def getOptionVolume(aSymbol, aPrice, startDay):
"""
this routine will provide option volume for one Stock Symbol around one price.
Will retrun a list of strike prices
Parameters
----------
aSymbol : Stock
aPrice : the Max or Min move for a closing price
startDay : Earnings week
Returns
-------
Tuples: ([0] strikePlus, [1] strikeMinus, [2] aOccVolumeDFNextWeek, [3] aOccVolumeDFNextMontlyExpiry)
strikePlus/strikeMinus: Strike bounds Plus/Minus from aPrice - to id Min/Max parameters
aOccVolumeDFNextWeek: Option Volume for next week around strike price,
aOccVolumeDFNextMontlyExpiry: Option Volume for next Monthly Expiry around strike pric
"""
# todo - if next week equals next expiry push out next expiry
# get OCC Volume for aSymbol
aOccVolumeDF = getOccVolume(aSymbol)
# if aOccVolumeDF is empty send back 0 and empty DF
if aOccVolumeDF.empty:
return (0, 0, pd.DataFrame(), pd.DataFrame())
strikePlus, strikeMinus = getStrikes(aPrice, aOccVolumeDF, startDay)
# print('strikePlus: ', strikePlus)
# print(('strikeMinus: ', strikeMinus))
# get list of OCC strikes between <= strikePlus and >= StrikeMinus
strikes = [
strike for strike in aOccVolumeDF.Strike
if (strike >= strikeMinus and strike <= strikePlus)
]
# print('strikes: \n', strikes)
# strikes = list(set(strikes))
# print('unique strikes: ', strikes)
# get the Volume for Strikes
aOccVolumeDF = aOccVolumeDF[aOccVolumeDF.Strike.isin(strikes)]
# print('aOccVolumeDF:\n', aOccVolumeDF)
# Get the Volume for Next Friday Option Strikes
aOccVolumeDFNextWeek = aOccVolumeDF.loc[(
aOccVolumeDF.expiry == dateUtils.nextFridayOrgFormat(
dateUtils.getDateFromISO8601(startDay)))]
# Get the Volume for Next Friday Monthly Option Strikes
aOccVolumeDFNextMontlyExpiry = aOccVolumeDF.loc[
aOccVolumeDF.expiry == dateUtils.getNextThirdFridayFromDate(
dateUtils.getDateFromISO8601(startDay))]
# print('aOccVolumeDFNextWeek:\n', aOccVolumeDFNextWeek)
# print('aOccVolumeDFNextMontlyExpiry: \n', aOccVolumeDFNextMontlyExpiry)
return (strikePlus, strikeMinus, aOccVolumeDFNextWeek,
aOccVolumeDFNextMontlyExpiry)
def checkStrikePrices(strikePlus, strikeMinus, aOccVolumeDF, startDay):
aOccVolumeDFpd = pd.DataFrame(aOccVolumeDF)
nextThrdFri = dateUtils.getNextThirdFridayFromDate(dateUtils.getDateFromISO8601(startDay))
nexFriday = dateUtils.nextFridayOrgFormat(dateUtils.getDateFromISO8601(startDay))
listOfExpiryNextThrdFriday = aOccVolumeDFpd.loc[aOccVolumeDFpd['expiry'] == nextThrdFri]
listOfExpiryNextFriday = aOccVolumeDFpd.loc[aOccVolumeDFpd['expiry'] == nexFriday]
#todo make sure the +2 amnd -2 are good adjustments
if listOfExpiryNextFriday.Strike.min() > strikeMinus:
strikeMinus=listOfExpiryNextFriday.Strike.min() +2
if listOfExpiryNextFriday.Strike.max() < strikePlus:
strikePlus=listOfExpiryNextFriday.Strike.max() -2
return strikePlus, strikeMinus
def getOptionVolumeNextFriExpiryCount(aSymbol, startDay, lenDF):
"""
# TODO - OCC change their Web Site -- need to rework if we want open interest
Calculate the next Friday total Call / Put Open Interest
If there are no options for Friday goto Monthly else return O
Parameters
----------
aSymbol : Stock
startDay : Earnings week
Returns
-------
Volume of Call / Put open interest
"""
# get OCC Volume for aSymbol
aOccVolumeDF = getOccVolume(aSymbol)
# if aOccVolumeDF is empty send back 0 and empty DF
if aOccVolumeDF.empty:
print(lenDF, '- ' + aSymbol + ': No OCC Option Volume')
return (0, 0)
# else:
# print(aSymbol + ': OCC Option Volumes')
# Get the Volume for Next Friday Option Strikes
aOccVolumeDFNextWeek = aOccVolumeDF.loc[(aOccVolumeDF.expiry ==
dateUtils.nextFridayOrgFormat(dateUtils.getDateFromISO8601(startDay)))]
if aOccVolumeDFNextWeek.empty: #nothing for Next Friday?
# Get the Volume for Next Friday Monthly Option Strikes
aOccVolumeDFNextMontlyExpiry = aOccVolumeDF.loc[aOccVolumeDF.expiry ==
dateUtils.getNextThirdFridayFromDate(dateUtils.getDateFromISO8601(startDay))]
theCallsOpenInterest = aOccVolumeDFNextMontlyExpiry.Call.sum()
thePutsOpenInterest = aOccVolumeDFNextMontlyExpiry.Put.sum()
else: #use puts/calls for next Friday
theCallsOpenInterest = aOccVolumeDFNextWeek.Call.sum()
thePutsOpenInterest = aOccVolumeDFNextWeek.Put.sum()
return theCallsOpenInterest, thePutsOpenInterest