def main():
# -------------------------[Set-up]-------------------------
ticker = Ticker('MSFT')
optionManager = OptionManager(ticker, now=None)
i = 0 # <- Time To Maturity curve
exp = optionManager.getExpirations()[i]
optionChain = optionManager.getOptionChain(exp=exp)
# ----------------------------------------------------------
start_time = time.time()
impliedVolatility = ImpliedVolatility(optionChain)
curve = impliedVolatility.getImpliedVolatility()
print('chrono: {}'.format(time.time() - start_time))
fig, ax = plt.subplots(figsize=(8, 5))
ax.set(xlabel='Strike',
ylabel='Volatility',
title='Option implied volatility ({})'.format(
ticker.getInfo().ticker))
ax.plot(curve.calls.strike,
curve.calls.IV,
label='Calls',
color='green',
alpha=.5)
ax.plot(curve.puts.strike,
curve.puts.IV,
label='Puts',
color='red',
alpha=.5)
ax.plot(curve.calls.strike,
curve.calls.naturalIV,
linestyle='dotted',
label='Original Calls',
color='green')
ax.plot(curve.puts.strike,
curve.puts.naturalIV,
linestyle='dotted',
label='Original Puts',
color='red')
plt.legend()
plt.show()
and is released under the "BSD Open Source License".
"""
import os
import pandas as pd
from EcoFin.dataDownload.optionsManager import OptionManager
from EcoFin.dataDownload.ticker import Ticker
from EcoFin.options.deepOptionChain import DeepOptionChain
# -------------------------[Set-up]-------------------------
ticker = Ticker('MSFT')
optionManager = OptionManager(ticker)
exp = optionManager.getExpirationByMaturity(30, method='greater')
optionChain = optionManager.getOptionChain(exp=exp)
# ----------------------------------------------------------
ticker_info = ticker.getInfo()
forwardPrice = optionChain.getForwardPrice()
deepOptionChain = DeepOptionChain(optionChain, computeIV=False)
data = deepOptionChain.getDeepOptionChain()
# ----------------------[EXPORT BLOCK]--------------------------------
path = '../Export/[{}]'.format(ticker.ticker)
if not os.path.exists(path):
os.makedirs(path)
with pd.ExcelWriter('{}/deepOptionChain_[{}].xlsx'.format(path,
exp)) as writer:
data.to_excel(writer, sheet_name='Chain', index=False)
def execute(tick: str):
ticker = Ticker(tick)
optionManager = OptionManager(ticker)
output = pd.DataFrame
for now in range(date1, date2, increment): # Compute day by day
try:
# Exclude bad results and weekends
if optionManager.setNow(now) is not False and datetime.fromtimestamp(now).weekday() not in [5, 6]:
exp = optionManager.getExpirationByMaturity(maturity_min, method='greater')
optionChain = optionManager.getOptionChain(exp=exp)
deepOptionChain = DeepOptionChain(optionChain, computeIV=computeIV, progressBar=False)
summary = {'Date': unixtimestamp_to_date(optionChain.getChainDate()),
'Exp': unixtimestamp_to_date(optionChain.getChainExpiration()),
'Maturity': optionChain.getTimeToMaturity().days,
'ForwardPrice': optionChain.getForwardPrice(),
'SpotPrice': optionChain.getSpotPrice(),
}
# compute signals
chainWeights = ChainWeights(optionChain)
for mode, weights in {'EW': chainWeights.computeEquallyWeights(),
'Beta': chainWeights.computeBetaWeights(),
'ATM': chainWeights.computeATMWeights(),
'OI': chainWeights.computeOpenInterestsWeights(),
'Moneyness': chainWeights.computeMoneynessWeights()}.items():
synopsis = OptionChainSinopsys(deepOptionChain, weights=weights)
OPS = synopsis.computeOptionPriceSpread()
IVS = synopsis.computeImpliedVolatilitySpread()
NAP = synopsis.computeNoArbitragePrice()
OIR = synopsis.computeOpenInterestRatio()
summary['OPS_[{}]'.format(mode)] = OPS.mean
summary['IVS_[{}]'.format(mode)] = IVS.mean
summary['NAP_[{}]'.format(mode)] = NAP.value
summary['NAP_ret_[{}]'.format(mode)] = NAP.ret
summary['OIR_[{}]'.format(mode)] = OIR.mean
PCD = synopsis.computePutCallDelta()
summary['PCD'] = PCD
# Compute volatility metrics
VIX = EquityVIX(deepOptionChain)
summary['VIX_[hist]'] = VIX.getHistoricalVolatility()
summary['VIX_[mean]'] = VIX.getMeanVIX().value
summary['VIX_[beta]'] = VIX.getBetaVIX().value
summary['VIX_[CBOE]'] = VIX.getCBOEVIX()
if output.empty:
output = pd.DataFrame(columns=list(summary.keys()), index=[])
output = output.append(summary, ignore_index=True)
except Exception as e:
logs.append('Error with [{}] - [{}]: {}'.format(ticker.ticker, now, e))
pass
# ----------------------[EXPORT BLOCK]--------------------------------
path = '../Export/BackTest/{}'.format(ticker.ticker)
if not os.path.exists(path):
os.makedirs(path)
try:
with pd.ExcelWriter('{}/backTest_[{}].xlsx'.format(path, maturity_min)) as writer:
output.to_excel(writer, sheet_name='Results', index=False)
except:
pass