def get_implied_volatilities(mat_date, valid_options, date=None):
# считает implied volatility для полученных опционов, оставляя интервалы где d2 монотонно убывает
f = valid_options[1]
t = option.get_t(mat_date, date)
x = list()
y = list()
for put_option in reversed(valid_options[2]):
vol = option.euro_option_put_volatility(f, 0, t, 0, put_option[0],
put_option[1])
k = log(put_option[0] / f)
d2 = get_d2(k, t, vol)
if len(x) > 0:
if d2 < x[-1]:
break
x.append(d2)
y.append(vol * vol)
x.reverse()
y.reverse()
for call_option in valid_options[3]:
vol = option.euro_option_call_volatility(f, 0, t, 0, call_option[0],
call_option[1])
k = log(call_option[0] / f)
d2 = get_d2(k, t, vol)
if len(x) > 0:
if d2 > x[-1]:
break
x.append(d2)
y.append(vol * vol)
x.reverse()
y.reverse()
return x, y,
def plot_implied_volatility_smile(option_dict, rtsi, sub_plot=None):
#рисует улыбку волатильности
mult = 1
if sub_plot == None:
sub_plot = plt
mat_dates = option_dict.keys()
mat_dates.sort()
for mat_date in mat_dates:
t = option.get_t(mat_date)
opt_dict = option_dict[mat_date]
strikes = opt_dict.keys()
strikes.sort()
vols = list()
res_strikes = list()
for strike in strikes:
opt_data = opt_dict[strike]
price = 0
if strike <= rtsi:
if opt_data.put_last_price != 0:
price = opt_data.put_last_price
elif opt_data.put_buy != 0 and opt_data.put_sell != 0:
price = (opt_data.put_buy + opt_data.put_sell) / 2
if price != 0:
vol = option.euro_option_put_volatility(
rtsi, 0, t, 0, strike, price) * mult
vols.append(vol)
res_strikes.append(strike)
else:
if opt_data.call_last_price != 0:
price = opt_data.call_last_price
elif opt_data.call_buy != 0 and opt_data.call_sell != 0:
price = (opt_data.call_buy + opt_data.call_sell) / 2
if price != 0:
vol = option.euro_option_call_volatility(
rtsi, 0, t, 0, strike, price) * mult
vols.append(vol)
res_strikes.append(strike)
#sub_plot.xlabel("K")
#sub_plot.set_xlabel("K")
#sub_plot.ylabel(r'$\sigma$')
#sub_plot.set_ylabel(r'$\sigma$')
sub_plot.plot(res_strikes, vols, label=mat_date.strftime("%d.%m.%Y"))
#sub_plot.title("volatility smile")
#sub_plot.show()
sub_plot.legend()
def get_valid_options(opt_dict,s,t):
#возвращает список ликвидных опционов с признаком call или put
opts=list()
strikes=opt_dict.keys()
c=1.2
calls=0
for strike in strikes:
opt=opt_dict[strike]
if opt.call_buy!=0 and opt.call_sell!=0:
if opt.call_sell/opt.call_buy<c:
midprice=(opt.call_buy+opt.call_sell)/2
vol=option.euro_option_call_volatility(s,0,t,0,strike,midprice)
opts.append((strike,midprice,True,vol,))
calls+=1
if opt.put_buy!=0 and opt.put_sell!=0:
if opt.put_sell/opt.put_buy<c:
midprice=(opt.put_buy+opt.put_sell)/2
vol=option.euro_option_put_volatility(s,0,t,0,strike,midprice)
opts.append((strike,midprice,False,vol,))
print "calls: ",calls
return opts
def plot_implied_volatility(option_dict, rtsi):
#рисует графики подразумеваемой волатильности для call и put
mult = sqrt(252)
for mat_date in option_dict.keys():
t = option.get_t(mat_date)
put_strikes = list()
call_strikes = list()
put_prices = list()
call_prices = list()
put_vol = list()
call_vol = list()
opt_dict = option_dict[mat_date]
strikes = opt_dict.keys()
strikes.sort()
for strike in strikes:
opt_data = opt_dict[strike]
if opt_data.put_last_price != 0:
put_prices.append(opt_data.put_last_price)
vol = option.euro_option_put_volatility(
rtsi, 0, t, 0, strike, opt_data.put_last_price) * mult
put_vol.append(vol)
put_strikes.append(strike)
if opt_data.call_last_price != 0:
call_prices.append(opt_data.call_last_price)
vol = option.euro_option_call_volatility(
rtsi, 0, t, 0, strike, opt_data.call_last_price) * mult
call_vol.append(vol)
call_strikes.append(strike)
plt.subplot(2, 2, 1)
plt.plot(put_strikes, put_prices)
plt.title(u"put")
plt.subplot(2, 2, 2)
plt.plot(call_strikes, call_prices)
plt.title(u"call")
plt.subplot(2, 2, 3)
plt.plot(put_strikes, put_vol)
plt.subplot(2, 2, 4)
plt.plot(call_strikes, call_vol)
plt.show()
dest_headers = ['day', 'strike', 'price', 'expiration', 'expiration_month', 'option_type', 'ba', 'vix', 'avg_daily_price', 'volatility']
dest = open(destPath, 'w')
dest.write(','.join(dest_headers) + '\n')
source = open('C:\\findata\\deal_rts_options_extended.csv', 'r')
for line in source:
splitted = line.split(',')
if splitted[0] != 'day':
date = splitted[0]
key = splitted[0] + '/' + splitted[1] + '/' + splitted[4] + '/' + splitted[5]
avg_daily_price_arr = dict_strike.get(key)
avg_daily_price = mean(avg_daily_price_arr)
option_type = splitted[5].replace('\n', '')
s = int(float(dict_ba.get(date).replace('\n', '')))
tl = float(splitted[3].replace('\n',''))
k = int(float(splitted[1].replace('\n', '')))
o = float(splitted[2].replace('\n',''))
if s > 0 and tl > 0 and k > 0 and o > 0:
if option_type == 'P':
volatility = str(option.euro_option_put_volatility(s, 0, tl, 0, k, o))
else:
volatility = str(option.euro_option_call_volatility(s, 0, tl, 0, k, o))
line += ',' + dict_ba.get(date) + ',' + dict_vix.get(date) + ',' + str(avg_daily_price) + ',' + volatility
dest.write(line.replace('\n', '') + '\n')
source.close()
dest.close()