def gen_spreads2(expiries=None):
gen = SpreadGen()
# expiration_date = datetime.datetime(2013,10,11)
spy = live_yahoo.get_symbol_price("SPY")
available_dates = [x.expiration_date() for x in live_yahoo.main()]
available_spreads = reduce(operator.add, [spread_for_today(gen, expiry, datetime.datetime.today(), spy) for expiry in available_dates])
gen.print_spread(available_spreads)
def __init__(self):
self.vix = load_prices("^VIX")
self.spy = load_prices("SPY")
self.returns = load_returns()
self.failure_model = chance_of_failure_model(self.vix, self.returns)
self.linear_return = linear_return(self.vix, self.returns)
todays_vix = live_yahoo.get_symbol_price("VIX")
#shove this in there to get up to the minute (er, 20 minutes) readings
#NOTE: this isn't completely statistically valid
self.vix.vixdays[-1].close = todays_vix
def gen_spreads2(expiries=None):
gen = SpreadGen()
# expiration_date = datetime.datetime(2013,10,11)
spy = live_yahoo.get_symbol_price("SPY")
available_dates = [x.expiration_date() for x in live_yahoo.main()]
available_spreads = reduce(operator.add, [
spread_for_today(gen, expiry, datetime.datetime.today(), spy)
for expiry in available_dates
])
gen.print_spread(available_spreads)
def __init__(self):
self.vix = load_prices("^VIX")
self.spy = load_prices("SPY")
self.returns = load_returns()
self.failure_model = chance_of_failure_model(self.vix, self.returns)
self.linear_return = linear_return(self.vix, self.returns)
todays_vix = live_yahoo.get_symbol_price("VIX")
#shove this in there to get up to the minute (er, 20 minutes) readings
#NOTE: this isn't completely statistically valid
self.vix.vixdays[-1].close = todays_vix
def print_spread(self, spread, top=3):
if len(spread) == 0:
print "No valid trades for quote date"
return
print "Average Return is " + str(numpy.mean([x[0] for x in spread]))
results = sorted(spread, key=lambda x:x[0], reverse=True)
todays_spy = live_yahoo.get_symbol_price("SPY")
for r in results[:top]:
sp = spread_percent = r[1].body_spread / 100.0
print "Expiration date", r[1].expiration_date
print "Body spread " + str(r[1].body_spread)
print "Wingspan " + str(r[1].wingspan)
print "Sell call spread at {0}\n with spread at {1},\n sell put spread at {2}\n with spread at {3},\n expected return {4}".format(round(todays_spy * (1.0 + sp)),
round((todays_spy * (1.0 + sp)) + r[1].wingspan),
round(todays_spy * (1.0 - sp)),
round((todays_spy * (1.0 - sp)) - r[1].wingspan),
r[0])
def print_spread(self, spread, top=3):
if len(spread) == 0:
print "No valid trades for quote date"
return
print "Average Return is " + str(numpy.mean([x[0] for x in spread]))
results = sorted(spread, key=lambda x: x[0], reverse=True)
todays_spy = live_yahoo.get_symbol_price("SPY")
for r in results[:top]:
sp = spread_percent = r[1].body_spread / 100.0
print "Expiration date", r[1].expiration_date
print "Body spread " + str(r[1].body_spread)
print "Wingspan " + str(r[1].wingspan)
print "Sell call spread at {0}\n with spread at {1},\n sell put spread at {2}\n with spread at {3},\n expected return {4}".format(
round(todays_spy * (1.0 + sp)),
round((todays_spy * (1.0 + sp)) + r[1].wingspan),
round(todays_spy * (1.0 - sp)),
round((todays_spy * (1.0 - sp)) - r[1].wingspan), r[0])
