def set_strike(self, val):
d = {}
for dic in self.data:
if parse(dic['strike']) == val and val in self.strikes:
d = dic
break
if d:
self._price = parse(d['p'])
self.id = d['cid']
self.exchange = d['e']
self._bid = parse(d['b'])
self._ask = parse(d['a'])
self.strike = parse(d['strike'])
self._change = parse(d.get('c', 0)) # change in currency
self._cp = parse(d.get('cp', 0)) # percentage change
self._volume = parse(d['vol'])
self._open_interest = parse(d['oi'])
self.code = d['s']
self.ticker = self.code[:-15]
self.BandS = BlackandScholes(
self.underlying.price,
self.strike,
self.T,
self._price,
rate(self.T),
self.__class__.Option_type,
self.q
)
else:
raise LookupError('No options listed for given strike price.')
def set_strike(self, val):
""" Specifies a strike price """
d = {}
for dic in self.data:
if parse(dic['strike']) == val and val in self.strikes:
d = dic
break
if d:
self._price = parse(d.get('p')) or d.get('lastPrice')
self.id = d.get('cid')
self.exchange = d.get('e')
self._bid = parse(d.get('b')) or d.get('bid', 0)
self._ask = parse(d.get('a')) or d.get('ask', 0)
self.strike = parse(d['strike'])
self._change = parse(d.get('c')) or d.get('change',
0) # change in currency
self._cp = parse(d.get('cp', 0)) or d.get('percentChange',
0) # percentage change
self._volume = parse(d.get('vol')) or d.get('volume', 0)
self._open_interest = parse(d.get('oi')) or d.get(
'openInterest', 0)
self.code = d.get('s') or d.get('contractSymbol')
self.itm = (
(self.__class__.Option_type == 'Call'
and self.underlying.price > self.strike)
or (self.__class__.Option_type == 'Put'
and self.underlying.price < self.strike)) # in the money
self.BandS = BlackandScholes(self.underlying.price,
self.strike, self.T, self._price,
self.rate(self.T),
self.__class__.Option_type, self.q)
else:
raise LookupError('No options listed for given strike price.')
def set_strike(self, val):
""" Specifies a specific strike price of the option chain"""
d = {}
for dic in self.data:
if parse(dic["strike"]) == val and val in self.strikes:
d = dic
break
if d:
self._price = parse(d.get("p")) or d.get("lastPrice")
self.id = d.get("cid")
self.exchange = d.get("e")
self._bid = parse(d.get("b")) or d.get("bid", 0)
self._ask = parse(d.get("a")) or d.get("ask", 0)
self.strike = parse(d["strike"])
self._change = parse(d.get("c")) or d.get("change", 0) # change in currency
self._cp = parse(d.get("cp", 0)) or d.get("percentChange", 0) # percentage change
self._volume = parse(d.get("vol")) or d.get("volume", 0)
self._open_interest = parse(d.get("oi")) or d.get("openInterest", 0)
self.code = d.get("s") or d.get("contractSymbol")
self.itm = (self.__class__.Option_type == "Call" and self.underlying.price > self.strike) or (
self.__class__.Option_type == "Put" and self.underlying.price < self.strike
) # in the money
self.BandS = BlackandScholes(
self.underlying.price,
self.strike,
self.T,
self._price,
rate(self.T),
self.__class__.Option_type,
self.q,
)
else:
raise LookupError("No options listed for given strike price.")
def save(self, *args, **kwargs): days_per_year = self.days_till_exp/ 365 position = self.convert_position() option = BS(self.stock_price, self.strike_price, days_per_year, self.traded_price, self.interest_rate, str(self.option_type)) self.iv = round(option.impvol, 5) self.delta = round(option.delta(), 5) * position * self.quantity self.gamma = round(option.gamma(), 5) * position * self.quantity self.vega = round(option.vega(), 5) * position * self.quantity self.theta = round(option.theta(), 5) * position * self.quantity self.rho = round(option.rho(), 5) * position * self.quantity super().save(*args, **kwargs)
class Call(Option):
Option_type = 'Call'
def __init__(self,
quote,
d=date.today().day,
m=date.today().month,
y=date.today().year,
strike=None,
strict=False,
source='google'):
quote = quote.upper()
kw = {'d': d, 'm': m, 'y': y, 'strict': strict, 'source': source}
super().__init__(quote, self.__class__.Option_type, **kw)
self.T = (self._expiration - date.today()).days / 365
self.q = self.underlying.dy
self.ticker = quote
self.strike = None
self.strikes = tuple(
parse(dic['strike']) for dic in self.data if dic.get('p') != '-')
if strike:
if strike in self.strikes:
self.set_strike(strike)
else:
if strict:
raise LookupError(
'No options listed for given strike price.')
else:
closest_strike = min(self.strikes,
key=lambda x: abs(x - strike))
print('No option for given strike, using %s instead' %
closest_strike)
self.set_strike(closest_strike)
def set_strike(self, val):
""" Specifies a strike price """
d = {}
for dic in self.data:
if parse(dic['strike']) == val and val in self.strikes:
d = dic
break
if d:
self._price = parse(d.get('p')) or d.get('lastPrice')
self.id = d.get('cid')
self.exchange = d.get('e')
self._bid = parse(d.get('b')) or d.get('bid', 0)
self._ask = parse(d.get('a')) or d.get('ask', 0)
self.strike = parse(d['strike'])
self._change = parse(d.get('c')) or d.get('change',
0) # change in currency
self._cp = parse(d.get('cp', 0)) or d.get('percentChange',
0) # percentage change
self._volume = parse(d.get('vol')) or d.get('volume', 0)
self._open_interest = parse(d.get('oi')) or d.get(
'openInterest', 0)
self.code = d.get('s') or d.get('contractSymbol')
self.itm = (
(self.__class__.Option_type == 'Call'
and self.underlying.price > self.strike)
or (self.__class__.Option_type == 'Put'
and self.underlying.price < self.strike)) # in the money
self.BandS = BlackandScholes(self.underlying.price,
self.strike, self.T, self._price,
self.rate(self.T),
self.__class__.Option_type, self.q)
else:
raise LookupError('No options listed for given strike price.')
def __repr__(self):
if self.strike:
return self.__class__.Option_type + "(ticker=%s, expiration=%s, strike=%s)" % (
self.ticker, self.expiration, self.strike)
else:
return self.__class__.Option_type + "(ticker=%s, expiration=%s)" % (
self.ticker, self.expiration)
def update(self):
self.__init__(self.ticker,
self._expiration.day,
self._expiration.month,
self._expiration.year,
self.strike,
source=self.source)
@property
@strike_required
def bid(self):
return self._bid
@property
@strike_required
def ask(self):
return self._ask
@property
@strike_required
def price(self):
return self._price
@property
@strike_required
def change(self):
return self._change
@property
@strike_required
def cp(self):
return self._cp
@property
@strike_required
def open_interest(self):
return self._open_interest
@property
@strike_required
def volume(self):
return self._volume
@strike_required
def implied_volatility(self):
return self.BandS.impvol
@strike_required
def delta(self):
return self.BandS.delta()
@strike_required
def gamma(self):
return self.BandS.gamma()
@strike_required
def vega(self):
return self.BandS.vega()
@strike_required
def rho(self):
return self.BandS.rho()
@strike_required
def theta(self):
return self.BandS.theta()
class Call(Option):
Option_type = 'Call'
def __init__(self, quote, d=date.today().day, m=date.today().month,
y=date.today().year, strike=None, strict=False):
quote = quote.upper()
kw = {'d': d, 'm': m, 'y': y, 'strict': strict}
super().__init__(quote, **kw)
if self.__class__.Option_type == 'Call':
self.data = self.calls
elif self.__class__.Option_type == 'Put':
self.data = self.puts
self.T = (self._expiration - date.today()).days/365
self.q = 0
self.ticker = quote
self.strike = None
self.strikes = tuple(parse(dic['strike']) for dic in self.data
if dic.get('p') != '-' )
if strike:
if strike in self.strikes:
self.set_strike(strike)
else:
if strict:
raise LookupError('No options listed for given strike price.')
else:
closest_strike = min(self.strikes, key=lambda x: abs(x - strike))
print('No option for given strike, using %s instead' % closest_strike)
self.set_strike(closest_strike)
def set_strike(self, val):
d = {}
for dic in self.data:
if parse(dic['strike']) == val and val in self.strikes:
d = dic
break
if d:
self._price = parse(d['p'])
self.id = d['cid']
self.exchange = d['e']
self._bid = parse(d['b'])
self._ask = parse(d['a'])
self.strike = parse(d['strike'])
self._change = parse(d.get('c', 0)) # change in currency
self._cp = parse(d.get('cp', 0)) # percentage change
self._volume = parse(d['vol'])
self._open_interest = parse(d['oi'])
self.code = d['s']
self.ticker = self.code[:-15]
self.BandS = BlackandScholes(
self.underlying.price,
self.strike,
self.T,
self._price,
rate(self.T),
self.__class__.Option_type,
self.q
)
else:
raise LookupError('No options listed for given strike price.')
def __repr__(self):
if self.strike:
return self.__class__.Option_type + "(ticker=%s, expiration=%s, strike=%s)" % (self.ticker, self.expiration, self.strike)
else:
return self.__class__.Option_type + "(ticker=%s, expiration=%s)" % (self.ticker, self.expiration)
def update(self):
self.__init__(self.ticker, self._expiration.day,
self._expiration.month, self._expiration.year,
self.strike)
@property
@strike_required
def bid(self):
return self._bid
@property
@strike_required
def ask(self):
return self._ask
@property
@strike_required
def price(self):
return self._price
@property
@strike_required
def change(self):
return self._change
@property
@strike_required
def cp(self):
return self._cp
@property
@strike_required
def open_interest(self):
return self._open_interest
@property
@strike_required
def volume(self):
return self._volume
@strike_required
def implied_volatility(self):
return self.BandS.impvol
@strike_required
def delta(self):
return self.BandS.delta()
@strike_required
def gamma(self):
return self.BandS.gamma()
@strike_required
def vega(self):
return self.BandS.vega()
@strike_required
def rho(self):
return self.BandS.rho()
@strike_required
def theta(self):
return self.BandS.theta()
class Call(Option):
Option_type = "Call"
def __init__(
self,
quote,
d=date.today().day,
m=date.today().month,
y=date.today().year,
strike=None,
strict=False,
source="google",
):
quote = quote.upper()
kw = {"d": d, "m": m, "y": y, "strict": strict, "source": source}
super().__init__(quote, **kw)
if self.__class__.Option_type == "Call":
self.data = self.calls
elif self.__class__.Option_type == "Put":
self.data = self.puts
self.T = (self._expiration - date.today()).days / 365
self.q = 0
self.ticker = quote
self.strike = None
self.strikes = tuple(parse(dic["strike"]) for dic in self.data if dic.get("p") != "-")
if strike:
if strike in self.strikes:
self.set_strike(strike)
else:
if strict:
raise LookupError("No options listed for given strike price.")
else:
closest_strike = min(self.strikes, key=lambda x: abs(x - strike))
print("No option for given strike, using %s instead" % closest_strike)
self.set_strike(closest_strike)
def set_strike(self, val):
""" Specifies a specific strike price of the option chain"""
d = {}
for dic in self.data:
if parse(dic["strike"]) == val and val in self.strikes:
d = dic
break
if d:
self._price = parse(d.get("p")) or d.get("lastPrice")
self.id = d.get("cid")
self.exchange = d.get("e")
self._bid = parse(d.get("b")) or d.get("bid", 0)
self._ask = parse(d.get("a")) or d.get("ask", 0)
self.strike = parse(d["strike"])
self._change = parse(d.get("c")) or d.get("change", 0) # change in currency
self._cp = parse(d.get("cp", 0)) or d.get("percentChange", 0) # percentage change
self._volume = parse(d.get("vol")) or d.get("volume", 0)
self._open_interest = parse(d.get("oi")) or d.get("openInterest", 0)
self.code = d.get("s") or d.get("contractSymbol")
self.itm = (self.__class__.Option_type == "Call" and self.underlying.price > self.strike) or (
self.__class__.Option_type == "Put" and self.underlying.price < self.strike
) # in the money
self.BandS = BlackandScholes(
self.underlying.price,
self.strike,
self.T,
self._price,
rate(self.T),
self.__class__.Option_type,
self.q,
)
else:
raise LookupError("No options listed for given strike price.")
def __repr__(self):
if self.strike:
return self.__class__.Option_type + "(ticker=%s, expiration=%s, strike=%s)" % (
self.ticker,
self.expiration,
self.strike,
)
else:
return self.__class__.Option_type + "(ticker=%s, expiration=%s)" % (self.ticker, self.expiration)
def update(self):
self.__init__(
self.ticker,
self._expiration.day,
self._expiration.month,
self._expiration.year,
self.strike,
source=self.source,
)
@property
@strike_required
def bid(self):
return self._bid
@property
@strike_required
def ask(self):
return self._ask
@property
@strike_required
def price(self):
return self._price
@property
@strike_required
def change(self):
return self._change
@property
@strike_required
def cp(self):
return self._cp
@property
@strike_required
def open_interest(self):
return self._open_interest
@property
@strike_required
def volume(self):
return self._volume
@strike_required
def implied_volatility(self):
return self.BandS.impvol
@strike_required
def delta(self):
return self.BandS.delta()
@strike_required
def gamma(self):
return self.BandS.gamma()
@strike_required
def vega(self):
return self.BandS.vega()
@strike_required
def rho(self):
return self.BandS.rho()
@strike_required
def theta(self):
return self.BandS.theta()