str(j)])
vcs_pairs['current_atm_vol_ratio'] = vcs_pairs[
'straddle_iv1'] / vcs_pairs['straddle_iv2']
for i in range(len(vcs_pairs.index)):
if np.isnan(vcs_pairs.loc[i, 'current_atm_vol_ratio']):
continue
intraday_vcs_output = ic.get_intraday_vcs(
report_date=self.report_date,
ticker1=vcs_pairs.loc[i, 'ticker1'],
ticker2=vcs_pairs.loc[i, 'ticker2'],
atm_vol_ratio=vcs_pairs.loc[i, 'current_atm_vol_ratio'])
vcs_pairs.loc[i, 'QC'] = intraday_vcs_output['Q']
vcs_pairs.loc[i, 'Q1C'] = intraday_vcs_output['Q1']
vcs_pairs.loc[i, 'validQ'] = intraday_vcs_output['validQ']
writer = pd.ExcelWriter('C:\Research\daily\kuzu.xlsx')
vcs_pairs.to_excel(writer, 'Sheet1')
writer.save()
self.vcs_pairs = vcs_pairs
self.prepare_orders()
