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AnthonyFJGarner/Options_Credit_Spread.ipynb

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Options_Credit_Spread.ipynb
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:02:50.982907Z",
"start_time": "2018-10-06T17:02:48.410715Z"
}
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Pixiedust database opened successfully\n"
]
},
{
"data": {
"text/html": [
"\n",
" <div style=\"margin:10px\">\n",
" <a href=\"https://github.com/ibm-watson-data-lab/pixiedust\" target=\"_new\">\n",
" <img src=\"https://github.com/ibm-watson-data-lab/pixiedust/raw/master/docs/_static/pd_icon32.png\" style=\"float:left;margin-right:10px\"/>\n",
" </a>\n",
" <span>Pixiedust version 1.1.11</span>\n",
" </div>\n",
" "
],
"text/plain": [
"<IPython.core.display.HTML object>"
]
},
"metadata": {},
"output_type": "display_data"
},
{
"data": {
"text/html": [
"<div>Warning: You are not running the latest version of PixieDust. Current is 1.1.11, Latest is 1.1.14</div>"
],
"text/plain": [
"<IPython.core.display.HTML object>"
]
},
"metadata": {},
"output_type": "display_data"
},
{
"data": {
"text/html": [
"\n",
" <div>Please copy and run the following command in a new cell to upgrade: <span style=\"background-color:#ececec;font-family:monospace;padding:0 5px\">!pip install --user --upgrade pixiedust</span></div>\n",
" "
],
"text/plain": [
"<IPython.core.display.HTML object>"
]
},
"metadata": {},
"output_type": "display_data"
},
{
"data": {
"text/html": [
"<div>Please restart kernel after upgrading.</div>"
],
"text/plain": [
"<IPython.core.display.HTML object>"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"#Imports\n",
"%matplotlib notebook\n",
"import latex\n",
"import pandas as pd\n",
"import numpy as np\n",
"from typing import Dict, List\n",
"from collections import OrderedDict\n",
"import datetime as datetime\n",
"from pandas.tseries.offsets import *\n",
"from IPython.core.debugger import set_trace\n",
"import matplotlib\n",
"matplotlib.style.use('seaborn-darkgrid')\n",
"import pixiedust\n",
"#ctrl-shift-p for the command palette\n",
"pd.set_option(\"max_colwidth\", 100)\n",
"pd.set_option(\"display.max_rows\", 100000)\n",
"pd.set_option(\"display.max_columns\", 1000)"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:02:53.152787Z",
"start_time": "2018-10-06T17:02:53.081976Z"
}
},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>Date</th>\n",
" <th>i</th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>price</th>\n",
" <th>newMonth</th>\n",
" <th>targetExpiration</th>\n",
" <th>ExpDiff</th>\n",
" <th>mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>strikeTarget</th>\n",
" <th>strikeLocation</th>\n",
" <th>StrikeDiff</th>\n",
" <th>entry</th>\n",
" <th>exit</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2006-04-19</td>\n",
" <td>714</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2006-04-20</td>\n",
" <td>721</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.55</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2006-04-21</td>\n",
" <td>729</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.35</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2006-04-24</td>\n",
" <td>768</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>20.0</td>\n",
" <td>12.45</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2006-04-25</td>\n",
" <td>807</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" Date i quote_date expiration strike trade_volume price \\\n",
"0 2006-04-19 714 2006-04-19 2006-05-17 22.5 0.0 9.90 \n",
"1 2006-04-20 721 2006-04-20 2006-05-17 22.5 0.0 12.55 \n",
"2 2006-04-21 729 2006-04-21 2006-05-17 22.5 0.0 12.35 \n",
"3 2006-04-24 768 2006-04-24 2006-05-17 22.5 20.0 12.45 \n",
"4 2006-04-25 807 2006-04-25 2006-05-17 22.5 0.0 9.90 \n",
"\n",
" newMonth targetExpiration ExpDiff mid_underlying \\\n",
"0 2006-04-19 2006-11-05 172 days 00:00:00.000000000 11.32 \n",
"1 2006-04-19 2006-11-05 172 days 00:00:00.000000000 11.64 \n",
"2 2006-04-19 2006-11-05 172 days 00:00:00.000000000 11.59 \n",
"3 2006-04-19 2006-11-05 172 days 00:00:00.000000000 11.75 \n",
"4 2006-04-19 2006-11-05 172 days 00:00:00.000000000 11.76 \n",
"\n",
" futures strikeTarget strikeLocation StrikeDiff entry exit \n",
"0 22.5 11.32 714 11.18 False False \n",
"1 12.5 11.32 714 11.18 False False \n",
"2 12.5 11.32 714 11.18 False False \n",
"3 12.5 11.32 714 11.18 False False \n",
"4 12.5 11.32 714 11.18 False False "
]
},
"execution_count": 2,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"#puts_file='../data/Options/vxxRolling_puts.csv'\n",
"puts_file = '../data/Options/vix_rolling_puts.csv'\n",
"\n",
"puts = pd.read_csv(\n",
" puts_file,\n",
" header=0,\n",
" parse_dates=[\n",
" \"quote_date\",\n",
" \"expiration\",\n",
" \"newMonth\",\n",
" \"targetExpiration\",\n",
" ])\n",
"puts.head()"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:02:58.751015Z",
"start_time": "2018-10-06T17:02:58.741013Z"
}
},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>put_quote_date</th>\n",
" <th>put_expiration</th>\n",
" <th>put_strike</th>\n",
" <th>put_trade_volume</th>\n",
" <th>put_price</th>\n",
" <th>put_targetExpiration</th>\n",
" <th>put_ExpDiff</th>\n",
" <th>put_mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>put_entry</th>\n",
" <th>put_exit</th>\n",
" </tr>\n",
" <tr>\n",
" <th>put_quote_date</th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-20</th>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.55</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-21</th>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.35</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-24</th>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>20.0</td>\n",
" <td>12.45</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-25</th>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" put_quote_date put_expiration put_strike put_trade_volume \\\n",
"put_quote_date \n",
"2006-04-19 2006-04-19 2006-05-17 22.5 0.0 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 0.0 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 0.0 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 20.0 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 0.0 \n",
"\n",
" put_price put_targetExpiration put_ExpDiff \\\n",
"put_quote_date \n",
"2006-04-19 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-20 12.55 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-21 12.35 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-24 12.45 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-25 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"\n",
" put_mid_underlying futures put_entry put_exit \n",
"put_quote_date \n",
"2006-04-19 11.32 22.5 False False \n",
"2006-04-20 11.64 12.5 False False \n",
"2006-04-21 11.59 12.5 False False \n",
"2006-04-24 11.75 12.5 False False \n",
"2006-04-25 11.76 12.5 False False "
]
},
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"put_prices = puts.filter(\n",
" [\n",
" 'quote_date', 'expiration', 'strike', 'trade_volume', 'price',\n",
" 'targetExpiration', 'ExpDiff', 'mid_underlying','futures','entry', 'exit'\n",
" ],\n",
" axis=1)\n",
"put_prices.rename(\n",
" columns={\n",
" 'quote_date': 'put_quote_date',\n",
" 'expiration': 'put_expiration',\n",
" 'strike': 'put_strike',\n",
" 'trade_volume': 'put_trade_volume',\n",
" 'price': 'put_price',\n",
" 'targetExpiration': 'put_targetExpiration',\n",
" 'ExpDiff': 'put_ExpDiff',\n",
" 'mid_underlying': 'put_mid_underlying',\n",
" 'futures':'futures',\n",
" 'entry': 'put_entry',\n",
" 'exit': 'put_exit'\n",
" },\n",
" inplace=True)\n",
"put_prices.index = put_prices.put_quote_date\n",
"put_prices.head()"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:03:03.850655Z",
"start_time": "2018-10-06T17:03:03.545436Z"
}
},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>Date</th>\n",
" <th>i</th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>price</th>\n",
" <th>newMonth</th>\n",
" <th>targetExpiration</th>\n",
" <th>ExpDiff</th>\n",
" <th>mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>strikeTarget</th>\n",
" <th>strikeLocation</th>\n",
" <th>StrikeDiff</th>\n",
" <th>entry</th>\n",
" <th>exit</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2006-04-19</td>\n",
" <td>714</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2006-04-20</td>\n",
" <td>721</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2006-04-21</td>\n",
" <td>729</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2006-04-24</td>\n",
" <td>768</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2006-04-25</td>\n",
" <td>807</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" Date i quote_date expiration strike trade_volume price \\\n",
"0 2006-04-19 714 2006-04-19 2006-05-17 22.5 0.0 0.075 \n",
"1 2006-04-20 721 2006-04-20 2006-05-17 22.5 0.0 0.075 \n",
"2 2006-04-21 729 2006-04-21 2006-05-17 22.5 0.0 0.075 \n",
"3 2006-04-24 768 2006-04-24 2006-05-17 22.5 0.0 0.075 \n",
"4 2006-04-25 807 2006-04-25 2006-05-17 22.5 0.0 0.050 \n",
"\n",
" newMonth targetExpiration ExpDiff mid_underlying \\\n",
"0 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.32 \n",
"1 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.64 \n",
"2 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.59 \n",
"3 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.75 \n",
"4 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.76 \n",
"\n",
" futures strikeTarget strikeLocation StrikeDiff entry exit \n",
"0 22.5 22.64 714 0.14 False False \n",
"1 12.5 22.64 714 0.14 False False \n",
"2 12.5 22.64 714 0.14 False False \n",
"3 12.5 22.64 714 0.14 False False \n",
"4 12.5 22.64 714 0.14 False False "
]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"#callsL_file='../data/Options/vxxRolling_callsL.csv'\n",
"callsL_file = '../data/Options/vix_rolling_callsL.csv'\n",
"\n",
"callsL = pd.read_csv(\n",
" callsL_file,\n",
" header=0,\n",
" parse_dates=[\n",
" \"quote_date\",\n",
" \"expiration\",\n",
" \"newMonth\",\n",
" \"targetExpiration\",\n",
" ])\n",
"callsL.head()"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:55.428995Z",
"start_time": "2018-09-12T13:45:55.394125Z"
}
},
"outputs": [
{
"data": {
"text/html": [
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>Date</th>\n",
" <th>i</th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>price</th>\n",
" <th>newMonth</th>\n",
" <th>targetExpiration</th>\n",
" <th>ExpDiff</th>\n",
" <th>mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>strikeTarget</th>\n",
" <th>strikeLocation</th>\n",
" <th>StrikeDiff</th>\n",
" <th>entry</th>\n",
" <th>exit</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2006-04-19</td>\n",
" <td>714</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2006-04-20</td>\n",
" <td>721</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2006-04-21</td>\n",
" <td>729</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2006-04-24</td>\n",
" <td>768</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2006-04-25</td>\n",
" <td>807</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" Date i quote_date expiration strike trade_volume price \\\n",
"0 2006-04-19 714 2006-04-19 2006-05-17 22.5 0.0 0.075 \n",
"1 2006-04-20 721 2006-04-20 2006-05-17 22.5 0.0 0.075 \n",
"2 2006-04-21 729 2006-04-21 2006-05-17 22.5 0.0 0.075 \n",
"3 2006-04-24 768 2006-04-24 2006-05-17 22.5 0.0 0.075 \n",
"4 2006-04-25 807 2006-04-25 2006-05-17 22.5 0.0 0.050 \n",
"\n",
" newMonth targetExpiration ExpDiff mid_underlying \\\n",
"0 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.32 \n",
"1 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.64 \n",
"2 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.59 \n",
"3 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.75 \n",
"4 2006-04-19 2006-05-19 2 days 00:00:00.000000000 11.76 \n",
"\n",
" futures strikeTarget strikeLocation StrikeDiff entry exit \n",
"0 22.5 11.32 714 11.18 False False \n",
"1 12.5 11.32 714 11.18 False False \n",
"2 12.5 11.32 714 11.18 False False \n",
"3 12.5 11.32 714 11.18 False False \n",
"4 12.5 11.32 714 11.18 False False "
]
},
"execution_count": 5,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"#callsS_file='../data/Options/vxxRolling_callsS.csv'\n",
"callsS_file='../data/Options/vix_rolling_callsS.csv'\n",
"\n",
"callsS = pd.read_csv(\n",
" callsS_file,\n",
" header=0,\n",
" parse_dates=[\n",
" \"quote_date\",\n",
" \"expiration\",\n",
" \"newMonth\",\n",
" \"targetExpiration\",\n",
" ])\n",
"callsS.head()"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:55.450949Z",
"start_time": "2018-09-12T13:45:55.430994Z"
}
},
"outputs": [
{
"data": {
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" <th></th>\n",
" <th>Date</th>\n",
" <th>i</th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>price</th>\n",
" <th>newMonth</th>\n",
" <th>targetExpiration</th>\n",
" <th>ExpDiff</th>\n",
" <th>mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>strikeTarget</th>\n",
" <th>strikeLocation</th>\n",
" <th>StrikeDiff</th>\n",
" <th>entry</th>\n",
" <th>exit</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>3098</th>\n",
" <td>2018-08-29</td>\n",
" <td>522364</td>\n",
" <td>2018-08-29</td>\n",
" <td>2018-09-19</td>\n",
" <td>12.0</td>\n",
" <td>466.0</td>\n",
" <td>2.100</td>\n",
" <td>2018-08-22</td>\n",
" <td>2018-09-21</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>12.25</td>\n",
" <td>14.0</td>\n",
" <td>12.25</td>\n",
" <td>521449</td>\n",
" <td>0.25</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3099</th>\n",
" <td>2018-08-30</td>\n",
" <td>522539</td>\n",
" <td>2018-08-30</td>\n",
" <td>2018-09-19</td>\n",
" <td>12.0</td>\n",
" <td>701.0</td>\n",
" <td>2.625</td>\n",
" <td>2018-08-22</td>\n",
" <td>2018-09-21</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>13.53</td>\n",
" <td>14.5</td>\n",
" <td>12.25</td>\n",
" <td>521449</td>\n",
" <td>0.25</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3100</th>\n",
" <td>2018-08-31</td>\n",
" <td>522714</td>\n",
" <td>2018-08-31</td>\n",
" <td>2018-09-19</td>\n",
" <td>12.0</td>\n",
" <td>312.0</td>\n",
" <td>2.125</td>\n",
" <td>2018-08-22</td>\n",
" <td>2018-09-21</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>12.86</td>\n",
" <td>14.0</td>\n",
" <td>12.25</td>\n",
" <td>521449</td>\n",
" <td>0.25</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3101</th>\n",
" <td>2018-09-04</td>\n",
" <td>522889</td>\n",
" <td>2018-09-04</td>\n",
" <td>2018-09-19</td>\n",
" <td>12.0</td>\n",
" <td>1367.0</td>\n",
" <td>2.300</td>\n",
" <td>2018-08-22</td>\n",
" <td>2018-09-21</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>13.16</td>\n",
" <td>14.0</td>\n",
" <td>12.25</td>\n",
" <td>521449</td>\n",
" <td>0.25</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3102</th>\n",
" <td>2018-09-05</td>\n",
" <td>523064</td>\n",
" <td>2018-09-05</td>\n",
" <td>2018-09-19</td>\n",
" <td>12.0</td>\n",
" <td>1654.0</td>\n",
" <td>2.625</td>\n",
" <td>2018-08-22</td>\n",
" <td>2018-09-21</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>13.91</td>\n",
" <td>14.5</td>\n",
" <td>12.25</td>\n",
" <td>521449</td>\n",
" <td>0.25</td>\n",
" <td>False</td>\n",
" <td>NaN</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" Date i quote_date expiration strike trade_volume price \\\n",
"3098 2018-08-29 522364 2018-08-29 2018-09-19 12.0 466.0 2.100 \n",
"3099 2018-08-30 522539 2018-08-30 2018-09-19 12.0 701.0 2.625 \n",
"3100 2018-08-31 522714 2018-08-31 2018-09-19 12.0 312.0 2.125 \n",
"3101 2018-09-04 522889 2018-09-04 2018-09-19 12.0 1367.0 2.300 \n",
"3102 2018-09-05 523064 2018-09-05 2018-09-19 12.0 1654.0 2.625 \n",
"\n",
" newMonth targetExpiration ExpDiff mid_underlying \\\n",
"3098 2018-08-22 2018-09-21 2 days 00:00:00.000000000 12.25 \n",
"3099 2018-08-22 2018-09-21 2 days 00:00:00.000000000 13.53 \n",
"3100 2018-08-22 2018-09-21 2 days 00:00:00.000000000 12.86 \n",
"3101 2018-08-22 2018-09-21 2 days 00:00:00.000000000 13.16 \n",
"3102 2018-08-22 2018-09-21 2 days 00:00:00.000000000 13.91 \n",
"\n",
" futures strikeTarget strikeLocation StrikeDiff entry exit \n",
"3098 14.0 12.25 521449 0.25 False False \n",
"3099 14.5 12.25 521449 0.25 False False \n",
"3100 14.0 12.25 521449 0.25 False False \n",
"3101 14.0 12.25 521449 0.25 False False \n",
"3102 14.5 12.25 521449 0.25 False NaN "
]
},
"execution_count": 6,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"callsS.tail()"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:55.475869Z",
"start_time": "2018-09-12T13:45:55.452929Z"
}
},
"outputs": [
{
"data": {
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" <td>2018-08-29</td>\n",
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" <th>3080</th>\n",
" <td>2018-08-30</td>\n",
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" <td>2018-08-30</td>\n",
" <td>2018-09-19</td>\n",
" <td>24.0</td>\n",
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" <td>0.250</td>\n",
" <td>2018-08-22</td>\n",
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" <td>2 days 00:00:00.000000000</td>\n",
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" <td>521434</td>\n",
" <td>0.5</td>\n",
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" <tr>\n",
" <th>3081</th>\n",
" <td>2018-08-31</td>\n",
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" <td>14.0</td>\n",
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" <td>False</td>\n",
" <td>False</td>\n",
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" <td>2018-09-04</td>\n",
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" <td>521434</td>\n",
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" <tr>\n",
" <th>3083</th>\n",
" <td>2018-09-05</td>\n",
" <td>523049</td>\n",
" <td>2018-09-05</td>\n",
" <td>2018-09-19</td>\n",
" <td>24.0</td>\n",
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" <td>0.200</td>\n",
" <td>2018-08-22</td>\n",
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" <td>2 days 00:00:00.000000000</td>\n",
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" <td>521434</td>\n",
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"</table>\n",
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],
"text/plain": [
" Date i quote_date expiration strike trade_volume price \\\n",
"3079 2018-08-29 522349 2018-08-29 2018-09-19 24.0 10116.0 0.200 \n",
"3080 2018-08-30 522524 2018-08-30 2018-09-19 24.0 7561.0 0.250 \n",
"3081 2018-08-31 522699 2018-08-31 2018-09-19 24.0 11099.0 0.200 \n",
"3082 2018-09-04 522874 2018-09-04 2018-09-19 24.0 1849.0 0.175 \n",
"3083 2018-09-05 523049 2018-09-05 2018-09-19 24.0 85.0 0.200 \n",
"\n",
" newMonth targetExpiration ExpDiff mid_underlying \\\n",
"3079 2018-08-22 2018-09-21 2 days 00:00:00.000000000 12.25 \n",
"3080 2018-08-22 2018-09-21 2 days 00:00:00.000000000 13.53 \n",
"3081 2018-08-22 2018-09-21 2 days 00:00:00.000000000 12.86 \n",
"3082 2018-08-22 2018-09-21 2 days 00:00:00.000000000 13.16 \n",
"3083 2018-08-22 2018-09-21 2 days 00:00:00.000000000 13.91 \n",
"\n",
" futures strikeTarget strikeLocation StrikeDiff entry exit \n",
"3079 14.0 24.5 521434 0.5 False False \n",
"3080 14.5 24.5 521434 0.5 False False \n",
"3081 14.0 24.5 521434 0.5 False False \n",
"3082 14.0 24.5 521434 0.5 False False \n",
"3083 14.5 24.5 521434 0.5 False NaN "
]
},
"execution_count": 7,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"callsL.tail()"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:55.495820Z",
"start_time": "2018-09-12T13:45:55.477864Z"
}
},
"outputs": [
{
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],
"text/plain": [
" callsL_quote_date callsL_expiration callsL_strike \\\n",
"callsL_quote_date \n",
"2006-04-19 2006-04-19 2006-05-17 22.5 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 \n",
"\n",
" callsL_trade_volume callsL_price callsL_targetExpiration \\\n",
"callsL_quote_date \n",
"2006-04-19 0.0 0.075 2006-05-19 \n",
"2006-04-20 0.0 0.075 2006-05-19 \n",
"2006-04-21 0.0 0.075 2006-05-19 \n",
"2006-04-24 0.0 0.075 2006-05-19 \n",
"2006-04-25 0.0 0.050 2006-05-19 \n",
"\n",
" callsL_ExpDiff callsL_mid_underlying \\\n",
"callsL_quote_date \n",
"2006-04-19 2 days 00:00:00.000000000 11.32 \n",
"2006-04-20 2 days 00:00:00.000000000 11.64 \n",
"2006-04-21 2 days 00:00:00.000000000 11.59 \n",
"2006-04-24 2 days 00:00:00.000000000 11.75 \n",
"2006-04-25 2 days 00:00:00.000000000 11.76 \n",
"\n",
" callsL_futures callsL_entry callsL_exit \n",
"callsL_quote_date \n",
"2006-04-19 22.5 False False \n",
"2006-04-20 12.5 False False \n",
"2006-04-21 12.5 False False \n",
"2006-04-24 12.5 False False \n",
"2006-04-25 12.5 False False "
]
},
"execution_count": 8,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"callsL_prices = callsL.filter(\n",
" [\n",
" 'quote_date', 'expiration', 'strike', 'trade_volume', 'price',\n",
" 'targetExpiration', 'ExpDiff', 'mid_underlying', 'futures','entry', 'exit'\n",
" ],\n",
" axis=1)\n",
"callsL_prices.rename(\n",
" columns={\n",
" 'quote_date': 'callsL_quote_date',\n",
" 'expiration': 'callsL_expiration',\n",
" 'strike': 'callsL_strike',\n",
" 'trade_volume': 'callsL_trade_volume',\n",
" 'price': 'callsL_price',\n",
" 'targetExpiration': 'callsL_targetExpiration',\n",
" 'ExpDiff': 'callsL_ExpDiff',\n",
" 'mid_underlying': 'callsL_mid_underlying',\n",
" 'futures': 'callsL_futures',\n",
" 'entry': 'callsL_entry',\n",
" 'exit': 'callsL_exit'\n",
" },\n",
" inplace=True)\n",
"callsL_prices.index = callsL_prices.callsL_quote_date\n",
"callsL_prices.head()"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:55.514793Z",
"start_time": "2018-09-12T13:45:55.497810Z"
}
},
"outputs": [
{
"data": {
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],
"text/plain": [
" callsS_quote_date callsS_expiration callsS_strike \\\n",
"callsS_quote_date \n",
"2006-04-19 2006-04-19 2006-05-17 22.5 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 \n",
"\n",
" callsS_trade_volume callsS_price callsS_targetExpiration \\\n",
"callsS_quote_date \n",
"2006-04-19 0.0 0.075 2006-05-19 \n",
"2006-04-20 0.0 0.075 2006-05-19 \n",
"2006-04-21 0.0 0.075 2006-05-19 \n",
"2006-04-24 0.0 0.075 2006-05-19 \n",
"2006-04-25 0.0 0.050 2006-05-19 \n",
"\n",
" callsS_ExpDiff callsS_mid_underlying \\\n",
"callsS_quote_date \n",
"2006-04-19 2 days 00:00:00.000000000 11.32 \n",
"2006-04-20 2 days 00:00:00.000000000 11.64 \n",
"2006-04-21 2 days 00:00:00.000000000 11.59 \n",
"2006-04-24 2 days 00:00:00.000000000 11.75 \n",
"2006-04-25 2 days 00:00:00.000000000 11.76 \n",
"\n",
" callsS_futures callsS_entry callsS_exit \n",
"callsS_quote_date \n",
"2006-04-19 22.5 False False \n",
"2006-04-20 12.5 False False \n",
"2006-04-21 12.5 False False \n",
"2006-04-24 12.5 False False \n",
"2006-04-25 12.5 False False "
]
},
"execution_count": 9,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"callsS_prices = callsS.filter(\n",
" [\n",
" 'quote_date', 'expiration', 'strike', 'trade_volume', 'price',\n",
" 'targetExpiration', 'ExpDiff', 'mid_underlying', 'futures','entry', 'exit'\n",
" ],\n",
" axis=1)\n",
"callsS_prices.rename(\n",
" columns={\n",
" 'quote_date': 'callsS_quote_date',\n",
" 'expiration': 'callsS_expiration',\n",
" 'strike': 'callsS_strike',\n",
" 'trade_volume': 'callsS_trade_volume',\n",
" 'price': 'callsS_price',\n",
" 'targetExpiration': 'callsS_targetExpiration',\n",
" 'ExpDiff': 'callsS_ExpDiff',\n",
" 'mid_underlying': 'callsS_mid_underlying',\n",
" 'futures': 'callsS_futures',\n",
" 'entry': 'callsS_entry',\n",
" 'exit': 'callsS_exit'\n",
" },\n",
" inplace=True)\n",
"callsS_prices.index = callsS_prices.callsS_quote_date\n",
"callsS_prices.head()"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:56.688673Z",
"start_time": "2018-09-12T13:45:55.678328Z"
}
},
"outputs": [
{
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" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>20.0</td>\n",
" <td>12.45</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-25</th>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" callsL_quote_date callsL_expiration callsL_strike \\\n",
"2006-04-19 2006-04-19 2006-05-17 22.5 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 \n",
"\n",
" callsL_trade_volume callsL_price callsL_targetExpiration \\\n",
"2006-04-19 0.0 0.075 2006-05-19 \n",
"2006-04-20 0.0 0.075 2006-05-19 \n",
"2006-04-21 0.0 0.075 2006-05-19 \n",
"2006-04-24 0.0 0.075 2006-05-19 \n",
"2006-04-25 0.0 0.050 2006-05-19 \n",
"\n",
" callsL_ExpDiff callsL_mid_underlying callsL_futures \\\n",
"2006-04-19 2 days 00:00:00.000000000 11.32 22.5 \n",
"2006-04-20 2 days 00:00:00.000000000 11.64 12.5 \n",
"2006-04-21 2 days 00:00:00.000000000 11.59 12.5 \n",
"2006-04-24 2 days 00:00:00.000000000 11.75 12.5 \n",
"2006-04-25 2 days 00:00:00.000000000 11.76 12.5 \n",
"\n",
" callsL_entry callsL_exit callsS_quote_date callsS_expiration \\\n",
"2006-04-19 False False 2006-04-19 2006-05-17 \n",
"2006-04-20 False False 2006-04-20 2006-05-17 \n",
"2006-04-21 False False 2006-04-21 2006-05-17 \n",
"2006-04-24 False False 2006-04-24 2006-05-17 \n",
"2006-04-25 False False 2006-04-25 2006-05-17 \n",
"\n",
" callsS_strike callsS_trade_volume callsS_price \\\n",
"2006-04-19 22.5 0.0 0.075 \n",
"2006-04-20 22.5 0.0 0.075 \n",
"2006-04-21 22.5 0.0 0.075 \n",
"2006-04-24 22.5 0.0 0.075 \n",
"2006-04-25 22.5 0.0 0.050 \n",
"\n",
" callsS_targetExpiration callsS_ExpDiff \\\n",
"2006-04-19 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-20 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-21 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-24 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-25 2006-05-19 2 days 00:00:00.000000000 \n",
"\n",
" callsS_mid_underlying callsS_futures callsS_entry callsS_exit \\\n",
"2006-04-19 11.32 22.5 False False \n",
"2006-04-20 11.64 12.5 False False \n",
"2006-04-21 11.59 12.5 False False \n",
"2006-04-24 11.75 12.5 False False \n",
"2006-04-25 11.76 12.5 False False \n",
"\n",
" put_quote_date put_expiration put_strike put_trade_volume \\\n",
"2006-04-19 2006-04-19 2006-05-17 22.5 0.0 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 0.0 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 0.0 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 20.0 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 0.0 \n",
"\n",
" put_price put_targetExpiration put_ExpDiff \\\n",
"2006-04-19 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-20 12.55 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-21 12.35 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-24 12.45 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-25 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"\n",
" put_mid_underlying futures put_entry put_exit \n",
"2006-04-19 11.32 22.5 False False \n",
"2006-04-20 11.64 12.5 False False \n",
"2006-04-21 11.59 12.5 False False \n",
"2006-04-24 11.75 12.5 False False \n",
"2006-04-25 11.76 12.5 False False "
]
},
"execution_count": 10,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"combined = pd.concat([callsL_prices, callsS_prices,put_prices], axis=1, sort=False)\n",
"combined.to_csv('../data/Options/combined1.csv')\n",
"combined.head() #.fillna(method='ffill',inplace=True)\n"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:57.622127Z",
"start_time": "2018-09-12T13:45:56.690691Z"
}
},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>callsL_quote_date</th>\n",
" <th>callsL_expiration</th>\n",
" <th>callsL_strike</th>\n",
" <th>callsL_trade_volume</th>\n",
" <th>callsL_price</th>\n",
" <th>callsL_targetExpiration</th>\n",
" <th>callsL_ExpDiff</th>\n",
" <th>callsL_mid_underlying</th>\n",
" <th>callsL_futures</th>\n",
" <th>callsL_entry</th>\n",
" <th>callsL_exit</th>\n",
" <th>callsS_quote_date</th>\n",
" <th>callsS_expiration</th>\n",
" <th>callsS_strike</th>\n",
" <th>callsS_trade_volume</th>\n",
" <th>callsS_price</th>\n",
" <th>callsS_targetExpiration</th>\n",
" <th>callsS_ExpDiff</th>\n",
" <th>callsS_mid_underlying</th>\n",
" <th>callsS_futures</th>\n",
" <th>callsS_entry</th>\n",
" <th>callsS_exit</th>\n",
" <th>put_quote_date</th>\n",
" <th>put_expiration</th>\n",
" <th>put_strike</th>\n",
" <th>put_trade_volume</th>\n",
" <th>put_price</th>\n",
" <th>put_targetExpiration</th>\n",
" <th>put_ExpDiff</th>\n",
" <th>put_mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>put_entry</th>\n",
" <th>put_exit</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-20</th>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.55</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-21</th>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.35</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-24</th>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>20.0</td>\n",
" <td>12.45</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-25</th>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" callsL_quote_date callsL_expiration callsL_strike \\\n",
"2006-04-19 2006-04-19 2006-05-17 22.5 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 \n",
"\n",
" callsL_trade_volume callsL_price callsL_targetExpiration \\\n",
"2006-04-19 0.0 0.075 2006-05-19 \n",
"2006-04-20 0.0 0.075 2006-05-19 \n",
"2006-04-21 0.0 0.075 2006-05-19 \n",
"2006-04-24 0.0 0.075 2006-05-19 \n",
"2006-04-25 0.0 0.050 2006-05-19 \n",
"\n",
" callsL_ExpDiff callsL_mid_underlying callsL_futures \\\n",
"2006-04-19 2 days 00:00:00.000000000 11.32 22.5 \n",
"2006-04-20 2 days 00:00:00.000000000 11.64 12.5 \n",
"2006-04-21 2 days 00:00:00.000000000 11.59 12.5 \n",
"2006-04-24 2 days 00:00:00.000000000 11.75 12.5 \n",
"2006-04-25 2 days 00:00:00.000000000 11.76 12.5 \n",
"\n",
" callsL_entry callsL_exit callsS_quote_date callsS_expiration \\\n",
"2006-04-19 False False 2006-04-19 2006-05-17 \n",
"2006-04-20 False False 2006-04-20 2006-05-17 \n",
"2006-04-21 False False 2006-04-21 2006-05-17 \n",
"2006-04-24 False False 2006-04-24 2006-05-17 \n",
"2006-04-25 False False 2006-04-25 2006-05-17 \n",
"\n",
" callsS_strike callsS_trade_volume callsS_price \\\n",
"2006-04-19 22.5 0.0 0.075 \n",
"2006-04-20 22.5 0.0 0.075 \n",
"2006-04-21 22.5 0.0 0.075 \n",
"2006-04-24 22.5 0.0 0.075 \n",
"2006-04-25 22.5 0.0 0.050 \n",
"\n",
" callsS_targetExpiration callsS_ExpDiff \\\n",
"2006-04-19 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-20 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-21 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-24 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-25 2006-05-19 2 days 00:00:00.000000000 \n",
"\n",
" callsS_mid_underlying callsS_futures callsS_entry callsS_exit \\\n",
"2006-04-19 11.32 22.5 False False \n",
"2006-04-20 11.64 12.5 False False \n",
"2006-04-21 11.59 12.5 False False \n",
"2006-04-24 11.75 12.5 False False \n",
"2006-04-25 11.76 12.5 False False \n",
"\n",
" put_quote_date put_expiration put_strike put_trade_volume \\\n",
"2006-04-19 2006-04-19 2006-05-17 22.5 0.0 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 0.0 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 0.0 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 20.0 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 0.0 \n",
"\n",
" put_price put_targetExpiration put_ExpDiff \\\n",
"2006-04-19 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-20 12.55 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-21 12.35 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-24 12.45 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-25 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"\n",
" put_mid_underlying futures put_entry put_exit \n",
"2006-04-19 11.32 22.5 False False \n",
"2006-04-20 11.64 12.5 False False \n",
"2006-04-21 11.59 12.5 False False \n",
"2006-04-24 11.75 12.5 False False \n",
"2006-04-25 11.76 12.5 False False "
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"combined.fillna(method='ffill',inplace=True)\n",
"combined.to_csv('../data/Options/combined2.csv')\n",
"combined.head()"
]
},
{
"cell_type": "code",
"execution_count": 12,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:57.632101Z",
"start_time": "2018-09-12T13:45:57.625119Z"
}
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Empty DataFrame\n",
"Columns: [callsL_quote_date, callsL_expiration, callsL_strike, callsL_trade_volume, callsL_price, callsL_targetExpiration, callsL_ExpDiff, callsL_mid_underlying, callsL_futures, callsL_entry, callsL_exit, callsS_quote_date, callsS_expiration, callsS_strike, callsS_trade_volume, callsS_price, callsS_targetExpiration, callsS_ExpDiff, callsS_mid_underlying, callsS_futures, callsS_entry, callsS_exit, put_quote_date, put_expiration, put_strike, put_trade_volume, put_price, put_targetExpiration, put_ExpDiff, put_mid_underlying, futures, put_entry, put_exit]\n",
"Index: []\n"
]
}
],
"source": [
"mask = combined['callsS_price'].isnull()\n",
"print(combined.loc[mask])\n",
"# fill cell with one from adjoining column df.loc[df['foo'].isnull(),'foo'] = df['bar']"
]
},
{
"cell_type": "code",
"execution_count": 13,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:57.646063Z",
"start_time": "2018-09-12T13:45:57.634095Z"
}
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Empty DataFrame\n",
"Columns: [callsL_quote_date, callsL_expiration, callsL_strike, callsL_trade_volume, callsL_price, callsL_targetExpiration, callsL_ExpDiff, callsL_mid_underlying, callsL_futures, callsL_entry, callsL_exit, callsS_quote_date, callsS_expiration, callsS_strike, callsS_trade_volume, callsS_price, callsS_targetExpiration, callsS_ExpDiff, callsS_mid_underlying, callsS_futures, callsS_entry, callsS_exit, put_quote_date, put_expiration, put_strike, put_trade_volume, put_price, put_targetExpiration, put_ExpDiff, put_mid_underlying, futures, put_entry, put_exit]\n",
"Index: []\n"
]
}
],
"source": [
"mask = combined['callsL_price'].isnull()\n",
"print(combined.loc[mask])"
]
},
{
"cell_type": "code",
"execution_count": 14,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:45:57.672991Z",
"start_time": "2018-09-12T13:45:57.649055Z"
}
},
"outputs": [
{
"data": {
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" }\n",
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" .dataframe thead th {\n",
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>callsL_quote_date</th>\n",
" <th>callsL_expiration</th>\n",
" <th>callsL_strike</th>\n",
" <th>callsL_trade_volume</th>\n",
" <th>callsL_price</th>\n",
" <th>callsL_targetExpiration</th>\n",
" <th>callsL_ExpDiff</th>\n",
" <th>callsL_mid_underlying</th>\n",
" <th>callsL_futures</th>\n",
" <th>callsL_entry</th>\n",
" <th>callsL_exit</th>\n",
" <th>callsS_quote_date</th>\n",
" <th>callsS_expiration</th>\n",
" <th>callsS_strike</th>\n",
" <th>callsS_trade_volume</th>\n",
" <th>callsS_price</th>\n",
" <th>callsS_targetExpiration</th>\n",
" <th>callsS_ExpDiff</th>\n",
" <th>callsS_mid_underlying</th>\n",
" <th>callsS_futures</th>\n",
" <th>callsS_entry</th>\n",
" <th>callsS_exit</th>\n",
" <th>put_quote_date</th>\n",
" <th>put_expiration</th>\n",
" <th>put_strike</th>\n",
" <th>put_trade_volume</th>\n",
" <th>put_price</th>\n",
" <th>put_targetExpiration</th>\n",
" <th>put_ExpDiff</th>\n",
" <th>put_mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>put_entry</th>\n",
" <th>put_exit</th>\n",
" <th>quote_date</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-19</td>\n",
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" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.55</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
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" </tr>\n",
" <tr>\n",
" <th>2006-04-21</th>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.35</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-21</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-24</th>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>20.0</td>\n",
" <td>12.45</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-24</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-25</th>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-05-19</td>\n",
" <td>2 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days 00:00:00.000000000</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" <td>2006-04-25</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" callsL_quote_date callsL_expiration callsL_strike \\\n",
"2006-04-19 2006-04-19 2006-05-17 22.5 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 \n",
"\n",
" callsL_trade_volume callsL_price callsL_targetExpiration \\\n",
"2006-04-19 0.0 0.075 2006-05-19 \n",
"2006-04-20 0.0 0.075 2006-05-19 \n",
"2006-04-21 0.0 0.075 2006-05-19 \n",
"2006-04-24 0.0 0.075 2006-05-19 \n",
"2006-04-25 0.0 0.050 2006-05-19 \n",
"\n",
" callsL_ExpDiff callsL_mid_underlying callsL_futures \\\n",
"2006-04-19 2 days 00:00:00.000000000 11.32 22.5 \n",
"2006-04-20 2 days 00:00:00.000000000 11.64 12.5 \n",
"2006-04-21 2 days 00:00:00.000000000 11.59 12.5 \n",
"2006-04-24 2 days 00:00:00.000000000 11.75 12.5 \n",
"2006-04-25 2 days 00:00:00.000000000 11.76 12.5 \n",
"\n",
" callsL_entry callsL_exit callsS_quote_date callsS_expiration \\\n",
"2006-04-19 False False 2006-04-19 2006-05-17 \n",
"2006-04-20 False False 2006-04-20 2006-05-17 \n",
"2006-04-21 False False 2006-04-21 2006-05-17 \n",
"2006-04-24 False False 2006-04-24 2006-05-17 \n",
"2006-04-25 False False 2006-04-25 2006-05-17 \n",
"\n",
" callsS_strike callsS_trade_volume callsS_price \\\n",
"2006-04-19 22.5 0.0 0.075 \n",
"2006-04-20 22.5 0.0 0.075 \n",
"2006-04-21 22.5 0.0 0.075 \n",
"2006-04-24 22.5 0.0 0.075 \n",
"2006-04-25 22.5 0.0 0.050 \n",
"\n",
" callsS_targetExpiration callsS_ExpDiff \\\n",
"2006-04-19 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-20 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-21 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-24 2006-05-19 2 days 00:00:00.000000000 \n",
"2006-04-25 2006-05-19 2 days 00:00:00.000000000 \n",
"\n",
" callsS_mid_underlying callsS_futures callsS_entry callsS_exit \\\n",
"2006-04-19 11.32 22.5 False False \n",
"2006-04-20 11.64 12.5 False False \n",
"2006-04-21 11.59 12.5 False False \n",
"2006-04-24 11.75 12.5 False False \n",
"2006-04-25 11.76 12.5 False False \n",
"\n",
" put_quote_date put_expiration put_strike put_trade_volume \\\n",
"2006-04-19 2006-04-19 2006-05-17 22.5 0.0 \n",
"2006-04-20 2006-04-20 2006-05-17 22.5 0.0 \n",
"2006-04-21 2006-04-21 2006-05-17 22.5 0.0 \n",
"2006-04-24 2006-04-24 2006-05-17 22.5 20.0 \n",
"2006-04-25 2006-04-25 2006-05-17 22.5 0.0 \n",
"\n",
" put_price put_targetExpiration put_ExpDiff \\\n",
"2006-04-19 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-20 12.55 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-21 12.35 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-24 12.45 2006-11-05 172 days 00:00:00.000000000 \n",
"2006-04-25 9.90 2006-11-05 172 days 00:00:00.000000000 \n",
"\n",
" put_mid_underlying futures put_entry put_exit quote_date \n",
"2006-04-19 11.32 22.5 False False 2006-04-19 \n",
"2006-04-20 11.64 12.5 False False 2006-04-20 \n",
"2006-04-21 11.59 12.5 False False 2006-04-21 \n",
"2006-04-24 11.75 12.5 False False 2006-04-24 \n",
"2006-04-25 11.76 12.5 False False 2006-04-25 "
]
},
"execution_count": 14,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"combined['quote_date'] = combined.index\n",
"combined.head()"
]
},
{
"cell_type": "code",
"execution_count": 15,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:51.304629Z",
"start_time": "2018-09-12T13:59:51.167964Z"
},
"pixiedust": {
"displayParams": {}
}
},
"outputs": [],
"source": [
"#%%pixie_debugger\n",
"##BUY CALL\n",
"starting_capital = 100000.00\n",
"\n",
"put_allocation = 0.00\n",
"callsL_allocation = 0.0025\n",
"callsS_allocation = 0.01\n",
"\n",
"put_position = 0\n",
"put_position_value = 0\n",
"callsL_position = 0\n",
"callsL_position_value = 0\n",
"callsS_position = 0\n",
"callsS_position_value = 0\n",
"\n",
"short_proceeds = 0\n",
"cash = 0.00\n",
"equity_curve = 0\n",
"new_cash = 0.00\n",
"\n",
"money_management = 0 #money_magament: 1 for percentage of equity, 0 for same number of shares as the short call position\n",
"long_multiple = 1\n",
"temp_PnL = {}\n",
"\n",
"for i, row in enumerate(combined.itertuples(), 0):\n",
" #if i == 24: break\n",
" if i == 0: equity_curve = starting_capital\n",
"\n",
" if (row.callsL_entry == True and row.callsS_entry == True\n",
" and row.put_entry == True) or (i == 0):\n",
" if row.callsS_price > 0:\n",
" callsS_position = round(\n",
" (equity_curve * callsS_allocation) / row.callsS_price, 0)\n",
" else:\n",
" callsS_position = 0\n",
" callsS_position_value = callsS_position * row.callsS_price\n",
" short_proceeds = callsS_position_value\n",
" if money_management == 1:\n",
" if row.callsL_price > 0:\n",
" callsL_position = round(\n",
" (equity_curve * callsL_allocation) / row.callsL_price, 0)\n",
" else:\n",
" callsL_position = 0\n",
" else:\n",
" callsL_position = callsS_position * long_multiple\n",
"\n",
" callsL_position_value = callsL_position * row.callsL_price\n",
" if row.put_price > 0:\n",
" put_position = round(\n",
" (equity_curve * put_allocation) / row.put_price, 0)\n",
" else:\n",
" put_position = 0\n",
"\n",
" put_position_value = put_position * row.put_price\n",
"\n",
" cash = equity_curve - (\n",
" callsL_position_value + callsS_position_value + put_position_value)\n",
" equity_curve = callsL_position_value + callsS_position_value + put_position_value + cash\n",
"\n",
" temp_PnL[combined.index[i]] = [\n",
" i, row.callsL_price, callsL_position, callsL_position_value,\n",
" row.callsS_price, callsS_position, callsS_position_value,\n",
" row.put_price, put_position, put_position_value, cash, equity_curve\n",
" ]\n",
" #print(i, row.price, 'position', position, 'position_value',\n",
" #position_value, 'cash', cash, 'equity_curve', equity_curve)\n",
"\n",
" if (row.callsL_entry == False and row.callsS_entry == False\n",
" and row.put_entry == False) and (row.callsL_exit == False\n",
" and row.callsS_exit == False\n",
" and row.put_exit == False):\n",
" callsL_position_value = callsL_position * row.callsL_price\n",
" callsS_position_value = short_proceeds + (\n",
" short_proceeds - (callsS_position * row.callsS_price))\n",
" put_position_value = put_position * row.put_price\n",
" equity_curve = callsL_position_value + callsS_position_value + put_position_value + cash\n",
" temp_PnL[combined.index[i]] = [\n",
" i, row.callsL_price, callsL_position, callsL_position_value,\n",
" row.callsS_price, callsS_position, callsS_position_value,\n",
" row.put_price, put_position, put_position_value, cash, equity_curve\n",
" ]\n",
" if (row.callsL_exit == True and row.callsS_exit == True\n",
" and row.put_exit == True):\n",
" callsL_position_value = callsL_position * (\n",
" row.callsL_mid_underlying - row.callsL_strike)\n",
" if callsL_position_value < 0: callsL_position_value = 0\n",
" endVal=(row.callsL_mid_underlying - row.callsS_strike)*callsS_position\n",
" if endVal<0: endVal=0\n",
" callsS_position_value = short_proceeds + (short_proceeds - (endVal))\n",
" put_position_value = put_position * row.put_price\n",
" equity_curve = callsL_position_value + callsS_position_value + put_position_value + cash\n",
" temp_PnL[combined.index[i]] = [\n",
" i, row.callsL_price, callsL_position, callsL_position_value,\n",
" row.callsS_price, callsS_position, callsS_position_value,\n",
" row.put_price, put_position, put_position_value, cash, equity_curve\n",
" ]"
]
},
{
"cell_type": "code",
"execution_count": 16,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:51.666662Z",
"start_time": "2018-09-12T13:59:51.308621Z"
}
},
"outputs": [],
"source": [
"PL = pd.DataFrame(temp_PnL).T.fillna(method='ffill')\n",
"PL.index.name = 'Date'\n",
"PL.columns = [\n",
" 'i', 'longCall_price', 'longCall_position', 'longCall_position_value', 'shortCall_price',\n",
" 'shortCall_position', 'shortCall_position_value',\n",
" 'put_price', 'put_position', 'put_position_value',\n",
" 'cash', 'equity_curve'\n",
"]\n",
"PL.to_csv('../data/Options/vixPnL.csv')"
]
},
{
"cell_type": "code",
"execution_count": 17,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:53.354150Z",
"start_time": "2018-09-12T13:59:51.670628Z"
}
},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
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" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>i</th>\n",
" <th>longCall_price</th>\n",
" <th>longCall_position</th>\n",
" <th>longCall_position_value</th>\n",
" <th>shortCall_price</th>\n",
" <th>shortCall_position</th>\n",
" <th>shortCall_position_value</th>\n",
" <th>put_price</th>\n",
" <th>put_position</th>\n",
" <th>put_position_value</th>\n",
" <th>cash</th>\n",
" <th>equity_curve</th>\n",
" </tr>\n",
" <tr>\n",
" <th>Date</th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2018-08-29</th>\n",
" <td>3101.0</td>\n",
" <td>0.200</td>\n",
" <td>493.0</td>\n",
" <td>98.600</td>\n",
" <td>2.100</td>\n",
" <td>493.0</td>\n",
" <td>1306.450</td>\n",
" <td>0.300</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>115665.855</td>\n",
" <td>117070.905</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-08-30</th>\n",
" <td>3102.0</td>\n",
" <td>0.250</td>\n",
" <td>493.0</td>\n",
" <td>123.250</td>\n",
" <td>2.625</td>\n",
" <td>493.0</td>\n",
" <td>1047.625</td>\n",
" <td>0.275</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>115665.855</td>\n",
" <td>116836.730</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-08-31</th>\n",
" <td>3103.0</td>\n",
" <td>0.200</td>\n",
" <td>493.0</td>\n",
" <td>98.600</td>\n",
" <td>2.125</td>\n",
" <td>493.0</td>\n",
" <td>1294.125</td>\n",
" <td>0.325</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>115665.855</td>\n",
" <td>117058.580</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-09-04</th>\n",
" <td>3104.0</td>\n",
" <td>0.175</td>\n",
" <td>493.0</td>\n",
" <td>86.275</td>\n",
" <td>2.300</td>\n",
" <td>493.0</td>\n",
" <td>1207.850</td>\n",
" <td>0.300</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>115665.855</td>\n",
" <td>116959.980</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-09-05</th>\n",
" <td>3105.0</td>\n",
" <td>0.200</td>\n",
" <td>493.0</td>\n",
" <td>98.600</td>\n",
" <td>2.625</td>\n",
" <td>493.0</td>\n",
" <td>1047.625</td>\n",
" <td>0.300</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>115665.855</td>\n",
" <td>116812.080</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" i longCall_price longCall_position \\\n",
"Date \n",
"2018-08-29 3101.0 0.200 493.0 \n",
"2018-08-30 3102.0 0.250 493.0 \n",
"2018-08-31 3103.0 0.200 493.0 \n",
"2018-09-04 3104.0 0.175 493.0 \n",
"2018-09-05 3105.0 0.200 493.0 \n",
"\n",
" longCall_position_value shortCall_price shortCall_position \\\n",
"Date \n",
"2018-08-29 98.600 2.100 493.0 \n",
"2018-08-30 123.250 2.625 493.0 \n",
"2018-08-31 98.600 2.125 493.0 \n",
"2018-09-04 86.275 2.300 493.0 \n",
"2018-09-05 98.600 2.625 493.0 \n",
"\n",
" shortCall_position_value put_price put_position \\\n",
"Date \n",
"2018-08-29 1306.450 0.300 0.0 \n",
"2018-08-30 1047.625 0.275 0.0 \n",
"2018-08-31 1294.125 0.325 0.0 \n",
"2018-09-04 1207.850 0.300 0.0 \n",
"2018-09-05 1047.625 0.300 0.0 \n",
"\n",
" put_position_value cash equity_curve \n",
"Date \n",
"2018-08-29 0.0 115665.855 117070.905 \n",
"2018-08-30 0.0 115665.855 116836.730 \n",
"2018-08-31 0.0 115665.855 117058.580 \n",
"2018-09-04 0.0 115665.855 116959.980 \n",
"2018-09-05 0.0 115665.855 116812.080 "
]
},
"execution_count": 17,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"PL.tail()"
]
},
{
"cell_type": "code",
"execution_count": 18,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:53.362145Z",
"start_time": "2018-09-12T13:59:53.357111Z"
}
},
"outputs": [],
"source": [
"#because the is_list_like is moved to pandas.api.types\n",
"pd.core.common.is_list_like = pd.api.types.is_list_like\n",
"import ffn"
]
},
{
"cell_type": "code",
"execution_count": 19,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:53.389055Z",
"start_time": "2018-09-12T13:59:53.366087Z"
}
},
"outputs": [
{
"data": {
"text/html": [
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" vertical-align: top;\n",
" }\n",
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" .dataframe thead th {\n",
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>equity_curve</th>\n",
" </tr>\n",
" <tr>\n",
" <th>Date</th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-20</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-21</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-24</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-25</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" equity_curve\n",
"Date \n",
"2006-04-19 100000.0\n",
"2006-04-20 100000.0\n",
"2006-04-21 100000.0\n",
"2006-04-24 100000.0\n",
"2006-04-25 100000.0"
]
},
"execution_count": 19,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"option_series=PL[['equity_curve']].copy()\n",
"option_series.head()"
]
},
{
"cell_type": "code",
"execution_count": 20,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:53.412017Z",
"start_time": "2018-09-12T13:59:53.393013Z"
}
},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
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"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>Options</th>\n",
" </tr>\n",
" <tr>\n",
" <th>Date</th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-20</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-21</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-24</th>\n",
" <td>100000.0</td>\n",
" </tr>\n",
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" <th>2006-04-25</th>\n",
" <td>100000.0</td>\n",
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"</table>\n",
"</div>"
],
"text/plain": [
" Options\n",
"Date \n",
"2006-04-19 100000.0\n",
"2006-04-20 100000.0\n",
"2006-04-21 100000.0\n",
"2006-04-24 100000.0\n",
"2006-04-25 100000.0"
]
},
"execution_count": 20,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"option_series.rename(columns={'equity_curve': 'Options'}, inplace=True)\n",
"option_series.head()"
]
},
{
"cell_type": "code",
"execution_count": 21,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:53.566580Z",
"start_time": "2018-09-12T13:59:53.420972Z"
}
},
"outputs": [
{
"data": {
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\n",
"text/plain": [
"<Figure size 432x288 with 1 Axes>"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"#option_series=option_series[(option_series.index< '2009-01-01') & (option_series.index> '2008-09-01')]\n",
"#option_series=option_series[(option_series.index> '2008-12-01')]\n",
"ax = option_series.plot(logy=True)"
]
},
{
"cell_type": "code",
"execution_count": 22,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:53.637358Z",
"start_time": "2018-09-12T13:59:53.575526Z"
}
},
"outputs": [
{
"data": {
"image/png": 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\n",
"text/plain": [
"<Figure size 432x288 with 1 Axes>"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"returns = option_series.to_returns().dropna()\n",
"ax = returns.hist()"
]
},
{
"cell_type": "code",
"execution_count": 23,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-12T13:59:53.797930Z",
"start_time": "2018-09-12T13:59:53.640352Z"
}
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Stat Options\n",
"------------------- ----------\n",
"Start 2006-04-19\n",
"End 2018-09-05\n",
"Risk-free rate 0.00%\n",
"\n",
"Total Return 16.81%\n",
"Daily Sharpe 0.24\n",
"Daily Sortino 0.32\n",
"CAGR 1.26%\n",
"Max Drawdown -17.52%\n",
"Calmar Ratio 0.07\n",
"\n",
"MTD -0.21%\n",
"3m 1.61%\n",
"6m 4.37%\n",
"YTD -4.46%\n",
"1Y -2.22%\n",
"3Y (ann.) 1.75%\n",
"5Y (ann.) 0.86%\n",
"10Y (ann.) 0.79%\n",
"Since Incep. (ann.) 1.26%\n",
"\n",
"Daily Sharpe 0.24\n",
"Daily Sortino 0.32\n",
"Daily Mean (ann.) 1.47%\n",
"Daily Vol (ann.) 6.23%\n",
"Daily Skew -3.18\n",
"Daily Kurt 152.47\n",
"Best Day 6.93%\n",
"Worst Day -9.41%\n",
"\n",
"Monthly Sharpe 0.23\n",
"Monthly Sortino 0.27\n",
"Monthly Mean (ann.) 1.47%\n",
"Monthly Vol (ann.) 6.40%\n",
"Monthly Skew -4.33\n",
"Monthly Kurt 27.36\n",
"Best Month 2.85%\n",
"Worst Month -14.25%\n",
"\n",
"Yearly Sharpe 0.21\n",
"Yearly Sortino 0.34\n",
"Yearly Mean 1.23%\n",
"Yearly Vol 5.77%\n",
"Yearly Skew -1.01\n",
"Yearly Kurt 1.59\n",
"Best Year 8.17%\n",
"Worst Year -12.18%\n",
"\n",
"Avg. Drawdown -1.02%\n",
"Avg. Drawdown Days 45.43\n",
"Avg. Up Month 0.83%\n",
"Avg. Down Month -1.58%\n",
"Win Year % 75.00%\n",
"Win 12m % 69.78%\n"
]
}
],
"source": [
"stats = option_series.calc_stats()\n",
"stats.display()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.6.5"
},
"varInspector": {
"cols": {
"lenName": 16,
"lenType": 16,
"lenVar": 40
},
"kernels_config": {
"python": {
"delete_cmd_postfix": "",
"delete_cmd_prefix": "del ",
"library": "var_list.py",
"varRefreshCmd": "print(var_dic_list())"
},
"r": {
"delete_cmd_postfix": ") ",
"delete_cmd_prefix": "rm(",
"library": "var_list.r",
"varRefreshCmd": "cat(var_dic_list()) "
}
},
"position": {
"height": "416px",
"left": "1163px",
"right": "20px",
"top": "127px",
"width": "356px"
},
"types_to_exclude": [
"module",
"function",
"builtin_function_or_method",
"instance",
"_Feature"
],
"window_display": false
}
},
"nbformat": 4,
"nbformat_minor": 2
}
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