def forecast_realized_vol_until_expiration(**kwargs):
past_realized_vol_frame = get_past_realized_vol_until_expiration(**kwargs)
kwargs['settle_date'] = kwargs['date_to']
real_vol20_current = ops.calc_realized_vol_4options_ticker(**kwargs)
realized_vol_forecast = np.NaN
clean_indx = (past_realized_vol_frame['real_vol_till_expiration'].notnull())&(past_realized_vol_frame['real_vol20'].notnull())
if sum(clean_indx) > 10:
clean_vol_frame = past_realized_vol_frame[clean_indx]
clean_vol_frame['real_vol_diff'] = abs(clean_vol_frame['real_vol20']-real_vol20_current)
clean_vol_frame['forecast_multiplier'] = clean_vol_frame['real_vol_till_expiration']/clean_vol_frame['real_vol20']
clean_vol_frame.sort('real_vol_diff',ascending=True,inplace=True)
num_relevant_obs = max(round(len(clean_vol_frame.index)/5), 10)
if sum(clean_indx) <= 20:
forecast_multiplier_mean = sum([clean_vol_frame['forecast_multiplier'].iloc[i]*(num_relevant_obs-i) for i in range(num_relevant_obs)])/sum([(num_relevant_obs-i) for i in range(num_relevant_obs)])
else:
forecast_multiplier_mean = clean_vol_frame['forecast_multiplier'][:num_relevant_obs].mean()
realized_vol_forecast = forecast_multiplier_mean*real_vol20_current
return {'realized_vol_forecast': realized_vol_forecast, 'real_vol20_current': real_vol20_current}
def load_ticker_signals_4settle_date(**kwargs):
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
con = kwargs['con']
if not exp.is_business_day(double_date=kwargs['settle_date']):
if close_connection_before_exit:
con.close()
return
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
futures_data_dictionary = {
x: gfp.get_futures_price_preloaded(ticker_head=x)
for x in cmi.get_tickerhead_list('cme_futures')
}
real_vol_output = [
ops.calc_realized_vol_4options_ticker(
ticker=x,
futures_data_dictionary=futures_data_dictionary,
settle_date=kwargs['settle_date']) for x in options_frame['ticker']
]
delta_vol_output = [
ops.calc_delta_vol_4ticker(ticker=x,
settle_date=kwargs['settle_date'],
delta_target=0.5)
for x in options_frame['ticker']
]
volume_interest_output = [
ops.calc_volume_interest_4ticker(ticker=x,
settle_date=kwargs['settle_date'])
for x in options_frame['ticker']
]
atm_vol_frame = pd.concat([
options_frame,
pd.DataFrame(delta_vol_output),
pd.DataFrame(volume_interest_output)
],
axis=1)
atm_vol_frame['real_vol'] = real_vol_output
contract_specs_output = [
cmi.get_contract_specs(x) for x in atm_vol_frame['ticker']
]
atm_vol_frame['ticker_head'] = [
x['ticker_head'] for x in contract_specs_output
]
atm_vol_frame['ticker_month'] = [
x['ticker_month_num'] for x in contract_specs_output
]
atm_vol_frame['ticker_year'] = [
x['ticker_year'] for x in contract_specs_output
]
column_names = atm_vol_frame.columns.tolist()
ticker_indx = column_names.index('ticker')
cal_dte_indx = column_names.index('cal_dte')
tr_dte_indx = column_names.index('tr_dte')
ticker_head_indx = column_names.index('ticker_head')
ticker_month_indx = column_names.index('ticker_month')
ticker_year_indx = column_names.index('ticker_year')
imp_vol_indx = column_names.index('delta_vol')
strike_indx = column_names.index('strike')
theta_indx = column_names.index('theta')
open_interest_indx = column_names.index('open_interest')
volume_indx = column_names.index('volume')
real_vol_indx = column_names.index('real_vol')
now = dt.datetime.now()
settle_datetime = cu.convert_doubledate_2datetime(kwargs['settle_date'])
tuples = [
tuple([
x[ticker_indx], x[ticker_head_indx], x[ticker_month_indx],
x[ticker_year_indx],
None if np.isnan(x[cal_dte_indx]) else x[cal_dte_indx],
None if np.isnan(x[tr_dte_indx]) else x[tr_dte_indx],
None if np.isnan(x[imp_vol_indx]) else 100 * x[imp_vol_indx], 0.5,
None if np.isnan(x[theta_indx]) else x[theta_indx],
None if np.isnan(x[strike_indx]) else x[strike_indx],
None if np.isnan(x[real_vol_indx]) else x[real_vol_indx],
None if np.isnan(x[open_interest_indx]) else x[open_interest_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
settle_datetime.date(), now, now
]) for x in atm_vol_frame.values
]
column_str = "ticker, ticker_head, ticker_month, ticker_year, " \
" cal_dte, tr_dte, imp_vol, delta, theta, strike, " \
"close2close_vol20, open_interest, volume, price_date, created_date, last_updated_date"
insert_str = ("%s, " * len(column_str.split(',')))[:-2]
final_str = "REPLACE INTO option_ticker_indicators (%s) VALUES (%s)" % (
column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
load_pnls_4settle_date(**kwargs)
if close_connection_before_exit:
con.close()
