def get_atm_ivol(s, ndays=30):
#Need to fix for divs, borrow etc to find atm
symbol = s.ticker
expiry_dict = get_expiries_bracket(symbol, ndays)
#First Shorter One
x = expiry_dict['shorter_expiry']
shorter_call = Call(symbol, d=int(x[0:2]), m=int(x[3:5]), y=int(x[6:10]))
strike_dict = get_strike_bracket(shorter_call.strikes, s.price)
shorter_call.set_strike(strike_dict['lower_strike'])
lower_vol = shorter_call.implied_volatility()
shorter_call.set_strike(strike_dict['higher_strike'])
higher_vol = shorter_call.implied_volatility()
shorter_ivol = lower_vol * strike_dict['lower_weight'] + higher_vol * (
1 - strike_dict['lower_weight'])
#Now longer One
x = expiry_dict['longer_expiry']
longer_call = Call(symbol, d=int(x[0:2]), m=int(x[3:5]), y=int(x[6:10]))
strike_dict = get_strike_bracket(longer_call.strikes, s.price)
longer_call.set_strike(strike_dict['lower_strike'])
lower_vol = longer_call.implied_volatility()
longer_call.set_strike(strike_dict['higher_strike'])
higher_vol = longer_call.implied_volatility()
longer_ivol = lower_vol * strike_dict['lower_weight'] + higher_vol * (
1 - strike_dict['lower_weight'])
implied_ivol = shorter_ivol * expiry_dict[
'shorter_weight'] + longer_ivol * (1 - expiry_dict['shorter_weight'])
one_sigma_move_ndays_day = implied_ivol * math.sqrt(ndays / 365)
return (implied_ivol, one_sigma_move_ndays_day)
def get_quotes_from_yahoo(reload_weekly=False):
if reload_weekly:
tickers = save_weekly_earnings()
else:
with open("saveweekly.pickle", "rb") as f:
tickers = pickle.load(f)
for ticker in tickers:
print(ticker)
g = Stock(ticker, source='yahoo')
price = g.price
PutATM = Put(ticker, strike=price, source='yahoo')
b = PutATM.price
CallATM = Call(ticker, strike=price, source='yahoo')
a = CallATM.price
print("Put ATM:", a, "Call ATM:", b)
iv = (a + b)
poms = PutATM.strike
pom = poms - iv
coms = CallATM.strike
com = coms + iv
PutIV = Put(ticker, strike=pom, source='yahoo')
PutIV2 = Put(ticker, strike=pom - 3, source='yahoo')
pl = PutIV.price
pl2 = PutIV2.price
pis = PutIV.strike
pis2 = PutIV2.strike
CallIV = Call(ticker, strike=com, source='yahoo')
CallIV2 = Call(ticker, strike=com + 3, source='yahoo')
cl = CallIV.price
cl2 = CallIV2.price
cis = CallIV.strike
cis2 = CallIV2.strike
MaxLossP = pis - pis2
MaxLossC = cis - cis2
ProfitP = 100 * (pl - pl2) / (MaxLossP + 0.00001)
ProfitC = 100 * (cl2 - cl) / (MaxLossC + 0.00001)
print("Implied Volatility:", iv, "Puts Outside of IV:", pl,
"Calls Outside of IV:", cl)
print("Profit from selling puts at", pis, "and buying at", pis2, ":",
ProfitP, "%")
print("Profit from selling calls at", cis, "and buying at", cis2, ":",
ProfitC, "%")
def yFinanceToWallStreet(optionChain, strikePrice):
# Gets the relevant data to calculate greeks
data = op.findGreekData(optionChain)
# Gets the specific row with strike price wanted
optionContract = data.loc[data['strike'] == strikePrice]
# Checks if the option contract is a call
if optionContract.iloc[0]['typeOfOption'] == 'Call':
# Gets the date and converts it to work with WallStreet
date = dateConverter(optionContract.iloc[0]['expirationDate'])
# Returns the Call object that will be used to find greeks
return Call(op.findTickerName(
optionContract.iloc[0]['contractSymbol']),
d=date[2],
m=date[1],
y=date[0],
strike=strikePrice,
source='yahoo')
# If not a call option, assumes it is a Put option
else:
# Gets the date and converts it to work with WallStreet
date = dateConverter(optionContract.iloc[0]['expirationDate'])
# Returns the Put object that will be used to find greeks
return Put(op.findTickerName(optionContract.iloc[0]['contractSymbol']),
d=date[2],
m=date[1],
y=date[0],
strike=strikePrice,
source='yahoo')
def updatePortfolio(currentPortfolio):
value = currentPortfolio["Value"]
for i in reversed(range(len(currentPortfolio["Current Options"]))):
optionInfo = currentPortfolio["Current Options"][i]
date = convertDate(optionInfo["Expiry"])
dateTup = dateToTuple(date)
#update the Price, Underlying Price, and add it to value
name = optionInfo["Stock Name"]
strike = optionInfo["Strike"]
isCall = optionInfo["Call"]
option = Call(name,
d=dateTup[0],
m=dateTup[1],
y=dateTup[2],
strike=strike,
source="yahoo") if isCall else Put(name,
d=dateTup[0],
m=dateTup[1],
y=dateTup[2],
strike=strike,
source="yahoo")
#lets update
oldValue = value
value += (option.price - optionInfo["Price"]) * 100
refreshLog(name, date, strike, optionInfo["Price"], option.price,
oldValue, value, currentPortfolio["Spent"])
optionInfo["Price"] = option.price
optionInfo["Underlying Price"] = option.underlying.price
#if option is expired, lets move it
if (date <= dt.datetime.now()):
currentPortfolio["Past Options"].append(optionInfo)
del currentPortfolio["Current Options"][i]
#reset the new value for the portfolio
currentPortfolio["Value"] = value
return currentPortfolio
def get_expiries_bracket(symbol, num_of_days):
c = Call(symbol)
expiries = c.expirations
curr_date = str(datetime.date(datetime.now()))
longer_expiry = expiries[-1]
shorter_expiry = expiries[0]
shorter_day_bound = (datetime.strptime(shorter_expiry, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
longer_day_bound = (datetime.strptime(longer_expiry, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
for i in expiries:
days_to_exp = abs(
datetime.strptime(i, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
if days_to_exp < num_of_days and days_to_exp > shorter_day_bound:
shorter_day_bound = days_to_exp
shorter_expiry = i
longer_day_bound = days_to_exp
longer_expiry = i
elif days_to_exp >= num_of_days:
longer_day_bound = days_to_exp
longer_expiry = i
break
shorter_weight = 1
if longer_day_bound != shorter_day_bound:
shorter_weight = (longer_day_bound - num_of_days) / (longer_day_bound -
shorter_day_bound)
return {
'shorter_expiry': shorter_expiry,
'longer_expiry': longer_expiry,
'shorter_day_bound': shorter_day_bound,
'longer_day_bound': longer_day_bound,
'shorter_weight': shorter_weight
}
def prob_move_pct(symbol: str, n_days: int, percent: float):
symbol = symbol.upper()
if is_cache_good(f'{symbol}|pmovepct|{n_days}|{percent}'):
return ast.literal_eval(
r.hget(f'{symbol}|pmovepct|{n_days}|{percent}', 'value'))
return_dict = {"error": "no options"}
try:
c = Call(symbol)
curr_date = str(datetime.date(datetime.now()))
expiries = c.expirations
expiry_to_use = expiries[0]
for i in expiries:
days_to_exp = abs(
datetime.strptime(i, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
expiry_to_use = i
if days_to_exp >= n_days:
break
my_delta = get_delta(symbol, percent, expiry_to_use)
return_dict = {
"symbol": symbol,
"move_percent": percent,
'expiry': expiry_to_use,
"prob_down": my_delta['delta_down'],
"prob_up": my_delta['delta_up']
}
r.hset(f'{symbol}|pmovepct|{n_days}|{percent}', 'time',
datetime.utcnow().strftime('%s'))
r.hset(f'{symbol}|pmovepct|{n_days}|{percent}', 'value',
str(return_dict))
return return_dict
except:
return return_dict
def get_delta(symbol: str, percent_move: float, expiry: str):
symbol = symbol.upper()
if is_cache_good(f'{symbol}|getdelta|{percent_move:.2f}|{expiry}'):
return ast.literal_eval(
r.hget(f'{symbol}|getdelta|{percent_move:.2f}|{expiry}', 'value'))
s = Stock(symbol)
up_px = s.price * (1 + percent_move / 100)
down_px = s.price * (1 - percent_move / 100)
call = Call(symbol,
d=int(expiry[0:2]),
m=int(expiry[3:5]),
y=int(expiry[6:10]))
up_delta_dict = get_strike_bracket(call.strikes, up_px)
call.set_strike(up_delta_dict['lower_strike'])
delta1 = call.delta() * up_delta_dict['lower_weight']
call.set_strike(up_delta_dict['higher_strike'])
delta2 = call.delta() * (1 - up_delta_dict['lower_weight'])
delta_up_move = delta1 + delta2
put = Put(symbol,
d=int(expiry[0:2]),
m=int(expiry[3:5]),
y=int(expiry[6:10]))
down_delta_dict = get_strike_bracket(put.strikes, down_px)
put.set_strike(down_delta_dict['lower_strike'])
delta1 = -put.delta() * down_delta_dict['lower_weight']
put.set_strike(down_delta_dict['higher_strike'])
delta2 = -put.delta() * (1 - down_delta_dict['lower_weight'])
delta_down_move = delta1 + delta2
return_dict = {'delta_up': delta_up_move, 'delta_down': delta_down_move}
r.hset(f'{symbol}|getdelta|{percent_move:.2f}|{expiry}', 'time',
datetime.utcnow().strftime('%s'))
r.hset(f'{symbol}|getdelta|{percent_move:.2f}|{expiry}', 'value',
str(return_dict))
return return_dict
def get_delta(symbol: str, percent_move: float, expiry: str):
s = Stock(symbol)
up_px = s.price * (1 + percent_move / 100)
down_px = s.price * (1 - percent_move / 100)
call = Call(symbol,
d=int(expiry[0:2]),
m=int(expiry[3:5]),
y=int(expiry[6:10]))
up_delta_dict = get_strike_bracket(call.strikes, up_px)
call.set_strike(up_delta_dict['lower_strike'])
delta1 = call.delta() * up_delta_dict['lower_weight']
call.set_strike(up_delta_dict['higher_strike'])
delta2 = call.delta() * (1 - up_delta_dict['lower_weight'])
delta_up_move = delta1 + delta2
put = Put(symbol,
d=int(expiry[0:2]),
m=int(expiry[3:5]),
y=int(expiry[6:10]))
down_delta_dict = get_strike_bracket(put.strikes, down_px)
put.set_strike(down_delta_dict['lower_strike'])
delta1 = -put.delta() * down_delta_dict['lower_weight']
put.set_strike(down_delta_dict['higher_strike'])
delta2 = -put.delta() * (1 - down_delta_dict['lower_weight'])
delta_down_move = delta1 + delta2
return {'delta_up': delta_up_move, 'delta_down': delta_down_move}
def opt_time(self, type, symbol, option, underlying, day, month, year, strike):
if type == "Equity":
time = 1
elif option == "CALL":
call = Call(underlying, day, month, year, strike)
time = call.BandS.T
elif option == "PUT":
put = Put(underlying, day, month, year, strike)
time = put.BandS.T
else:
time = 0
return time
def opt_prices(self, type, symbol, option, underlying, day, month, year, strike):
if type == "Equity":
price = Stock(symbol).price
elif option == "CALL":
call = Call(underlying, day, month, year, strike)
price = call.price
elif option == "PUT":
put = Put(underlying, day, month, year, strike)
price = put.price
else:
price = 0
return price
def opt_vol(self, type, symbol, option, underlying, day, month, year, strike):
if type == "Equity":
vol = 1
elif option == "CALL":
call = Call(underlying, day, month, year, strike)
vol = float(call.implied_volatility())
elif option == "PUT":
put = Put(underlying, day, month, year, strike)
vol = float(put.implied_volatility())
else:
vol = 0
return vol
def getOption(tickerSymbol, isCall):
price = getStockPrice(tickerSymbol)
date = getFutureDate()
opt = None
try:
opt = Call(
tickerSymbol, d=date[0], m=date[1], y=date[2],
source="yahoo") if isCall else Put(
tickerSymbol, d=date[0], m=date[1], y=date[2], source="yahoo")
except:
print("No options avail")
return opt
def opt_rate(self, type, symbol, option, underlying, day, month, year, strike):
if type == "Equity":
rate = 1
elif option == "CALL":
call = Call(underlying, day, month, year, strike)
rate = float(call.BandS.r)
elif option == "PUT":
put = Put(underlying, day, month, year, strike)
rate = float(put.BandS.r)
else:
rate = 0
return rate
def implied_forward(symbol, n_days):
s = Stock(symbol)
c = Call(symbol)
curr_date = str(datetime.date(datetime.now()))
expiries = c.expirations
expiry_to_use = expiries[0]
my_n_days = 0
for i in expiries:
days_to_exp = abs(
datetime.strptime(i, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
expiry_to_use = i
my_n_days = days_to_exp
if days_to_exp >= n_days:
break
call = Call(symbol,
d=int(expiry_to_use[0:2]),
m=int(expiry_to_use[3:5]),
y=int(expiry_to_use[6:10]))
put = Put(symbol,
d=int(expiry_to_use[0:2]),
m=int(expiry_to_use[3:5]),
y=int(expiry_to_use[6:10]))
bracket_dict = get_strike_bracket(call.strikes, s.price)
forward = s.price
if bracket_dict['lower_weight'] > 0.5:
call.set_strike(bracket_dict['lower_strike'])
put.set_strike(bracket_dict['lower_strike'])
forward = bracket_dict['lower_strike'] - put.price + call.price
else:
call.set_strike(bracket_dict['higher_strike'])
put.set_strike(bracket_dict['higher_strike'])
forward = bracket_dict['higher_strike'] - put.price + call.price
return {
"symbol": symbol,
"forward_price": forward,
"current_price": s.price,
"expiry": expiry_to_use
}
def prob_move_sigma(symbol: str, n_days: int, sigma_fraction_to_use: float):
symbol = symbol.upper()
if is_cache_good(f'{symbol}|pmovesigma|{n_days}|{sigma_fraction_to_use}'):
return ast.literal_eval(
r.hget(f'{symbol}|pmovesigma|{n_days}|{sigma_fraction_to_use}',
'value'))
return_dict = {"error": "no options"}
try:
c = Call(symbol)
expiries = c.expirations
curr_date = str(datetime.date(datetime.now()))
expiry_to_use = expiries[0]
my_n_days = 0
for i in expiries:
days_to_exp = abs(
datetime.strptime(i, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
expiry_to_use = i
my_n_days = days_to_exp
if days_to_exp >= n_days:
break
my_tuple = get_atm_ivol(Stock(symbol), my_n_days)
my_percent = my_tuple[1] * 100 * sigma_fraction_to_use
my_delta = get_delta(symbol, my_percent, expiry_to_use)
prob_down = my_delta['delta_down']
prob_up = my_delta['delta_up']
norm_prob_down = 0
norm_prob_up = 0
if prob_up > prob_down:
norm_prob_down = 0.5
norm_prob_up = prob_up * 0.5 / prob_down
else:
norm_prob_up = 0.5
norm_prob_down = prob_down * 0.5 / prob_up
return_dict = {
"symbol": symbol,
"move_percent": my_percent,
'expiry': expiry_to_use,
"prob_down": prob_down,
"norm_prob_down": norm_prob_down,
"prob_up": prob_up,
"norm_prob_up": norm_prob_up
}
r.hset(f'{symbol}|pmovesigma|{n_days}|{sigma_fraction_to_use}', 'time',
datetime.utcnow().strftime('%s'))
r.hset(f'{symbol}|pmovesigma|{n_days}|{sigma_fraction_to_use}',
'value', str(return_dict))
return return_dict
except:
return return_dict
def get_atm_ivol(s, ndays=30):
#Need to fix for divs, borrow etc to find atm
symbol = s.ticker
symbol = symbol.upper()
if is_cache_good(f'{symbol}|getatmivol|{ndays}'):
return ast.literal_eval(r.hget(f'{symbol}|getatmivol|{ndays}',
'value'))
expiry_dict = get_expiries_bracket(symbol, ndays)
#First Shorter One
x = expiry_dict['shorter_expiry']
shorter_call = Call(symbol, d=int(x[0:2]), m=int(x[3:5]), y=int(x[6:10]))
strike_dict = get_strike_bracket(shorter_call.strikes, s.price)
shorter_call.set_strike(strike_dict['lower_strike'])
lower_vol = shorter_call.implied_volatility()
shorter_call.set_strike(strike_dict['higher_strike'])
higher_vol = shorter_call.implied_volatility()
shorter_ivol = lower_vol * strike_dict['lower_weight'] + higher_vol * (
1 - strike_dict['lower_weight'])
#Now longer One
x = expiry_dict['longer_expiry']
longer_call = Call(symbol, d=int(x[0:2]), m=int(x[3:5]), y=int(x[6:10]))
strike_dict = get_strike_bracket(longer_call.strikes, s.price)
longer_call.set_strike(strike_dict['lower_strike'])
lower_vol = longer_call.implied_volatility()
longer_call.set_strike(strike_dict['higher_strike'])
higher_vol = longer_call.implied_volatility()
longer_ivol = lower_vol * strike_dict['lower_weight'] + higher_vol * (
1 - strike_dict['lower_weight'])
implied_ivol = shorter_ivol * expiry_dict[
'shorter_weight'] + longer_ivol * (1 - expiry_dict['shorter_weight'])
one_sigma_move_ndays_day = implied_ivol * math.sqrt(ndays / 365)
return_dict = (implied_ivol, one_sigma_move_ndays_day)
r.hset(f'{symbol}|getatmivol|{ndays}', 'time',
datetime.utcnow().strftime('%s'))
r.hset(f'{symbol}|getatmivol|{ndays}', 'value', str(return_dict))
return return_dict
def get_data(self, df):
tup = df.shape
x = tup[0]
y = tup[1]
prices = []
deltas = []
for i in range(x):
if df.iloc[i, 1] == "Equity":
price = Stock(df.iloc[i, 0]).price
delta = 1
df.iloc[i, 2] = df.iloc[i, 0]
elif df.iloc[i, 3] == "CALL":
ticker = df.iloc[i, 2]
strike = float(df.iloc[i, 5])
date = datetime.strptime(df.iloc[i, 6], '%m/%d/%Y')
month = date.month
day = date.day
year = date.year
call = Call(ticker, day, month, year, strike)
price = call.price
delta = call.delta()
elif df.iloc[i, 3] == "PUT":
ticker = df.iloc[i, 2]
strike = float(df.iloc[i, 5])
date = datetime.strptime(df.iloc[i, 6], '%m/%d/%Y')
month = date.month
day = date.day
year = date.year
put = Put(ticker, day, month, year, strike)
price = put.price
delta = put.delta()
else:
price = 0
prices.append(price)
deltas.append(delta)
print(prices, deltas)
df["Prices"] = prices
df["Deltas"] = deltas
return df
def infos(udlying, day, month, year, stockprice, offset):
"""
Group information
:param udlying: underlying stock object
:param day: int digits
:param month: int digits
:param year:
:param stockprice: stock price
:param offset: strike offset
:return: Tuple of all data
"""
u = Call(udlying, d=day, m=month, y=year, strike=stockprice + offset)
price = u.price
IV = u.implied_volatility()
v = u.vega()
g = u.gamma()
strike = u.strike
return (IV, v, g, price, strike)
def get_expiries_bracket(symbol, num_of_days):
symbol = symbol.upper()
if is_cache_good(f'{symbol}|getexpiries|{num_of_days}'):
return ast.literal_eval(
r.hget(f'{symbol}|getexpiries|{num_of_days}', 'value'))
c = Call(symbol)
expiries = c.expirations
curr_date = str(datetime.date(datetime.now()))
longer_expiry = expiries[-1]
shorter_expiry = expiries[0]
shorter_day_bound = (datetime.strptime(shorter_expiry, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
longer_day_bound = (datetime.strptime(longer_expiry, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
for i in expiries:
days_to_exp = abs(
datetime.strptime(i, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
if days_to_exp < num_of_days and days_to_exp > shorter_day_bound:
shorter_day_bound = days_to_exp
shorter_expiry = i
longer_day_bound = days_to_exp
longer_expiry = i
elif days_to_exp >= num_of_days:
longer_day_bound = days_to_exp
longer_expiry = i
break
shorter_weight = 1
if longer_day_bound != shorter_day_bound:
shorter_weight = (longer_day_bound - num_of_days) / (longer_day_bound -
shorter_day_bound)
return_dict = {
'shorter_expiry': shorter_expiry,
'longer_expiry': longer_expiry,
'shorter_day_bound': shorter_day_bound,
'longer_day_bound': longer_day_bound,
'shorter_weight': shorter_weight
}
r.hset(f'{symbol}|getexpiries|{num_of_days}', 'time',
datetime.utcnow().strftime('%s'))
r.hset(f'{symbol}|getexpiries|{num_of_days}', 'value', str(return_dict))
return return_dict
def opt_vol_r_T(self, type, symbol, option, underlying, day, month, year, strike):
if type == "Equity":
time = 1
rate = 1
vol = 1
elif option == "CALL":
call = Call(underlying, day, month, year, strike)
time = call.BandS.T
rate = float(call.BandS.r)
vol = float(call.implied_volatility())
elif option == "PUT":
put = Put(underlying, day, month, year, strike)
time = put.BandS.T
rate = float(put.BandS.r)
vol = float(put.implied_volatility())
else:
time = 0;
rate = 0;
vol = 0
return time, rate, vol
def get_options(sym, strike_date):
put = Put(sym,
d=strike_date.day,
m=strike_date.month,
y=strike_date.year,
strict=True,
source='yahoo')
call = Call(sym,
d=strike_date.day,
m=strike_date.month,
y=strike_date.year,
strict=True,
source='yahoo')
stock = Stock(sym)
price = get_closest(stock.price, put.strikes)
put.set_strike(price)
call.set_strike(price)
return [
stock.price, price, put.price, put.volume, call.price, call.volume,
format_date(put.expiration),
format_date(call.expiration)
]
# stored_price_range = price_range(12, 16)
# c = Call('AMD', source='yahoo')
# print(c.expirations)
# price = []
# for strike_price in stored_price_range:
# g = Call('AMD', d=4, m=8, y=2017, strike=strike_price, source='yahoo')
# price.append(g.ask)
#
# print(price)
#
# plt.scatter(stored_price_range, price, color='red', marker='.', alpha=0.5, s=400)
# plt.show()
fut_opt13 = Call('AMD', d=4, m=8, y=2017, strike=13, source='yahoo')
# print(future_option_price(fut_opt13, 30, 17, .8906))
price = []
for i in range(10, 17):
option_price = future_option_price(fut_opt13, 1, i, .8906)
price.append(option_price)
plt.scatter(range(10, 17), price, color='red', marker='.', alpha=0.5, s=400)
plt.show()
# S0 = 13.36
# K = 17
# r=0.15
# sigma = 87.5
def best_call_trades(symbol, num_of_days):
symbol = symbol.upper()
if is_cache_good(f'{symbol}|calltrade|{num_of_days}'):
return ast.literal_eval(
r.hget(f'{symbol}|calltrade|{num_of_days}', 'value'))
return_dict = {"error": "no options"}
try:
c = Call(symbol)
range_dict = range_data_from_symbol(symbol, num_of_days)
curr_date = str(datetime.date(datetime.now()))
expiries = c.expirations
expiry_to_use = expiries[0]
for i in expiries:
days_to_exp = abs(
datetime.strptime(i, '%d-%m-%Y') -
datetime.strptime(curr_date, '%Y-%m-%d')).days
expiry_to_use = i
if days_to_exp >= num_of_days:
break
c = Call(symbol,
d=int(expiry_to_use[0:2]),
m=int(expiry_to_use[3:5]),
y=int(expiry_to_use[6:10]))
counter = 0
spread_list = []
strikes = c.strikes
for i in strikes:
if i >= range_dict["high_range"] and counter < 10:
counter = counter + 1
c.set_strike(i)
spread_list.append({
'strike': i,
'bid': c.bid,
'ask': c.ask,
'last': c.price,
'using_last': 'false',
'delta': c.delta()
})
max_amt = 0
max_call_amt = 0
best_spread = {}
best_call_written = {}
for i in spread_list:
#for call
prob_winning_call = 1 - i['delta'] # Not expiring in the money
i['using_last'] = 'false'
if i['bid'] == 0 and i['ask'] == 0:
i['bid'] = i['last']
i['ask'] = i['last']
i['using_last'] = 'true'
premium_call = i['bid']
call_win_amt = premium_call * prob_winning_call
if call_win_amt > max_call_amt:
max_call_amt = call_win_amt
best_call_written = i
for j in spread_list:
if i['strike'] < j['strike']:
#for spread
premium_per_dollar = (i['bid'] - j['ask']) / (j['strike'] -
i['strike'])
spread_using_last = 'false'
if i['using_last'] == 'true' or j[
'using_last'] == 'true': #If any leg uses last mark spread as last
spread_using_last = 'true'
prob_winning_spread = 1 - j['delta']
win_amt = premium_per_dollar * prob_winning_spread
if win_amt > max_amt:
max_amt = win_amt
if spread_using_last == 'true':
best_spread = {
'strike_to_sell': i['strike'],
'strike_to_buy': j['strike'],
'premium_received': i['last'],
'premium_paid': j['last'],
'expiry': expiry_to_use,
'spread_using_last': spread_using_last
}
else:
best_spread = {
'strike_to_sell': i['strike'],
'strike_to_buy': j['strike'],
'premium_received': i['bid'],
'premium_paid': j['ask'],
'expiry': expiry_to_use,
'spread_using_last': spread_using_last
}
best_call_written['expiry'] = expiry_to_use
return_dict = {
"symbol": symbol,
'best_spread': best_spread,
'best_call': best_call_written
}
if best_spread and best_call_written:
r.hset(f'{symbol}|calltrade|{num_of_days}', 'time',
datetime.utcnow().strftime('%s'))
r.hset(f'{symbol}|calltrade|{num_of_days}', 'value',
str(return_dict))
return return_dict
except:
return return_dict
# strike_inc *= -1
errors = False
if symbol is not None and len(symbol) > 0:
try:
s = Stock(symbol)
window['__price'].update(s.price)
except requests.exceptions.ConnectionError as ConnectionError:
window['__price'].update("ERROR")
errors = True
# Get strikes and populate.
# TODO: Wait for the price to update
if expdate is not None and not errors:
o = None # This is our option object.
if is_call:
o = Call(symbol,
d=expdate.day,
m=expdate.month,
y=expdate.year)
print("CALLS")
else:
o = Put(symbol, d=expdate.day, m=expdate.month, y=expdate.year)
print("PUTS")
if len(o.strikes) > 0:
print("Strikes", o.strikes)
strikes = get_strikes(price, o.strikes, is_call, num_options)
for i, strik in enumerate(strikes):
strike = Decimal(strik)
o.set_strike(strike)
row = f'r{i+1}'
price = Decimal(o.price)
window[row + 'c1'].update(o.strike)
window[row + 'c2'].update(o.price)
args = sys.argv
method = args[1]
symbol = args[2]
day = int(args[3])
month = int(args[4])
year = int(args[5])
min_strike = int(args[6])
max_strike = int(args[7])
step = int(args[8])
options = []
price = min_strike
while price <= max_strike:
option = Call(symbol, d=day, m=month, y=year,
strike=price) if method == 'call' else Put(
symbol, d=day, m=month, y=year, strike=price)
options.append([
price, option.price,
option.implied_volatility(), option.volume, option.underlying.price,
option.delta(),
option.gamma(),
option.theta(), option.expiration
])
price += step
df = pd.DataFrame(options,
columns=[
'Strike', 'Price', 'Implied Vol', 'Volume', 'Underlying',
'Delta', 'Gamma', 'Theta', 'Expiration'
# https://github.com/mcdallas/wallstreet
from wallstreet import Stock, Call, Put
import numpy as mp
s = Stock('AAPL')
print(s.change)
apple = Stock('AAPL', source='yahoo')
print(apple)
call = Call('AAPL', strike=apple.price, source='yahoo')
p = Stock('BTC-USD')
print(p)
r = Call('RACE', d=10, m=7, y=2020)
print(r.strikes)
print(r.underlying.price)
def main():
parser = argparse.ArgumentParser(
description="Find best trading strategies")
group = parser.add_mutually_exclusive_group()
parser.add_argument("ticker", type=str, help="stock ticker")
# group.add_argument("-t", "--ticker", action="store_true")
group.add_argument("-d", "--date", action="store_true")
parser.add_argument("-s", "--strategy", help="the strategy")
# parser.add_argument("y", type=int, help="the exponent")
args = parser.parse_args()
ticker = yf.Ticker(args.ticker)
# get stock info
print('****** Info **********')
print(ticker.info)
# input("Press Enter to continue...")
# get historical market data
print('****** History **********')
hist = ticker.history(period="max")
print(hist)
# input("Press Enter to continue...")
print('****** Actions **********')
# show actions (dividends, splits)
print(ticker.actions)
# input("Press Enter to continue...")
print('****** dividends **********')
# show dividends
print(ticker.dividends)
# input("Press Enter to continue...")
# show splits
ticker.splits
# show financials
print('****** financials **********')
print(ticker.financials)
print(ticker.quarterly_financials)
# input("Press Enter to continue...")
# show major holders
print(ticker.major_holders)
# show institutional holders
print(ticker.institutional_holders)
# input("Press Enter to continue...")
# show balance heet
print(ticker.balance_sheet)
print(ticker.quarterly_balance_sheet)
# show cashflow
ticker.cashflow
ticker.quarterly_cashflow
# show earnings
print(ticker.earnings)
print(ticker.quarterly_earnings)
# show sustainability
print(ticker.sustainability)
# show analysts recommendations
print(ticker.recommendations)
# show next event (earnings, etc)
print('****** calendars **********')
print(ticker.calendar)
# input("Press Enter to continue...")
# show ISIN code - *experimental*
# ISIN = International Securities Identification Number
print(ticker.isin)
# show options expirations
print('****** calendars **********')
print(ticker.options)
# input("Press Enter to continue...")
# get option chain for specific expiration
opt = ticker.option_chain(ticker.options[0])
# data available via: opt.calls, opt.puts
print(opt.calls)
# input("Press Enter to continue...")
print(opt.puts)
# input("Press Enter to continue...")
history = ticker.history()
last_quote = (history.tail(1)['Close'].iloc[0])
last_price = int(last_quote)
# calls
for opt in ticker.options:
try:
data = []
dt = datetime.fromisoformat(opt)
option = Call(args.ticker
) # d=dt.day, m=dt.month, y=dt.year, strike=ticker.)
for strike in option.strikes:
if strike < last_price - 40 or strike > last_price + 25:
continue
print(f'strike = {strike}')
option.set_strike(strike)
item = {}
item['strike'] = strike
item['price'] = option.price
item['iv'] = option.implied_volatility()
item['delta'] = option.delta()
item['vega'] = option.vega()
item['gamma'] = option.gamma()
# print(f'theta = {option.theta()}')
# print(f'vega = {option.vega()}')
data.append(item)
dataframe = pd.DataFrame(data)
dataframe.to_csv(f'call-{args.ticker}-{dt}')
print(dataframe.to_csv())
except Exception as e:
print(f'{type(e)}: {str(e)} ')
continue
# put
for opt in ticker.options:
try:
data = []
dt = datetime.fromisoformat(opt)
option = Put(
args.ticker
) # d=dt.day, m=dt.month, y=dt.year, strike=ticker.)
for strike in option.strikes:
if strike < last_price - 40 or strike > last_price + 25:
continue
print(f'strike = {strike}')
option.set_strike(strike)
item = {}
item['strike'] = strike
item['price'] = option.price
item['iv'] = option.implied_volatility()
item['delta'] = option.delta()
item['vega'] = option.vega()
item['gamma'] = option.gamma()
# print(f'Rho = {option.rho()}')
# print(f'type = {option.Option_type}')
# print(f'theta = {option.theta()}')
# print(f'vega = {option.vega()}')
data.append(item)
dataframe = pd.DataFrame(data)
dataframe.to_csv(f'put-{args.ticker}-{dt}')
print(dataframe.to_csv())
except Exception as e:
print(f'{type(e)}: {str(e)} ')
continue
def contract(request, contract):
typ = ""
try:
option = options_info.getOptionInfoFromContract(contract)
ticker = option['ticker']
date = option['expirationDate']
optionType = option['type']
strike = option['strike']
index_number = re.search(r"\d", contract)
ticker = contract[0:index_number.start()]
stock = stock_info.StockInfo(ticker)
name = stock.name
amount = request.GET.get("quantity", "")
if optionType == "Call":
delta, gamma, rho, vega, theta = greek_options.getGreeks(
greek_options.yFinanceToWallStreet(
yfinance.Ticker(ticker).option_chain(date).calls, strike))
dates = greek_options.dateConverter(date)
call = Call(ticker,
d=dates[2],
m=dates[1],
y=dates[0],
strike=strike,
source='yahoo')
price = call.price
typ = "Call"
else:
delta, gamma, rho, vega, theta = greek_options.getGreeks(
greek_options.yFinanceToWallStreet(
yfinance.Ticker(ticker).option_chain(date).puts, strike))
dates = greek_options.dateConverter(date)
put = Put(ticker,
d=dates[2],
m=dates[1],
y=dates[0],
strike=strike,
source='yahoo')
price = put.price
typ = "Put"
except:
context = {}
html_template = loader.get_template('error-404.html')
return HttpResponse(html_template.render(context, request))
account = Account.objects.get(user_id=request.user.get_username())
if request.GET.get('type', "") == "Buy":
# TODO type of option, strike
transaction = Transaction(expiration_date=date,
contract_symbol=contract,
purchase_price=price,
quantity=amount,
typ=typ,
strike=strike)
transaction.save(force_insert=True)
transaction.full_clean()
account.balance -= int(price * float(int(amount)) * float(100))
account.save()
account.transaction.add(transaction)
transactions = account.transaction.filter(contract_symbol=contract)
try:
quantity = sum([t.quantity for t in transactions])
except:
# TODO: Change this to "you cannot sell because you do not own the stock"
context = {}
html_template = loader.get_template('error-404.html')
return HttpResponse(html_template.render(context, request))
elif request.GET.get('type', "") == "Sell":
transactions = account.transaction.filter(contract_symbol=contract)
try:
transaction = transactions[0]
transaction.pk = None
except:
# TODO: Change this to "you cannot sell because you do not own the stock"
context = {}
html_template = loader.get_template('error-404.html')
return HttpResponse(html_template.render(context, request))
transaction.save(force_insert=True)
transaction.full_clean()
transaction.quantity = int(amount) * -1
transaction.save()
transaction.full_clean()
account.balance += int(price * float(int(amount)) * float(100))
account.save()
account.transaction.add(transaction)
quantity = sum([t.quantity for t in transactions])
else:
pass
account.save()
account.full_clean()
valuation = volatility_analysis.overorunder(ticker, date,
optionType)[contract]
quantity = sum([
t.quantity
for t in account.transaction.filter(contract_symbol=contract)
])
return render(
request, "contract.html", {
'contract': contract,
'delta': round(delta, 5),
'gamma': round(gamma, 5),
'rho': round(rho, 5),
'vega': round(vega, 5),
'theta': round(theta, 5),
'IV': ticker,
'name': name,
'option': option,
'price': price,
'quantity': quantity,
'valuation': valuation
})
if __name__ == '__main__':
# Ticker
print('Inserisci il titolo da analizzare :')
nome = input()
# Maturità
T = 3.0 / 12
print('Inserisci la maturità :')
T = float(input())
# Numero di simulazioni
num_reps = 100
print('Inserisci il numero di simulazioni:')
num_reps = int(input())
# Ricavo i dati da yahoo finance
mu, sigma, s0 = getData(nome)
delta_t = 0.001
# Ricavo i dati veri della strike call dal pacchetto wallstreet
c = Call(nome, d=13, m=12, y=2019)
strike_call = c.strikes[len(c.strikes) - 1]
# Price Call con MonteCarlo e standard
mc_call = mc_euro_options('c', s0, strike_call, T, mu, sigma, num_reps)
call = vanilla_call_price(s0, strike_call, mu, sigma, T)
print("Montecarlo price call : " + str(mc_call))
print("Price call standard : " + str(call))
def get_option_limit_price(symbol: str, pc: str, strike_hint: float,
n_days: int):
symbol = symbol.upper()
pc = pc.upper()
print(f'{symbol}|{pc}|{n_days}|{strike_hint}')
if is_cache_good(f'{symbol}|{pc}|{n_days}|{strike_hint}', CACHE_TIMEOUT):
return ast.literal_eval(
r.hget(f'{symbol}|{pc}|{n_days}|{strike_hint}', 'value'))
try:
exp_dict = get_expiries_bracket(symbol, n_days)
expiry_to_use = exp_dict['longer_expiry']
if exp_dict['shorter_weight'] > 0.5:
expiry_to_use = exp_dict['shorter_expiry']
y = yf.Ticker(symbol)
expiry = f'{expiry_to_use[6:10]}-{expiry_to_use[3:5]}-{expiry_to_use[0:2]}'
o = y.option_chain(date=expiry)
p = o.puts
chart_list = list()
p_strike = p.strike.tolist()
p_ivol = p.impliedVolatility.tolist()
for i in range(0, len(p_strike)):
chart_list.append({
"group": "put",
"ivol": p_ivol[i],
"strike": p_strike[i]
})
c = o.calls
c_strike = c.strike.tolist()
c_ivol = c.impliedVolatility.tolist()
for i in range(0, len(c_strike)):
chart_list.append({
"group": "call",
"ivol": c_ivol[i],
"strike": c_strike[i]
})
strike_dict = get_strike_bracket(o.calls.strike.tolist(), strike_hint)
if pc == "P":
strike_dict = get_strike_bracket(o.puts.strike.tolist(),
strike_hint)
strike_to_use = strike_dict['higher_strike']
if strike_dict['lower_weight'] > 0.5:
expiry_to_use = exp_dict['lower_strike']
my_option = Put(symbol,
d=int(expiry_to_use[0:2]),
m=int(expiry_to_use[3:5]),
y=int(expiry_to_use[6:10]))
if pc == "C":
my_option = Call(symbol,
d=int(expiry_to_use[0:2]),
m=int(expiry_to_use[3:5]),
y=int(expiry_to_use[6:10]))
my_option.set_strike(strike_to_use)
my_delta = my_option.delta()
st = y.history(interval='5m', period='1d')
stock_move = (max(st.High) - min(st.Low)) / 2
option_move = my_delta * stock_move
return_dict = {
'symbol': symbol,
'pc': pc,
'strike': strike_to_use,
'bid': my_option.bid,
'ask': my_option.ask,
'last': my_option.price,
'expiry': expiry,
'delta': my_delta,
'option_move': option_move,
'chart_data': chart_list
}
r.hset(f'{symbol}|{pc}|{n_days}|{strike_hint}', 'time',
datetime.utcnow().strftime('%s'))
r.hset(f'{symbol}|{pc}|{n_days}|{strike_hint}', 'value',
str(return_dict))
return return_dict
except:
return {"error": "No options were found"}