def get_all_data():
nifty_data = None
with open('nifty.json') as data_file:
nifty_data = json.load(data_file)
expiry_date = datetime.datetime(day=28, month=2, year=2013)
from_date = datetime.datetime(day=4, month=2, year=2013)
while from_date < datetime.datetime.now():
print from_date.strftime('%d-%b-%Y')
get_data_for_date(expiry_date, from_date, nifty_data)
from_date = from_date + datetime.timedelta(days=1)
if from_date > expiry_date:
expiry_date = get_option_expiry_date(date=from_date,
expiry_series=0)
def check_strangle_profitability():
nifty_data = None
vix_data = None
with open('nifty.json') as data_file:
nifty_data = json.load(data_file)
with open('vix.json') as data_file:
vix_data = json.load(data_file)
results = []
for nifty_entry in nifty_data:
entry_date = datetime.datetime.strptime(nifty_entry['date'], '%d-%b-%Y')
volatility = next((item['close'] for item in vix_data if item['date'] == nifty_entry['date']), None)
if not volatility:
continue
expiry_date = get_option_expiry_date(entry_date, 0)
expiry_date_string = expiry_date.strftime('%d-%b-%Y')
close_on_expiry = next((item['close'] for item in nifty_data
if item['date'] == expiry_date_string), None)
while not close_on_expiry:
expiry_date = expiry_date + datetime.timedelta(days=-1)
expiry_date_string = expiry_date.strftime('%d-%b-%Y')
close_on_expiry = next((item['close'] for item in nifty_data
if item['date'] == expiry_date_string), None)
days_to_expiry = (expiry_date-entry_date).days
deviation = standard_deviation(stock_price=nifty_entry['close'],
volatility=volatility,
days_to_expiry=days_to_expiry
) if days_to_expiry > 0 else 0
invest = False
if deviation/nifty_entry['close'] > .05:
invest = True
put_strike = math.floor((nifty_entry['close'] - deviation)/100)*100
call_strike = math.ceil((nifty_entry['close'] + deviation)/100)*100
put_premium = get_premium(entry_date, put_strike, 'PE')
call_premium = get_premium(entry_date, call_strike, 'CE')
total_premium = put_premium + call_premium
profit = close_on_expiry > put_strike and close_on_expiry < call_strike
loss = 0
if not profit:
if close_on_expiry < put_strike:
loss = put_strike-close_on_expiry - total_premium
else:
loss = close_on_expiry-call_strike - total_premium
result = {
'date': nifty_entry['date'],
'price': nifty_entry['close'],
'volatility': volatility,
'deviation': deviation,
'expiry_date': expiry_date_string,
'days_to_expiry': days_to_expiry,
'invest': invest,
'close_on_expiry': close_on_expiry,
'put_strike': put_strike,
'call_strike': call_strike,
'put_premium': put_premium,
'call_premium': call_premium,
'total_premium': total_premium,
'profit': profit,
'loss': loss
}
results.append(result)
with open('nifty_strangle.json', 'w') as the_file:
the_file.write(json.dumps(results))
with open('nifty_strangle.csv', 'w') as the_file:
for result in results:
the_file.write('{},{},{},{},{},{},{},{},{},{},{},{},{},{},{}\n'.format(
result['date'],
result['price'],
result['volatility'],
result['deviation'],
result['expiry_date'],
result['days_to_expiry'],
result['invest'],
result['close_on_expiry'],
result['put_strike'],
result['call_strike'],
result['put_premium'],
result['call_premium'],
result['total_premium'],
result['profit'],
result['loss']
))
