def test_implied_volatility_put_no_dividend(self):
implied_volatility = \
option.implied_volatility(OptionType.PUT, 40.0, 42.0, 0.81, 0.5,
risk_free_rate=0.1)
self.assertAlmostEqual(0.2, implied_volatility, places=3)
def main():
run_date = dt.datetime(2014, 9, 19)
run_date_str = run_date.strftime('%Y%m%d')
# symbols = \
# data_loader.load_symbol_list(
# '/Users/Conor/code/python/conor10.tickdata/symbols/'
# 'SP500/20140907/symbols.txt')
symbols = ['AAPL']
all_options_prices = data_loader.load_option_data(
'SP500',
'/Users/Conor/code/python/conor10.tickdata/chains',
symbols,
start_date=run_date_str,
end_date=run_date_str)
all_stock_prices = data_loader.load_price_data(
'/Users/Conor/code/python/conor10.tickdata/daily_prices/SP500',
symbols)
for symbol in symbols:
stock_price = all_stock_prices[symbol]
underlying_price = \
stock_price['Adj Close'][[run_date]].values[0]
print(underlying_price)
stock_price['Adj Returns'] = \
utils.calculate_returns(stock_price['Adj Close'].values)
start_date = run_date - dt.timedelta(31)
sigma = stock_price[start_date:run_date]['Adj Returns'].std(
) * math.sqrt(252.0)
option_prices = all_options_prices[symbol]
for capture_date in option_prices.keys():
expiries = option_prices[capture_date]
for expiry in expiries.keys():
prices = expiries[expiry]
puts = prices[OptionType.PUT]
print(expiry)
# print(puts)
dt_expiry = dt.datetime.strptime(expiry, '%Y%m%d')
days_in_year = 366 if calendar.isleap(dt_expiry.year) else 365
days_to_expiry = dt_expiry - run_date
delta = days_to_expiry.days / days_in_year
for strike in puts.index:
last_price_str = puts.ix[strike]['LAST_PRICE']
if last_price_str == '-':
continue
last_price = float(last_price_str)
price = option.calc_option_price(OptionType.PUT,
strike,
underlying_price,
sigma,
delta,
risk_free_rate=0.01)
implied_volatility = option.implied_volatility(
OptionType.PUT, strike, underlying_price, last_price,
delta)
print('Strike: {}, calc price: {}, actual {}'.format(
strike, price, last_price))
print('Sigma: {}, implied sigma: {}'.format(
sigma, implied_volatility))
def test_implied_volatility_put_with_dividend(self):
implied_volatility = \
option.implied_volatility(OptionType.PUT, 40.0, 42.0, 2.34, 0.5,
risk_free_rate=0.05, dividend_rate=0.03)
self.assertAlmostEqual(0.3, implied_volatility, places=3)