def test_get_price(self):
call = Option('call', TSLA, 420, datetime(2020, 12, 4))
call.price = 420
chain = OptionChain(TSLA, datetime.now())
chain.add_option(call)
self.assertEqual(420, chain.get_price(call))
def parse_chain(self, date, security, path):
chain = OptionChain(security, date)
df = pd.read_csv(path,
parse_dates=['expiration'],
date_parser=from_small_date)
for index, contract in df.iterrows():
expiration = contract['expiration']
direction = contract['direction']
strike = contract['strike']
option = Option(direction, security, strike, expiration)
option.price = contract['price']
option.delta = contract['delta']
option.theta = contract['theta']
option.vega = contract['vega']
chain.add_option(option)
return chain
def _parse_chain(self, date, security, contracts):
chain = OptionChain(security, date)
for contract in contracts:
fields = contract.split(' ')
match = re.match(r'(\d+)(c|p)(\d+\.\d*)', fields[0])
expiration = datetime.strptime(match[1], '%y%m%d')
direction = 'call' if match[2] == 'c' else 'put'
strike = float(match[3])
price = float(fields[1])
delta = float(fields[2])
theta = float(fields[3])
option = Option(direction, security, strike, expiration)
option.price = price
option.delta = delta
option.theta = theta
chain.add_option(option)
return chain
def test_otm(self):
security = Security('TSLA')
security.add_quote(Quote(420, datetime.now()))
o1 = Option('call', security, 500, datetime(2020, 4, 20))
o2 = Option('put', security, 300, datetime(2020, 4, 20))
o3 = Option('call', security, 100, datetime(2020, 4, 20)) # ITM
chain = OptionChain(security, datetime.now())
chain.add_option(o1)
chain.add_option(o2)
chain.add_option(o3)
calls, puts = chain.otm(datetime(2020, 4, 20)).values()
self.assertEqual(1, len(calls))
self.assertEqual(1, len(puts))
def test_search(self):
security = Security('TSLA')
o1 = Option('call', security, 500, datetime(2020, 4, 1))
o1.theta = -2.02
o1.delta = 0.83
o2 = Option('put', security, 300, datetime(2020, 4, 20))
o2.theta = -0.16
o2.delta = -0.34
chain = OptionChain(security, datetime.now())
chain.add_option(o1)
chain.add_option(o2)
result = chain.search(theta=-2, delta=0.8)
assert o1.strike == result.strike
result = chain.search(theta=-1, delta=-0.5)
assert o2.strike == result.strike
def test_iv(self):
security = Security('TSLA')
security.add_quote(Quote(420, datetime.now()))
o1 = Option('call', security, 700, datetime(2020, 4, 20))
o3 = Option('call', security, 500, datetime(2020, 4, 20))
o2 = Option('put', security, 400, datetime(2020, 4, 20))
o1.iv = 5
o1.price = 2
o2.iv = 2
o2.price = 4
o3.iv = 0.5
o3.price = 10
chain = OptionChain(security, datetime.now())
chain.add_option(o1)
chain.add_option(o2)
chain.add_option(o3)
expected = (5 * 2 + 2 * 4 + 0.5 * 10) / (2 + 4 + 10)
result = chain.iv(datetime(2020, 4, 20))
self.assertEqual(expected, result)
def _parse_option_chain(self, security, date, json):
chain = OptionChain(security, date)
for exp_dt, options in json.items():
for option in options:
chain.add_option(self._parse_option(security, exp_dt, option))
return chain