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AnthonyFJGarner/VIX_options_read_from_CBOE.ipynb

Created October 26, 2018 08:26
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Reading CBOE VIX Options Data
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VIX_options_read_from_CBOE.ipynb
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-03T12:57:09.616745Z",
"start_time": "2018-10-03T12:57:09.037924Z"
}
},
"outputs": [],
"source": [
"#Imports\n",
"%matplotlib notebook\n",
"import scipy.stats as ss\n",
"import time \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": "2018-10-02T12:34:01.830723Z",
"start_time": "2018-10-02T12:34:01.176446Z"
}
},
"outputs": [],
"source": [
"vix2017 =pd.read_csv('../data/Options/VIXUnderlyingOptionsEODQuotes_2017/UnderlyingOptionsEODQuotes_2017.csv', header=0, parse_dates=[\"quote_date\",\"expiration\"],\n",
" dtype={\"delivery_code\": str})\n",
"vix2018 =pd.read_csv('../data/Options/VIXUnderlyingOptionsEODQuotes_2018/UnderlyingOptionsEODQuotes_2018.csv', header=0, parse_dates=[\"quote_date\",\"expiration\"],\n",
" dtype={\"delivery_code\": str})"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-30T09:21:24.146476Z",
"start_time": "2018-09-30T09:21:24.142471Z"
}
},
"outputs": [],
"source": [
"vix2017=vix2017.iloc[::-1]\n",
"vix2017.index = pd.RangeIndex(len(vix2017.index))\n",
"\n",
"vix2018=vix2018.iloc[::-1]\n",
"vix2018.index = pd.RangeIndex(len(vix2018.index))\n"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-30T09:21:24.206322Z",
"start_time": "2018-09-30T09:21:24.147444Z"
}
},
"outputs": [
{
"data": {
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"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
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"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>underlying_symbol</th>\n",
" <th>quote_date</th>\n",
" <th>root</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>option_type</th>\n",
" <th>open</th>\n",
" <th>high</th>\n",
" <th>low</th>\n",
" <th>close</th>\n",
" <th>trade_volume</th>\n",
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" <th>underlying_ask_eod</th>\n",
" <th>vwap</th>\n",
" <th>open_interest</th>\n",
" <th>delivery_code</th>\n",
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" <td>^VIX</td>\n",
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" <td>^VIX</td>\n",
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" <td>^VIX</td>\n",
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" <td>9.20</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>1</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73967</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>18.0</td>\n",
" <td>c</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>321</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>280</td>\n",
" <td>0.05</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>1326</td>\n",
" <td>0.10</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.05</td>\n",
" <td>15164</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73968</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>17.0</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>11</td>\n",
" <td>4.40</td>\n",
" <td>11</td>\n",
" <td>8.20</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>5</td>\n",
" <td>4.40</td>\n",
" <td>5</td>\n",
" <td>8.20</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>2</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73969</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>17.0</td>\n",
" <td>c</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>1594</td>\n",
" <td>30</td>\n",
" <td>0.05</td>\n",
" <td>5296</td>\n",
" <td>0.10</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>2439</td>\n",
" <td>0.10</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.05</td>\n",
" <td>9846</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73970</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>16.0</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>11</td>\n",
" <td>3.40</td>\n",
" <td>11</td>\n",
" <td>7.20</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>5</td>\n",
" <td>3.40</td>\n",
" <td>5</td>\n",
" <td>7.20</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>4</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73971</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>16.0</td>\n",
" <td>c</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>628</td>\n",
" <td>42</td>\n",
" <td>0.05</td>\n",
" <td>4482</td>\n",
" <td>0.10</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>1500</td>\n",
" <td>0.10</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.05</td>\n",
" <td>27462</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73972</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>15.0</td>\n",
" <td>p</td>\n",
" <td>4.52</td>\n",
" <td>4.52</td>\n",
" <td>3.80</td>\n",
" <td>3.80</td>\n",
" <td>7</td>\n",
" <td>242</td>\n",
" <td>3.80</td>\n",
" <td>257</td>\n",
" <td>4.80</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>11</td>\n",
" <td>2.60</td>\n",
" <td>11</td>\n",
" <td>5.80</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>4.31</td>\n",
" <td>18</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73973</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>15.0</td>\n",
" <td>c</td>\n",
" <td>0.05</td>\n",
" <td>0.10</td>\n",
" <td>0.05</td>\n",
" <td>0.10</td>\n",
" <td>95</td>\n",
" <td>65</td>\n",
" <td>0.05</td>\n",
" <td>3578</td>\n",
" <td>0.10</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>75</td>\n",
" <td>0.05</td>\n",
" <td>2622</td>\n",
" <td>0.15</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.07</td>\n",
" <td>8639</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73974</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>14.5</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>243</td>\n",
" <td>3.30</td>\n",
" <td>243</td>\n",
" <td>4.40</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>15</td>\n",
" <td>2.10</td>\n",
" <td>15</td>\n",
" <td>5.30</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73975</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>14.5</td>\n",
" <td>c</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>32</td>\n",
" <td>0.05</td>\n",
" <td>13</td>\n",
" <td>0.10</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>32</td>\n",
" <td>0.05</td>\n",
" <td>2375</td>\n",
" <td>0.15</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>208</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73976</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>14.0</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>322</td>\n",
" <td>2.85</td>\n",
" <td>16</td>\n",
" <td>3.80</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>13</td>\n",
" <td>2.75</td>\n",
" <td>15</td>\n",
" <td>5.40</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>12</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73977</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>14.0</td>\n",
" <td>c</td>\n",
" <td>0.05</td>\n",
" <td>0.10</td>\n",
" <td>0.05</td>\n",
" <td>0.10</td>\n",
" <td>26</td>\n",
" <td>25</td>\n",
" <td>0.05</td>\n",
" <td>1</td>\n",
" <td>0.10</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>2567</td>\n",
" <td>0.05</td>\n",
" <td>1680</td>\n",
" <td>0.15</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.09</td>\n",
" <td>2246</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73978</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>13.5</td>\n",
" <td>p</td>\n",
" <td>3.00</td>\n",
" <td>3.00</td>\n",
" <td>3.00</td>\n",
" <td>3.00</td>\n",
" <td>100</td>\n",
" <td>529</td>\n",
" <td>2.35</td>\n",
" <td>197</td>\n",
" <td>3.10</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>15</td>\n",
" <td>1.10</td>\n",
" <td>15</td>\n",
" <td>4.90</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>3.00</td>\n",
" <td>306</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73979</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>13.5</td>\n",
" <td>c</td>\n",
" <td>0.06</td>\n",
" <td>0.15</td>\n",
" <td>0.06</td>\n",
" <td>0.15</td>\n",
" <td>130</td>\n",
" <td>3541</td>\n",
" <td>0.05</td>\n",
" <td>4306</td>\n",
" <td>0.15</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>2575</td>\n",
" <td>0.05</td>\n",
" <td>2422</td>\n",
" <td>0.20</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.12</td>\n",
" <td>686</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73980</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>13.0</td>\n",
" <td>p</td>\n",
" <td>2.55</td>\n",
" <td>2.55</td>\n",
" <td>2.55</td>\n",
" <td>2.55</td>\n",
" <td>10</td>\n",
" <td>16</td>\n",
" <td>1.95</td>\n",
" <td>16</td>\n",
" <td>2.85</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>15</td>\n",
" <td>0.65</td>\n",
" <td>15</td>\n",
" <td>4.40</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>2.55</td>\n",
" <td>36</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73981</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>13.0</td>\n",
" <td>c</td>\n",
" <td>0.11</td>\n",
" <td>0.15</td>\n",
" <td>0.10</td>\n",
" <td>0.15</td>\n",
" <td>162</td>\n",
" <td>60</td>\n",
" <td>0.10</td>\n",
" <td>15</td>\n",
" <td>0.15</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>2654</td>\n",
" <td>0.10</td>\n",
" <td>2562</td>\n",
" <td>0.25</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.11</td>\n",
" <td>3948</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73982</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>12.5</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>573</td>\n",
" <td>1.60</td>\n",
" <td>21</td>\n",
" <td>2.15</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>15</td>\n",
" <td>0.15</td>\n",
" <td>15</td>\n",
" <td>3.90</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>21</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73983</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>12.5</td>\n",
" <td>c</td>\n",
" <td>0.15</td>\n",
" <td>0.18</td>\n",
" <td>0.15</td>\n",
" <td>0.18</td>\n",
" <td>83</td>\n",
" <td>97</td>\n",
" <td>0.10</td>\n",
" <td>1</td>\n",
" <td>0.15</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>2622</td>\n",
" <td>0.15</td>\n",
" <td>1</td>\n",
" <td>0.25</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.18</td>\n",
" <td>710</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73984</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>12.0</td>\n",
" <td>p</td>\n",
" <td>1.50</td>\n",
" <td>1.50</td>\n",
" <td>1.35</td>\n",
" <td>1.35</td>\n",
" <td>65</td>\n",
" <td>20</td>\n",
" <td>1.40</td>\n",
" <td>2275</td>\n",
" <td>1.60</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>40</td>\n",
" <td>1.10</td>\n",
" <td>10</td>\n",
" <td>1.60</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>1.46</td>\n",
" <td>3000</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73985</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>12.0</td>\n",
" <td>c</td>\n",
" <td>0.15</td>\n",
" <td>0.30</td>\n",
" <td>0.15</td>\n",
" <td>0.30</td>\n",
" <td>247</td>\n",
" <td>4263</td>\n",
" <td>0.10</td>\n",
" <td>20</td>\n",
" <td>0.20</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>300</td>\n",
" <td>0.25</td>\n",
" <td>1</td>\n",
" <td>0.35</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.17</td>\n",
" <td>4002</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73986</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>11.5</td>\n",
" <td>p</td>\n",
" <td>1.00</td>\n",
" <td>1.10</td>\n",
" <td>0.90</td>\n",
" <td>0.90</td>\n",
" <td>418</td>\n",
" <td>1</td>\n",
" <td>1.00</td>\n",
" <td>22</td>\n",
" <td>1.20</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>10</td>\n",
" <td>1.60</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>1.00</td>\n",
" <td>145</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73987</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>11.5</td>\n",
" <td>c</td>\n",
" <td>0.20</td>\n",
" <td>0.42</td>\n",
" <td>0.20</td>\n",
" <td>0.40</td>\n",
" <td>837</td>\n",
" <td>3597</td>\n",
" <td>0.20</td>\n",
" <td>2</td>\n",
" <td>0.25</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>300</td>\n",
" <td>0.35</td>\n",
" <td>20</td>\n",
" <td>0.45</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.22</td>\n",
" <td>2094</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73988</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>11.0</td>\n",
" <td>p</td>\n",
" <td>0.75</td>\n",
" <td>0.75</td>\n",
" <td>0.55</td>\n",
" <td>0.55</td>\n",
" <td>1608</td>\n",
" <td>30</td>\n",
" <td>0.60</td>\n",
" <td>4796</td>\n",
" <td>0.75</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>3580</td>\n",
" <td>0.20</td>\n",
" <td>1467</td>\n",
" <td>0.45</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.63</td>\n",
" <td>2808</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73989</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>11.0</td>\n",
" <td>c</td>\n",
" <td>0.25</td>\n",
" <td>0.59</td>\n",
" <td>0.25</td>\n",
" <td>0.57</td>\n",
" <td>120</td>\n",
" <td>3181</td>\n",
" <td>0.30</td>\n",
" <td>26</td>\n",
" <td>0.40</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>284</td>\n",
" <td>0.50</td>\n",
" <td>12</td>\n",
" <td>0.65</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.38</td>\n",
" <td>561</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73990</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>10.5</td>\n",
" <td>p</td>\n",
" <td>0.30</td>\n",
" <td>0.35</td>\n",
" <td>0.20</td>\n",
" <td>0.20</td>\n",
" <td>948</td>\n",
" <td>31</td>\n",
" <td>0.20</td>\n",
" <td>3592</td>\n",
" <td>0.35</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>1848</td>\n",
" <td>0.10</td>\n",
" <td>2284</td>\n",
" <td>0.30</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.30</td>\n",
" <td>1918</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73991</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>10.5</td>\n",
" <td>c</td>\n",
" <td>0.55</td>\n",
" <td>0.83</td>\n",
" <td>0.43</td>\n",
" <td>0.83</td>\n",
" <td>108</td>\n",
" <td>3977</td>\n",
" <td>0.45</td>\n",
" <td>3337</td>\n",
" <td>0.65</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>386</td>\n",
" <td>0.70</td>\n",
" <td>1486</td>\n",
" <td>1.00</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.63</td>\n",
" <td>730</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73992</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>10.0</td>\n",
" <td>p</td>\n",
" <td>0.10</td>\n",
" <td>0.11</td>\n",
" <td>0.05</td>\n",
" <td>0.05</td>\n",
" <td>209</td>\n",
" <td>564</td>\n",
" <td>0.05</td>\n",
" <td>3723</td>\n",
" <td>0.15</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>410</td>\n",
" <td>0.05</td>\n",
" <td>30</td>\n",
" <td>0.10</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.09</td>\n",
" <td>2120</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73993</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>10.0</td>\n",
" <td>c</td>\n",
" <td>0.60</td>\n",
" <td>1.23</td>\n",
" <td>0.55</td>\n",
" <td>1.23</td>\n",
" <td>367</td>\n",
" <td>19</td>\n",
" <td>0.75</td>\n",
" <td>21</td>\n",
" <td>0.90</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>270</td>\n",
" <td>1.05</td>\n",
" <td>300</td>\n",
" <td>1.35</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.80</td>\n",
" <td>3224</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73994</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>9.5</td>\n",
" <td>p</td>\n",
" <td>0.02</td>\n",
" <td>0.02</td>\n",
" <td>0.02</td>\n",
" <td>0.02</td>\n",
" <td>38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>225</td>\n",
" <td>0.05</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>177</td>\n",
" <td>0.05</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.02</td>\n",
" <td>479</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73995</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>9.5</td>\n",
" <td>c</td>\n",
" <td>1.10</td>\n",
" <td>1.57</td>\n",
" <td>1.00</td>\n",
" <td>1.57</td>\n",
" <td>56</td>\n",
" <td>555</td>\n",
" <td>1.10</td>\n",
" <td>547</td>\n",
" <td>1.45</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>345</td>\n",
" <td>1.45</td>\n",
" <td>348</td>\n",
" <td>1.85</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>1.26</td>\n",
" <td>325</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73996</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>9.0</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>2576</td>\n",
" <td>0.05</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>362</td>\n",
" <td>0.05</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>767</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73997</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>9.0</td>\n",
" <td>c</td>\n",
" <td>1.65</td>\n",
" <td>1.90</td>\n",
" <td>1.60</td>\n",
" <td>1.65</td>\n",
" <td>56</td>\n",
" <td>345</td>\n",
" <td>1.55</td>\n",
" <td>342</td>\n",
" <td>1.95</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>343</td>\n",
" <td>1.95</td>\n",
" <td>342</td>\n",
" <td>2.35</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>1.69</td>\n",
" <td>458</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73998</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>8.5</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>200</td>\n",
" <td>0.05</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>0</td>\n",
" <td>0.00</td>\n",
" <td>200</td>\n",
" <td>0.05</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>0.00</td>\n",
" <td>1</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>73999</th>\n",
" <td>^VIX</td>\n",
" <td>2017-12-29</td>\n",
" <td>VIX</td>\n",
" <td>2018-01-03</td>\n",
" <td>8.5</td>\n",
" <td>c</td>\n",
" <td>1.95</td>\n",
" <td>2.30</td>\n",
" <td>1.95</td>\n",
" <td>2.30</td>\n",
" <td>6</td>\n",
" <td>296</td>\n",
" <td>2.05</td>\n",
" <td>300</td>\n",
" <td>2.45</td>\n",
" <td>10.38</td>\n",
" <td>10.38</td>\n",
" <td>296</td>\n",
" <td>2.45</td>\n",
" <td>300</td>\n",
" <td>2.85</td>\n",
" <td>11.04</td>\n",
" <td>11.04</td>\n",
" <td>2.07</td>\n",
" <td>58</td>\n",
" <td>0</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" underlying_symbol quote_date root expiration strike option_type open \\\n",
"73950 ^VIX 2017-12-29 VIX 2018-01-03 26.0 p 0.00 \n",
"73951 ^VIX 2017-12-29 VIX 2018-01-03 26.0 c 0.00 \n",
"73952 ^VIX 2017-12-29 VIX 2018-01-03 25.0 p 0.00 \n",
"73953 ^VIX 2017-12-29 VIX 2018-01-03 25.0 c 0.00 \n",
"73954 ^VIX 2017-12-29 VIX 2018-01-03 24.0 p 0.00 \n",
"73955 ^VIX 2017-12-29 VIX 2018-01-03 24.0 c 0.00 \n",
"73956 ^VIX 2017-12-29 VIX 2018-01-03 23.0 p 0.00 \n",
"73957 ^VIX 2017-12-29 VIX 2018-01-03 23.0 c 0.00 \n",
"73958 ^VIX 2017-12-29 VIX 2018-01-03 22.0 p 0.00 \n",
"73959 ^VIX 2017-12-29 VIX 2018-01-03 22.0 c 0.00 \n",
"73960 ^VIX 2017-12-29 VIX 2018-01-03 21.0 p 0.00 \n",
"73961 ^VIX 2017-12-29 VIX 2018-01-03 21.0 c 0.00 \n",
"73962 ^VIX 2017-12-29 VIX 2018-01-03 20.0 p 9.50 \n",
"73963 ^VIX 2017-12-29 VIX 2018-01-03 20.0 c 0.05 \n",
"73964 ^VIX 2017-12-29 VIX 2018-01-03 19.0 p 0.00 \n",
"73965 ^VIX 2017-12-29 VIX 2018-01-03 19.0 c 0.05 \n",
"73966 ^VIX 2017-12-29 VIX 2018-01-03 18.0 p 0.00 \n",
"73967 ^VIX 2017-12-29 VIX 2018-01-03 18.0 c 0.05 \n",
"73968 ^VIX 2017-12-29 VIX 2018-01-03 17.0 p 0.00 \n",
"73969 ^VIX 2017-12-29 VIX 2018-01-03 17.0 c 0.05 \n",
"73970 ^VIX 2017-12-29 VIX 2018-01-03 16.0 p 0.00 \n",
"73971 ^VIX 2017-12-29 VIX 2018-01-03 16.0 c 0.05 \n",
"73972 ^VIX 2017-12-29 VIX 2018-01-03 15.0 p 4.52 \n",
"73973 ^VIX 2017-12-29 VIX 2018-01-03 15.0 c 0.05 \n",
"73974 ^VIX 2017-12-29 VIX 2018-01-03 14.5 p 0.00 \n",
"73975 ^VIX 2017-12-29 VIX 2018-01-03 14.5 c 0.00 \n",
"73976 ^VIX 2017-12-29 VIX 2018-01-03 14.0 p 0.00 \n",
"73977 ^VIX 2017-12-29 VIX 2018-01-03 14.0 c 0.05 \n",
"73978 ^VIX 2017-12-29 VIX 2018-01-03 13.5 p 3.00 \n",
"73979 ^VIX 2017-12-29 VIX 2018-01-03 13.5 c 0.06 \n",
"73980 ^VIX 2017-12-29 VIX 2018-01-03 13.0 p 2.55 \n",
"73981 ^VIX 2017-12-29 VIX 2018-01-03 13.0 c 0.11 \n",
"73982 ^VIX 2017-12-29 VIX 2018-01-03 12.5 p 0.00 \n",
"73983 ^VIX 2017-12-29 VIX 2018-01-03 12.5 c 0.15 \n",
"73984 ^VIX 2017-12-29 VIX 2018-01-03 12.0 p 1.50 \n",
"73985 ^VIX 2017-12-29 VIX 2018-01-03 12.0 c 0.15 \n",
"73986 ^VIX 2017-12-29 VIX 2018-01-03 11.5 p 1.00 \n",
"73987 ^VIX 2017-12-29 VIX 2018-01-03 11.5 c 0.20 \n",
"73988 ^VIX 2017-12-29 VIX 2018-01-03 11.0 p 0.75 \n",
"73989 ^VIX 2017-12-29 VIX 2018-01-03 11.0 c 0.25 \n",
"73990 ^VIX 2017-12-29 VIX 2018-01-03 10.5 p 0.30 \n",
"73991 ^VIX 2017-12-29 VIX 2018-01-03 10.5 c 0.55 \n",
"73992 ^VIX 2017-12-29 VIX 2018-01-03 10.0 p 0.10 \n",
"73993 ^VIX 2017-12-29 VIX 2018-01-03 10.0 c 0.60 \n",
"73994 ^VIX 2017-12-29 VIX 2018-01-03 9.5 p 0.02 \n",
"73995 ^VIX 2017-12-29 VIX 2018-01-03 9.5 c 1.10 \n",
"73996 ^VIX 2017-12-29 VIX 2018-01-03 9.0 p 0.00 \n",
"73997 ^VIX 2017-12-29 VIX 2018-01-03 9.0 c 1.65 \n",
"73998 ^VIX 2017-12-29 VIX 2018-01-03 8.5 p 0.00 \n",
"73999 ^VIX 2017-12-29 VIX 2018-01-03 8.5 c 1.95 \n",
"\n",
" high low close trade_volume bid_size_1545 bid_1545 \\\n",
"73950 0.00 0.00 0.00 0 5 13.40 \n",
"73951 0.00 0.00 0.00 0 0 0.00 \n",
"73952 0.00 0.00 0.00 0 5 12.40 \n",
"73953 0.00 0.00 0.00 0 0 0.00 \n",
"73954 0.00 0.00 0.00 0 5 11.40 \n",
"73955 0.00 0.00 0.00 0 0 0.00 \n",
"73956 0.00 0.00 0.00 0 5 10.40 \n",
"73957 0.00 0.00 0.00 0 0 0.00 \n",
"73958 0.00 0.00 0.00 0 5 9.40 \n",
"73959 0.00 0.00 0.00 0 0 0.00 \n",
"73960 0.00 0.00 0.00 0 5 8.40 \n",
"73961 0.00 0.00 0.00 0 0 0.00 \n",
"73962 9.50 9.50 9.50 1 5 7.40 \n",
"73963 0.05 0.05 0.05 1000 0 0.00 \n",
"73964 0.00 0.00 0.00 0 11 6.40 \n",
"73965 0.05 0.05 0.05 300 0 0.00 \n",
"73966 0.00 0.00 0.00 0 11 5.40 \n",
"73967 0.05 0.05 0.05 321 0 0.00 \n",
"73968 0.00 0.00 0.00 0 11 4.40 \n",
"73969 0.05 0.05 0.05 1594 30 0.05 \n",
"73970 0.00 0.00 0.00 0 11 3.40 \n",
"73971 0.05 0.05 0.05 628 42 0.05 \n",
"73972 4.52 3.80 3.80 7 242 3.80 \n",
"73973 0.10 0.05 0.10 95 65 0.05 \n",
"73974 0.00 0.00 0.00 0 243 3.30 \n",
"73975 0.00 0.00 0.00 0 32 0.05 \n",
"73976 0.00 0.00 0.00 0 322 2.85 \n",
"73977 0.10 0.05 0.10 26 25 0.05 \n",
"73978 3.00 3.00 3.00 100 529 2.35 \n",
"73979 0.15 0.06 0.15 130 3541 0.05 \n",
"73980 2.55 2.55 2.55 10 16 1.95 \n",
"73981 0.15 0.10 0.15 162 60 0.10 \n",
"73982 0.00 0.00 0.00 0 573 1.60 \n",
"73983 0.18 0.15 0.18 83 97 0.10 \n",
"73984 1.50 1.35 1.35 65 20 1.40 \n",
"73985 0.30 0.15 0.30 247 4263 0.10 \n",
"73986 1.10 0.90 0.90 418 1 1.00 \n",
"73987 0.42 0.20 0.40 837 3597 0.20 \n",
"73988 0.75 0.55 0.55 1608 30 0.60 \n",
"73989 0.59 0.25 0.57 120 3181 0.30 \n",
"73990 0.35 0.20 0.20 948 31 0.20 \n",
"73991 0.83 0.43 0.83 108 3977 0.45 \n",
"73992 0.11 0.05 0.05 209 564 0.05 \n",
"73993 1.23 0.55 1.23 367 19 0.75 \n",
"73994 0.02 0.02 0.02 38 0 0.00 \n",
"73995 1.57 1.00 1.57 56 555 1.10 \n",
"73996 0.00 0.00 0.00 0 0 0.00 \n",
"73997 1.90 1.60 1.65 56 345 1.55 \n",
"73998 0.00 0.00 0.00 0 0 0.00 \n",
"73999 2.30 1.95 2.30 6 296 2.05 \n",
"\n",
" ask_size_1545 ask_1545 underlying_bid_1545 underlying_ask_1545 \\\n",
"73950 5 17.20 10.38 10.38 \n",
"73951 392 0.05 10.38 10.38 \n",
"73952 5 16.20 10.38 10.38 \n",
"73953 859 0.05 10.38 10.38 \n",
"73954 5 15.20 10.38 10.38 \n",
"73955 859 0.05 10.38 10.38 \n",
"73956 5 14.20 10.38 10.38 \n",
"73957 853 0.05 10.38 10.38 \n",
"73958 5 13.20 10.38 10.38 \n",
"73959 45 0.05 10.38 10.38 \n",
"73960 5 12.20 10.38 10.38 \n",
"73961 15 0.05 10.38 10.38 \n",
"73962 5 11.20 10.38 10.38 \n",
"73963 18 0.05 10.38 10.38 \n",
"73964 11 10.20 10.38 10.38 \n",
"73965 49 0.05 10.38 10.38 \n",
"73966 11 9.20 10.38 10.38 \n",
"73967 280 0.05 10.38 10.38 \n",
"73968 11 8.20 10.38 10.38 \n",
"73969 5296 0.10 10.38 10.38 \n",
"73970 11 7.20 10.38 10.38 \n",
"73971 4482 0.10 10.38 10.38 \n",
"73972 257 4.80 10.38 10.38 \n",
"73973 3578 0.10 10.38 10.38 \n",
"73974 243 4.40 10.38 10.38 \n",
"73975 13 0.10 10.38 10.38 \n",
"73976 16 3.80 10.38 10.38 \n",
"73977 1 0.10 10.38 10.38 \n",
"73978 197 3.10 10.38 10.38 \n",
"73979 4306 0.15 10.38 10.38 \n",
"73980 16 2.85 10.38 10.38 \n",
"73981 15 0.15 10.38 10.38 \n",
"73982 21 2.15 10.38 10.38 \n",
"73983 1 0.15 10.38 10.38 \n",
"73984 2275 1.60 10.38 10.38 \n",
"73985 20 0.20 10.38 10.38 \n",
"73986 22 1.20 10.38 10.38 \n",
"73987 2 0.25 10.38 10.38 \n",
"73988 4796 0.75 10.38 10.38 \n",
"73989 26 0.40 10.38 10.38 \n",
"73990 3592 0.35 10.38 10.38 \n",
"73991 3337 0.65 10.38 10.38 \n",
"73992 3723 0.15 10.38 10.38 \n",
"73993 21 0.90 10.38 10.38 \n",
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" bid_size_eod bid_eod ask_size_eod ask_eod underlying_bid_eod \\\n",
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"73978 15 1.10 15 4.90 11.04 \n",
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"\n",
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},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"vix2017.tail(50)"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-03T12:03:48.035076Z",
"start_time": "2018-10-03T12:03:33.220745Z"
}
},
"outputs": [],
"source": [
"target_file='../data/Options/allVixOptions.csv'\n",
"all_data=pd.read_csv(target_file, header=0, parse_dates=[\"quote_date\",\"expiration\"],\n",
" dtype={\"delivery_code\": str})"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-03T12:08:35.248869Z",
"start_time": "2018-10-03T12:08:35.222932Z"
}
},
"outputs": [
{
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" underlying_symbol quote_date root expiration strike option_type open \\\n",
"0 ^VIX 2006-02-27 VIX 2006-03-22 10.0 c 2.1 \n",
"1 ^VIX 2006-02-27 VIX 2006-03-22 10.0 p 0.0 \n",
"2 ^VIX 2006-02-27 VIX 2006-03-22 12.5 c 0.6 \n",
"3 ^VIX 2006-02-27 VIX 2006-03-22 12.5 p 1.0 \n",
"4 ^VIX 2006-02-27 VIX 2006-03-22 12.5 c 0.0 \n",
"\n",
" high low close trade_volume bid_size_1545 bid_1545 ask_size_1545 \\\n",
"0 2.1 2.10 2.1 5.0 50.0 1.85 50.0 \n",
"1 0.0 0.00 0.0 0.0 0.0 0.00 250.0 \n",
"2 0.6 0.45 0.5 46.0 20.0 0.35 50.0 \n",
"3 1.0 0.90 0.9 71.0 50.0 0.85 51.0 \n",
"4 0.0 0.00 0.0 0.0 0.0 0.00 0.0 \n",
"\n",
" ask_1545 underlying_bid_1545 underlying_ask_1545 bid_size_eod bid_eod \\\n",
"0 2.10 11.47 11.47 50.0 1.85 \n",
"1 0.10 11.47 11.47 0.0 0.00 \n",
"2 0.55 11.47 11.47 10.0 0.40 \n",
"3 1.10 11.47 11.47 50.0 0.85 \n",
"4 0.00 11.47 11.47 0.0 0.00 \n",
"\n",
" ask_size_eod ask_eod underlying_bid_eod underlying_ask_eod vwap \\\n",
"0 50.0 2.10 11.59 11.59 2.10 \n",
"1 250.0 0.10 11.59 11.59 0.00 \n",
"2 50.0 0.55 11.59 11.59 0.53 \n",
"3 51.0 1.10 11.59 11.59 0.96 \n",
"4 0.0 0.00 11.59 11.59 0.00 \n",
"\n",
" open_interest delivery_code \n",
"0 5.0 0 \n",
"1 0.0 0 \n",
"2 531.0 0 \n",
"3 125.0 0 \n",
"4 0.0 0 "
]
},
"execution_count": 6,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"all_data.head()"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-30T09:21:29.659719Z",
"start_time": "2018-09-30T09:21:29.237873Z"
}
},
"outputs": [],
"source": [
"all_data=pd.concat([all_data,vix2017,vix2018], ignore_index=True)"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-30T09:22:02.132829Z",
"start_time": "2018-09-30T09:21:29.661687Z"
}
},
"outputs": [],
"source": [
"#save the amalgamated dataframe to csv\n",
"all_data.to_csv('../data/Options/vix.csv',index=False)"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-30T09:22:02.158747Z",
"start_time": "2018-09-30T09:22:02.133826Z"
}
},
"outputs": [
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" <td>13.65</td>\n",
" <td>13.65</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>13.91</td>\n",
" <td>13.91</td>\n",
" <td>0.0</td>\n",
" <td>3.0</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1502145</th>\n",
" <td>^VIX</td>\n",
" <td>2018-09-05</td>\n",
" <td>VIX</td>\n",
" <td>2018-09-05</td>\n",
" <td>10.0</td>\n",
" <td>c</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>13.65</td>\n",
" <td>13.65</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>13.91</td>\n",
" <td>13.91</td>\n",
" <td>0.0</td>\n",
" <td>77.0</td>\n",
" <td>0</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" underlying_symbol quote_date root expiration strike option_type \\\n",
"1502141 ^VIX 2018-09-05 VIX 2018-09-05 11.0 c \n",
"1502142 ^VIX 2018-09-05 VIX 2018-09-05 10.5 p \n",
"1502143 ^VIX 2018-09-05 VIX 2018-09-05 10.5 c \n",
"1502144 ^VIX 2018-09-05 VIX 2018-09-05 10.0 p \n",
"1502145 ^VIX 2018-09-05 VIX 2018-09-05 10.0 c \n",
"\n",
" open high low close trade_volume bid_size_1545 bid_1545 \\\n",
"1502141 0.0 0.0 0.0 0.0 0.0 0.0 0.0 \n",
"1502142 0.0 0.0 0.0 0.0 0.0 0.0 0.0 \n",
"1502143 0.0 0.0 0.0 0.0 0.0 0.0 0.0 \n",
"1502144 0.0 0.0 0.0 0.0 0.0 0.0 0.0 \n",
"1502145 0.0 0.0 0.0 0.0 0.0 0.0 0.0 \n",
"\n",
" ask_size_1545 ask_1545 underlying_bid_1545 underlying_ask_1545 \\\n",
"1502141 0.0 0.0 13.65 13.65 \n",
"1502142 0.0 0.0 13.65 13.65 \n",
"1502143 0.0 0.0 13.65 13.65 \n",
"1502144 0.0 0.0 13.65 13.65 \n",
"1502145 0.0 0.0 13.65 13.65 \n",
"\n",
" bid_size_eod bid_eod ask_size_eod ask_eod underlying_bid_eod \\\n",
"1502141 0.0 0.0 0.0 0.0 13.91 \n",
"1502142 0.0 0.0 0.0 0.0 13.91 \n",
"1502143 0.0 0.0 0.0 0.0 13.91 \n",
"1502144 0.0 0.0 0.0 0.0 13.91 \n",
"1502145 0.0 0.0 0.0 0.0 13.91 \n",
"\n",
" underlying_ask_eod vwap open_interest delivery_code \n",
"1502141 13.91 0.0 150.0 0 \n",
"1502142 13.91 0.0 35.0 0 \n",
"1502143 13.91 0.0 7.0 0 \n",
"1502144 13.91 0.0 3.0 0 \n",
"1502145 13.91 0.0 77.0 0 "
]
},
"execution_count": 9,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"all_data.tail()"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {
"ExecuteTime": {
"end_time": "2018-09-30T14:55:10.829020Z",
"start_time": "2018-09-30T14:55:10.824035Z"
}
},
"outputs": [
{
"data": {
"text/plain": [
"(1502146, 26)"
]
},
"execution_count": 10,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"all_data.shape"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:26:53.000234Z",
"start_time": "2018-10-04T08:26:46.624180Z"
}
},
"outputs": [],
"source": [
"#target_file='../data/Options/vxx.csv'\n",
"target_file = '../data/Options/vix.csv'\n",
"\n",
"#open options data file - Puts and Calls, all info as received from CBOE but amalgameted into one file but only select the\n",
"#columns you require\n",
"options = pd.read_csv(\n",
" target_file,\n",
" header=0,\n",
" parse_dates=[\"quote_date\", \"expiration\"],\n",
" dtype={\"delivery_code\": str})\n",
"options = options[(options.root == 'VIX')]"
]
},
{
"cell_type": "code",
"execution_count": 12,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:14:26.326498Z",
"start_time": "2018-10-04T08:14:26.313589Z"
}
},
"outputs": [
{
"data": {
"text/plain": [
"((1248393, 26), 321)"
]
},
"execution_count": 12,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"options.shape, len(options.expiration.unique())"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Following two pieces of code were designed to choose expiries. \n",
"\n",
"CBOE Data contains a lot of very short or abortive expiries. Expiries were chosen and placed in '../data/Options/expiries.csv' after looking at these results. (inspector.index != '2008-02-20') seemed to be a duplicsate and or redundant expiry."
]
},
{
"cell_type": "code",
"execution_count": 13,
"metadata": {},
"outputs": [],
"source": [
"inspection = {}\n",
"a = 0\n",
"b = pd.Series(options.expiration.unique()).sort_values()\n",
"for i, row in b.iteritems():\n",
" # a=a+1\n",
" #print(row)\n",
" tester = options[(options.expiration == row)]\n",
" if len(tester.quote_date.unique()) > 30:\n",
" a = a + 1\n",
" inspection[row] = [\n",
" row,\n",
" len(tester.quote_date.unique()),\n",
" len(tester.strike.unique()), tester.quote_date.iloc[0],\n",
" row == tester.quote_date.iloc[-1], tester.quote_date.iloc[-1]\n",
" ]"
]
},
{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"outputs": [
{
"data": {
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>expiry</th>\n",
" <th>#TradingDays</th>\n",
" <th>#Strikes</th>\n",
" <th>1stTradingDate</th>\n",
" <th>tradesOnExpiryDate?</th>\n",
" <th>LastTradingDate</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>2006-04-19 00:00:00</td>\n",
" <td>37</td>\n",
" <td>5</td>\n",
" <td>2006-02-27 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-04-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-05-17</th>\n",
" <td>2006-05-17 00:00:00</td>\n",
" <td>57</td>\n",
" <td>8</td>\n",
" <td>2006-02-27 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-05-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-06-21</th>\n",
" <td>2006-06-21 00:00:00</td>\n",
" <td>36</td>\n",
" <td>7</td>\n",
" <td>2006-04-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-06-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-07-19</th>\n",
" <td>2006-07-19 00:00:00</td>\n",
" <td>36</td>\n",
" <td>18</td>\n",
" <td>2006-05-30 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-07-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-08-16</th>\n",
" <td>2006-08-16 00:00:00</td>\n",
" <td>94</td>\n",
" <td>20</td>\n",
" <td>2006-03-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-08-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-09-20</th>\n",
" <td>2006-09-20 00:00:00</td>\n",
" <td>40</td>\n",
" <td>12</td>\n",
" <td>2006-07-26 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-09-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-10-18</th>\n",
" <td>2006-10-18 00:00:00</td>\n",
" <td>40</td>\n",
" <td>14</td>\n",
" <td>2006-08-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-10-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-11-15</th>\n",
" <td>2006-11-15 00:00:00</td>\n",
" <td>158</td>\n",
" <td>21</td>\n",
" <td>2006-03-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-11-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-12-20</th>\n",
" <td>2006-12-20 00:00:00</td>\n",
" <td>62</td>\n",
" <td>15</td>\n",
" <td>2006-09-25 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2006-12-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-01-17</th>\n",
" <td>2007-01-17 00:00:00</td>\n",
" <td>57</td>\n",
" <td>16</td>\n",
" <td>2006-10-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-01-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-02-14</th>\n",
" <td>2007-02-14 00:00:00</td>\n",
" <td>215</td>\n",
" <td>22</td>\n",
" <td>2006-03-27 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-02-14 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-03-21</th>\n",
" <td>2007-03-21 00:00:00</td>\n",
" <td>60</td>\n",
" <td>21</td>\n",
" <td>2006-12-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-03-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-04-18</th>\n",
" <td>2007-04-18 00:00:00</td>\n",
" <td>59</td>\n",
" <td>20</td>\n",
" <td>2007-01-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-04-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-05-16</th>\n",
" <td>2007-05-16 00:00:00</td>\n",
" <td>241</td>\n",
" <td>29</td>\n",
" <td>2006-05-30 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-05-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-06-20</th>\n",
" <td>2007-06-20 00:00:00</td>\n",
" <td>63</td>\n",
" <td>16</td>\n",
" <td>2007-03-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-06-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-07-18</th>\n",
" <td>2007-07-18 00:00:00</td>\n",
" <td>59</td>\n",
" <td>15</td>\n",
" <td>2007-04-25 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-07-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-08-22</th>\n",
" <td>2007-08-22 00:00:00</td>\n",
" <td>208</td>\n",
" <td>21</td>\n",
" <td>2006-10-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-08-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-09-19</th>\n",
" <td>2007-09-19 00:00:00</td>\n",
" <td>83</td>\n",
" <td>22</td>\n",
" <td>2007-05-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-09-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-10-17</th>\n",
" <td>2007-10-17 00:00:00</td>\n",
" <td>80</td>\n",
" <td>22</td>\n",
" <td>2007-06-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-10-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-11-21</th>\n",
" <td>2007-11-21 00:00:00</td>\n",
" <td>249</td>\n",
" <td>23</td>\n",
" <td>2006-11-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-11-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2007-12-19</th>\n",
" <td>2007-12-19 00:00:00</td>\n",
" <td>80</td>\n",
" <td>23</td>\n",
" <td>2007-08-27 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2007-12-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-01-16</th>\n",
" <td>2008-01-16 00:00:00</td>\n",
" <td>79</td>\n",
" <td>18</td>\n",
" <td>2007-09-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-01-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-02-19</th>\n",
" <td>2008-02-19 00:00:00</td>\n",
" <td>119</td>\n",
" <td>23</td>\n",
" <td>2007-08-07 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-02-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-03-19</th>\n",
" <td>2008-03-19 00:00:00</td>\n",
" <td>98</td>\n",
" <td>22</td>\n",
" <td>2007-10-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-03-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-04-16</th>\n",
" <td>2008-04-16 00:00:00</td>\n",
" <td>74</td>\n",
" <td>20</td>\n",
" <td>2007-12-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-04-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-05-21</th>\n",
" <td>2008-05-21 00:00:00</td>\n",
" <td>167</td>\n",
" <td>23</td>\n",
" <td>2007-09-13 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-05-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-06-18</th>\n",
" <td>2008-06-18 00:00:00</td>\n",
" <td>98</td>\n",
" <td>22</td>\n",
" <td>2008-01-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-06-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-07-16</th>\n",
" <td>2008-07-16 00:00:00</td>\n",
" <td>79</td>\n",
" <td>17</td>\n",
" <td>2008-03-26 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-07-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-08-20</th>\n",
" <td>2008-08-20 00:00:00</td>\n",
" <td>180</td>\n",
" <td>22</td>\n",
" <td>2007-11-26 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-08-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-09-17</th>\n",
" <td>2008-09-17 00:00:00</td>\n",
" <td>105</td>\n",
" <td>23</td>\n",
" <td>2008-04-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-09-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-10-22</th>\n",
" <td>2008-10-22 00:00:00</td>\n",
" <td>107</td>\n",
" <td>27</td>\n",
" <td>2008-05-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-10-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-11-19</th>\n",
" <td>2008-11-19 00:00:00</td>\n",
" <td>191</td>\n",
" <td>28</td>\n",
" <td>2008-02-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-11-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2008-12-17</th>\n",
" <td>2008-12-17 00:00:00</td>\n",
" <td>125</td>\n",
" <td>25</td>\n",
" <td>2008-06-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2008-12-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-01-21</th>\n",
" <td>2009-01-21 00:00:00</td>\n",
" <td>128</td>\n",
" <td>22</td>\n",
" <td>2008-07-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-01-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-02-18</th>\n",
" <td>2009-02-18 00:00:00</td>\n",
" <td>123</td>\n",
" <td>23</td>\n",
" <td>2008-08-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-02-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-03-18</th>\n",
" <td>2009-03-18 00:00:00</td>\n",
" <td>123</td>\n",
" <td>21</td>\n",
" <td>2008-09-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-03-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-04-15</th>\n",
" <td>2009-04-15 00:00:00</td>\n",
" <td>119</td>\n",
" <td>18</td>\n",
" <td>2008-10-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-04-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-05-20</th>\n",
" <td>2009-05-20 00:00:00</td>\n",
" <td>122</td>\n",
" <td>18</td>\n",
" <td>2008-11-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-05-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-06-17</th>\n",
" <td>2009-06-17 00:00:00</td>\n",
" <td>120</td>\n",
" <td>19</td>\n",
" <td>2008-12-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-06-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-07-22</th>\n",
" <td>2009-07-22 00:00:00</td>\n",
" <td>126</td>\n",
" <td>19</td>\n",
" <td>2009-01-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-07-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-08-19</th>\n",
" <td>2009-08-19 00:00:00</td>\n",
" <td>125</td>\n",
" <td>20</td>\n",
" <td>2009-02-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-08-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-09-16</th>\n",
" <td>2009-09-16 00:00:00</td>\n",
" <td>122</td>\n",
" <td>20</td>\n",
" <td>2009-03-25 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-09-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-10-21</th>\n",
" <td>2009-10-21 00:00:00</td>\n",
" <td>130</td>\n",
" <td>20</td>\n",
" <td>2009-04-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-10-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-11-18</th>\n",
" <td>2009-11-18 00:00:00</td>\n",
" <td>133</td>\n",
" <td>22</td>\n",
" <td>2009-03-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-11-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2009-12-16</th>\n",
" <td>2009-12-16 00:00:00</td>\n",
" <td>125</td>\n",
" <td>24</td>\n",
" <td>2009-06-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2009-12-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-01-20</th>\n",
" <td>2010-01-20 00:00:00</td>\n",
" <td>124</td>\n",
" <td>25</td>\n",
" <td>2009-07-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-01-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-17</th>\n",
" <td>2010-02-17 00:00:00</td>\n",
" <td>122</td>\n",
" <td>25</td>\n",
" <td>2009-08-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-02-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-17</th>\n",
" <td>2010-03-17 00:00:00</td>\n",
" <td>123</td>\n",
" <td>51</td>\n",
" <td>2009-09-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-03-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-21</th>\n",
" <td>2010-04-21 00:00:00</td>\n",
" <td>123</td>\n",
" <td>51</td>\n",
" <td>2009-10-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-04-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-19</th>\n",
" <td>2010-05-19 00:00:00</td>\n",
" <td>122</td>\n",
" <td>49</td>\n",
" <td>2009-11-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-05-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-16</th>\n",
" <td>2010-06-16 00:00:00</td>\n",
" <td>122</td>\n",
" <td>50</td>\n",
" <td>2009-12-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-06-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-21</th>\n",
" <td>2010-07-21 00:00:00</td>\n",
" <td>126</td>\n",
" <td>51</td>\n",
" <td>2010-01-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-07-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-18</th>\n",
" <td>2010-08-18 00:00:00</td>\n",
" <td>125</td>\n",
" <td>51</td>\n",
" <td>2010-02-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-08-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-15</th>\n",
" <td>2010-09-15 00:00:00</td>\n",
" <td>124</td>\n",
" <td>31</td>\n",
" <td>2010-03-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-09-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-10-20</th>\n",
" <td>2010-10-20 00:00:00</td>\n",
" <td>127</td>\n",
" <td>32</td>\n",
" <td>2010-04-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-10-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-17</th>\n",
" <td>2010-11-17 00:00:00</td>\n",
" <td>125</td>\n",
" <td>29</td>\n",
" <td>2010-05-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-11-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-22</th>\n",
" <td>2010-12-22 00:00:00</td>\n",
" <td>130</td>\n",
" <td>29</td>\n",
" <td>2010-06-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2010-12-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-19</th>\n",
" <td>2011-01-19 00:00:00</td>\n",
" <td>126</td>\n",
" <td>28</td>\n",
" <td>2010-07-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-01-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-02-16</th>\n",
" <td>2011-02-16 00:00:00</td>\n",
" <td>124</td>\n",
" <td>30</td>\n",
" <td>2010-08-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-02-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-16</th>\n",
" <td>2011-03-16 00:00:00</td>\n",
" <td>124</td>\n",
" <td>29</td>\n",
" <td>2010-09-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-03-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-04-20</th>\n",
" <td>2011-04-20 00:00:00</td>\n",
" <td>126</td>\n",
" <td>30</td>\n",
" <td>2010-10-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-04-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-05-18</th>\n",
" <td>2011-05-18 00:00:00</td>\n",
" <td>123</td>\n",
" <td>30</td>\n",
" <td>2010-11-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-05-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-06-15</th>\n",
" <td>2011-06-15 00:00:00</td>\n",
" <td>120</td>\n",
" <td>30</td>\n",
" <td>2010-12-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-06-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-07-20</th>\n",
" <td>2011-07-20 00:00:00</td>\n",
" <td>124</td>\n",
" <td>30</td>\n",
" <td>2011-01-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-07-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-08-17</th>\n",
" <td>2011-08-17 00:00:00</td>\n",
" <td>124</td>\n",
" <td>29</td>\n",
" <td>2011-02-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-08-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-09-21</th>\n",
" <td>2011-09-21 00:00:00</td>\n",
" <td>129</td>\n",
" <td>33</td>\n",
" <td>2011-03-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-09-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-10-19</th>\n",
" <td>2011-10-19 00:00:00</td>\n",
" <td>126</td>\n",
" <td>33</td>\n",
" <td>2011-04-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-10-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-11-16</th>\n",
" <td>2011-11-16 00:00:00</td>\n",
" <td>125</td>\n",
" <td>33</td>\n",
" <td>2011-05-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-11-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-12-21</th>\n",
" <td>2011-12-21 00:00:00</td>\n",
" <td>130</td>\n",
" <td>33</td>\n",
" <td>2011-06-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2011-12-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-01-18</th>\n",
" <td>2012-01-18 00:00:00</td>\n",
" <td>128</td>\n",
" <td>37</td>\n",
" <td>2011-07-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-01-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-02-15</th>\n",
" <td>2012-02-15 00:00:00</td>\n",
" <td>123</td>\n",
" <td>35</td>\n",
" <td>2011-08-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-02-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-03-21</th>\n",
" <td>2012-03-21 00:00:00</td>\n",
" <td>125</td>\n",
" <td>38</td>\n",
" <td>2011-09-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-03-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-04-18</th>\n",
" <td>2012-04-18 00:00:00</td>\n",
" <td>122</td>\n",
" <td>39</td>\n",
" <td>2011-10-24 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-04-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-05-16</th>\n",
" <td>2012-05-16 00:00:00</td>\n",
" <td>122</td>\n",
" <td>40</td>\n",
" <td>2011-11-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-05-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-06-20</th>\n",
" <td>2012-06-20 00:00:00</td>\n",
" <td>127</td>\n",
" <td>41</td>\n",
" <td>2011-12-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-06-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-07-18</th>\n",
" <td>2012-07-18 00:00:00</td>\n",
" <td>124</td>\n",
" <td>39</td>\n",
" <td>2012-01-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-07-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-08-22</th>\n",
" <td>2012-08-22 00:00:00</td>\n",
" <td>129</td>\n",
" <td>39</td>\n",
" <td>2012-02-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-08-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-09-19</th>\n",
" <td>2012-09-19 00:00:00</td>\n",
" <td>126</td>\n",
" <td>37</td>\n",
" <td>2012-03-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-09-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-10-17</th>\n",
" <td>2012-10-17 00:00:00</td>\n",
" <td>125</td>\n",
" <td>35</td>\n",
" <td>2012-04-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-10-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-11-21</th>\n",
" <td>2012-11-21 00:00:00</td>\n",
" <td>128</td>\n",
" <td>39</td>\n",
" <td>2012-05-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-11-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2012-12-19</th>\n",
" <td>2012-12-19 00:00:00</td>\n",
" <td>128</td>\n",
" <td>35</td>\n",
" <td>2012-06-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2012-12-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-01-16</th>\n",
" <td>2013-01-16 00:00:00</td>\n",
" <td>122</td>\n",
" <td>35</td>\n",
" <td>2012-07-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-01-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-02-13</th>\n",
" <td>2013-02-13 00:00:00</td>\n",
" <td>118</td>\n",
" <td>36</td>\n",
" <td>2012-08-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-02-13 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-03-20</th>\n",
" <td>2013-03-20 00:00:00</td>\n",
" <td>123</td>\n",
" <td>36</td>\n",
" <td>2012-09-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-03-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-04-17</th>\n",
" <td>2013-04-17 00:00:00</td>\n",
" <td>122</td>\n",
" <td>36</td>\n",
" <td>2012-10-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-04-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-05-22</th>\n",
" <td>2013-05-22 00:00:00</td>\n",
" <td>124</td>\n",
" <td>36</td>\n",
" <td>2012-11-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-05-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-06-19</th>\n",
" <td>2013-06-19 00:00:00</td>\n",
" <td>124</td>\n",
" <td>36</td>\n",
" <td>2012-12-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-06-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-07-17</th>\n",
" <td>2013-07-17 00:00:00</td>\n",
" <td>125</td>\n",
" <td>36</td>\n",
" <td>2013-01-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-07-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-08-21</th>\n",
" <td>2013-08-21 00:00:00</td>\n",
" <td>131</td>\n",
" <td>36</td>\n",
" <td>2013-02-14 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-08-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-09-18</th>\n",
" <td>2013-09-18 00:00:00</td>\n",
" <td>126</td>\n",
" <td>36</td>\n",
" <td>2013-03-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-09-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-10-16</th>\n",
" <td>2013-10-16 00:00:00</td>\n",
" <td>127</td>\n",
" <td>33</td>\n",
" <td>2013-04-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-10-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-11-20</th>\n",
" <td>2013-11-20 00:00:00</td>\n",
" <td>127</td>\n",
" <td>33</td>\n",
" <td>2013-05-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-11-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2013-12-18</th>\n",
" <td>2013-12-18 00:00:00</td>\n",
" <td>127</td>\n",
" <td>33</td>\n",
" <td>2013-06-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2013-12-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-01-22</th>\n",
" <td>2014-01-22 00:00:00</td>\n",
" <td>130</td>\n",
" <td>33</td>\n",
" <td>2013-07-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-01-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-02-19</th>\n",
" <td>2014-02-19 00:00:00</td>\n",
" <td>124</td>\n",
" <td>33</td>\n",
" <td>2013-08-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-02-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-03-18</th>\n",
" <td>2014-03-18 00:00:00</td>\n",
" <td>124</td>\n",
" <td>33</td>\n",
" <td>2013-09-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-03-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-04-16</th>\n",
" <td>2014-04-16 00:00:00</td>\n",
" <td>125</td>\n",
" <td>33</td>\n",
" <td>2013-10-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-04-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-05-21</th>\n",
" <td>2014-05-21 00:00:00</td>\n",
" <td>124</td>\n",
" <td>33</td>\n",
" <td>2013-11-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-05-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-06-18</th>\n",
" <td>2014-06-18 00:00:00</td>\n",
" <td>124</td>\n",
" <td>38</td>\n",
" <td>2013-12-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-06-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-07-16</th>\n",
" <td>2014-07-16 00:00:00</td>\n",
" <td>121</td>\n",
" <td>38</td>\n",
" <td>2014-01-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-07-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-08-20</th>\n",
" <td>2014-08-20 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2014-02-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-08-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-09-17</th>\n",
" <td>2014-09-17 00:00:00</td>\n",
" <td>128</td>\n",
" <td>38</td>\n",
" <td>2014-03-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-09-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-10-22</th>\n",
" <td>2014-10-22 00:00:00</td>\n",
" <td>131</td>\n",
" <td>40</td>\n",
" <td>2014-04-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-10-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-11-19</th>\n",
" <td>2014-11-19 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2014-05-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-11-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2014-12-17</th>\n",
" <td>2014-12-17 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2014-06-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2014-12-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-01-21</th>\n",
" <td>2015-01-21 00:00:00</td>\n",
" <td>130</td>\n",
" <td>38</td>\n",
" <td>2014-07-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-01-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-02-18</th>\n",
" <td>2015-02-18 00:00:00</td>\n",
" <td>124</td>\n",
" <td>38</td>\n",
" <td>2014-08-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-02-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-03-18</th>\n",
" <td>2015-03-18 00:00:00</td>\n",
" <td>125</td>\n",
" <td>38</td>\n",
" <td>2014-09-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-03-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-04-15</th>\n",
" <td>2015-04-15 00:00:00</td>\n",
" <td>119</td>\n",
" <td>38</td>\n",
" <td>2014-10-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-04-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-05-20</th>\n",
" <td>2015-05-20 00:00:00</td>\n",
" <td>124</td>\n",
" <td>38</td>\n",
" <td>2014-11-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-05-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-06-17</th>\n",
" <td>2015-06-17 00:00:00</td>\n",
" <td>124</td>\n",
" <td>40</td>\n",
" <td>2014-12-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-06-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-07-22</th>\n",
" <td>2015-07-22 00:00:00</td>\n",
" <td>126</td>\n",
" <td>40</td>\n",
" <td>2015-01-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-07-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-08-19</th>\n",
" <td>2015-08-19 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2015-02-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-08-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-09-16</th>\n",
" <td>2015-09-16 00:00:00</td>\n",
" <td>126</td>\n",
" <td>40</td>\n",
" <td>2015-03-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-09-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-10-21</th>\n",
" <td>2015-10-21 00:00:00</td>\n",
" <td>132</td>\n",
" <td>40</td>\n",
" <td>2015-04-16 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-10-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-11-18</th>\n",
" <td>2015-11-18 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2015-05-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-11-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2015-12-16</th>\n",
" <td>2015-12-16 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2015-06-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2015-12-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-01-20</th>\n",
" <td>2016-01-20 00:00:00</td>\n",
" <td>125</td>\n",
" <td>38</td>\n",
" <td>2015-07-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-01-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-02-17</th>\n",
" <td>2016-02-17 00:00:00</td>\n",
" <td>124</td>\n",
" <td>38</td>\n",
" <td>2015-08-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-02-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-03-16</th>\n",
" <td>2016-03-16 00:00:00</td>\n",
" <td>125</td>\n",
" <td>38</td>\n",
" <td>2015-09-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-03-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-04-20</th>\n",
" <td>2016-04-20 00:00:00</td>\n",
" <td>124</td>\n",
" <td>40</td>\n",
" <td>2015-10-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-04-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-05-18</th>\n",
" <td>2016-05-18 00:00:00</td>\n",
" <td>124</td>\n",
" <td>38</td>\n",
" <td>2015-11-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-05-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-06-15</th>\n",
" <td>2016-06-15 00:00:00</td>\n",
" <td>124</td>\n",
" <td>38</td>\n",
" <td>2015-12-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-06-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-07-20</th>\n",
" <td>2016-07-20 00:00:00</td>\n",
" <td>126</td>\n",
" <td>40</td>\n",
" <td>2016-01-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-07-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-08-17</th>\n",
" <td>2016-08-17 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2016-02-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-08-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-09-21</th>\n",
" <td>2016-09-21 00:00:00</td>\n",
" <td>131</td>\n",
" <td>38</td>\n",
" <td>2016-03-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-09-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-10-19</th>\n",
" <td>2016-10-19 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2016-04-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-10-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-11-16</th>\n",
" <td>2016-11-16 00:00:00</td>\n",
" <td>127</td>\n",
" <td>38</td>\n",
" <td>2016-05-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-11-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-12-21</th>\n",
" <td>2016-12-21 00:00:00</td>\n",
" <td>132</td>\n",
" <td>38</td>\n",
" <td>2016-06-16 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2016-12-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-18</th>\n",
" <td>2017-01-18 00:00:00</td>\n",
" <td>125</td>\n",
" <td>38</td>\n",
" <td>2016-07-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-01-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-15</th>\n",
" <td>2017-02-15 00:00:00</td>\n",
" <td>125</td>\n",
" <td>38</td>\n",
" <td>2016-08-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-02-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-22</th>\n",
" <td>2017-03-22 00:00:00</td>\n",
" <td>125</td>\n",
" <td>38</td>\n",
" <td>2016-09-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-03-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-19</th>\n",
" <td>2017-04-19 00:00:00</td>\n",
" <td>124</td>\n",
" <td>38</td>\n",
" <td>2016-10-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-04-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-17</th>\n",
" <td>2017-05-17 00:00:00</td>\n",
" <td>124</td>\n",
" <td>40</td>\n",
" <td>2016-11-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-05-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-21</th>\n",
" <td>2017-06-21 00:00:00</td>\n",
" <td>124</td>\n",
" <td>40</td>\n",
" <td>2016-12-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-06-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-19</th>\n",
" <td>2017-07-19 00:00:00</td>\n",
" <td>126</td>\n",
" <td>40</td>\n",
" <td>2017-01-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-07-19 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-16</th>\n",
" <td>2017-08-16 00:00:00</td>\n",
" <td>126</td>\n",
" <td>40</td>\n",
" <td>2017-02-16 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-08-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-20</th>\n",
" <td>2017-09-20 00:00:00</td>\n",
" <td>126</td>\n",
" <td>40</td>\n",
" <td>2017-03-23 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-09-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-18</th>\n",
" <td>2017-10-18 00:00:00</td>\n",
" <td>127</td>\n",
" <td>41</td>\n",
" <td>2017-04-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-10-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-15</th>\n",
" <td>2017-11-15 00:00:00</td>\n",
" <td>127</td>\n",
" <td>41</td>\n",
" <td>2017-05-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-11-15 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-20</th>\n",
" <td>2017-12-20 00:00:00</td>\n",
" <td>127</td>\n",
" <td>41</td>\n",
" <td>2017-06-22 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2017-12-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-17</th>\n",
" <td>2018-01-17 00:00:00</td>\n",
" <td>125</td>\n",
" <td>41</td>\n",
" <td>2017-07-20 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-01-17 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-14</th>\n",
" <td>2018-02-14 00:00:00</td>\n",
" <td>125</td>\n",
" <td>41</td>\n",
" <td>2017-08-17 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-02-14 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-03-21</th>\n",
" <td>2018-03-21 00:00:00</td>\n",
" <td>125</td>\n",
" <td>41</td>\n",
" <td>2017-09-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-03-21 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-04-18</th>\n",
" <td>2018-04-18 00:00:00</td>\n",
" <td>124</td>\n",
" <td>42</td>\n",
" <td>2017-10-19 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-04-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-05-16</th>\n",
" <td>2018-05-16 00:00:00</td>\n",
" <td>124</td>\n",
" <td>41</td>\n",
" <td>2017-11-16 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-05-16 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-06-20</th>\n",
" <td>2018-06-20 00:00:00</td>\n",
" <td>124</td>\n",
" <td>41</td>\n",
" <td>2017-12-21 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-06-20 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-07-18</th>\n",
" <td>2018-07-18 00:00:00</td>\n",
" <td>126</td>\n",
" <td>40</td>\n",
" <td>2018-01-18 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-07-18 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-08-22</th>\n",
" <td>2018-08-22 00:00:00</td>\n",
" <td>131</td>\n",
" <td>40</td>\n",
" <td>2018-02-15 00:00:00</td>\n",
" <td>True</td>\n",
" <td>2018-08-22 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-09-19</th>\n",
" <td>2018-09-19 00:00:00</td>\n",
" <td>116</td>\n",
" <td>38</td>\n",
" <td>2018-03-22 00:00:00</td>\n",
" <td>False</td>\n",
" <td>2018-09-05 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-10-17</th>\n",
" <td>2018-10-17 00:00:00</td>\n",
" <td>97</td>\n",
" <td>38</td>\n",
" <td>2018-04-19 00:00:00</td>\n",
" <td>False</td>\n",
" <td>2018-09-05 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-11-21</th>\n",
" <td>2018-11-21 00:00:00</td>\n",
" <td>77</td>\n",
" <td>33</td>\n",
" <td>2018-05-17 00:00:00</td>\n",
" <td>False</td>\n",
" <td>2018-09-05 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-12-19</th>\n",
" <td>2018-12-19 00:00:00</td>\n",
" <td>53</td>\n",
" <td>33</td>\n",
" <td>2018-06-21 00:00:00</td>\n",
" <td>False</td>\n",
" <td>2018-09-05 00:00:00</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2019-01-16</th>\n",
" <td>2019-01-16 00:00:00</td>\n",
" <td>34</td>\n",
" <td>33</td>\n",
" <td>2018-07-19 00:00:00</td>\n",
" <td>False</td>\n",
" <td>2018-09-05 00:00:00</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" expiry #TradingDays #Strikes 1stTradingDate \\\n",
"2006-04-19 2006-04-19 00:00:00 37 5 2006-02-27 00:00:00 \n",
"2006-05-17 2006-05-17 00:00:00 57 8 2006-02-27 00:00:00 \n",
"2006-06-21 2006-06-21 00:00:00 36 7 2006-04-21 00:00:00 \n",
"2006-07-19 2006-07-19 00:00:00 36 18 2006-05-30 00:00:00 \n",
"2006-08-16 2006-08-16 00:00:00 94 20 2006-03-22 00:00:00 \n",
"2006-09-20 2006-09-20 00:00:00 40 12 2006-07-26 00:00:00 \n",
"2006-10-18 2006-10-18 00:00:00 40 14 2006-08-22 00:00:00 \n",
"2006-11-15 2006-11-15 00:00:00 158 21 2006-03-22 00:00:00 \n",
"2006-12-20 2006-12-20 00:00:00 62 15 2006-09-25 00:00:00 \n",
"2007-01-17 2007-01-17 00:00:00 57 16 2006-10-24 00:00:00 \n",
"2007-02-14 2007-02-14 00:00:00 215 22 2006-03-27 00:00:00 \n",
"2007-03-21 2007-03-21 00:00:00 60 21 2006-12-21 00:00:00 \n",
"2007-04-18 2007-04-18 00:00:00 59 20 2007-01-24 00:00:00 \n",
"2007-05-16 2007-05-16 00:00:00 241 29 2006-05-30 00:00:00 \n",
"2007-06-20 2007-06-20 00:00:00 63 16 2007-03-22 00:00:00 \n",
"2007-07-18 2007-07-18 00:00:00 59 15 2007-04-25 00:00:00 \n",
"2007-08-22 2007-08-22 00:00:00 208 21 2006-10-24 00:00:00 \n",
"2007-09-19 2007-09-19 00:00:00 83 22 2007-05-22 00:00:00 \n",
"2007-10-17 2007-10-17 00:00:00 80 22 2007-06-21 00:00:00 \n",
"2007-11-21 2007-11-21 00:00:00 249 23 2006-11-22 00:00:00 \n",
"2007-12-19 2007-12-19 00:00:00 80 23 2007-08-27 00:00:00 \n",
"2008-01-16 2008-01-16 00:00:00 79 18 2007-09-24 00:00:00 \n",
"2008-02-19 2008-02-19 00:00:00 119 23 2007-08-07 00:00:00 \n",
"2008-03-19 2008-03-19 00:00:00 98 22 2007-10-23 00:00:00 \n",
"2008-04-16 2008-04-16 00:00:00 74 20 2007-12-24 00:00:00 \n",
"2008-05-21 2008-05-21 00:00:00 167 23 2007-09-13 00:00:00 \n",
"2008-06-18 2008-06-18 00:00:00 98 22 2008-01-22 00:00:00 \n",
"2008-07-16 2008-07-16 00:00:00 79 17 2008-03-26 00:00:00 \n",
"2008-08-20 2008-08-20 00:00:00 180 22 2007-11-26 00:00:00 \n",
"2008-09-17 2008-09-17 00:00:00 105 23 2008-04-21 00:00:00 \n",
"2008-10-22 2008-10-22 00:00:00 107 27 2008-05-22 00:00:00 \n",
"2008-11-19 2008-11-19 00:00:00 191 28 2008-02-20 00:00:00 \n",
"2008-12-17 2008-12-17 00:00:00 125 25 2008-06-23 00:00:00 \n",
"2009-01-21 2009-01-21 00:00:00 128 22 2008-07-21 00:00:00 \n",
"2009-02-18 2009-02-18 00:00:00 123 23 2008-08-21 00:00:00 \n",
"2009-03-18 2009-03-18 00:00:00 123 21 2008-09-22 00:00:00 \n",
"2009-04-15 2009-04-15 00:00:00 119 18 2008-10-23 00:00:00 \n",
"2009-05-20 2009-05-20 00:00:00 122 18 2008-11-24 00:00:00 \n",
"2009-06-17 2009-06-17 00:00:00 120 19 2008-12-24 00:00:00 \n",
"2009-07-22 2009-07-22 00:00:00 126 19 2009-01-22 00:00:00 \n",
"2009-08-19 2009-08-19 00:00:00 125 20 2009-02-23 00:00:00 \n",
"2009-09-16 2009-09-16 00:00:00 122 20 2009-03-25 00:00:00 \n",
"2009-10-21 2009-10-21 00:00:00 130 20 2009-04-20 00:00:00 \n",
"2009-11-18 2009-11-18 00:00:00 133 22 2009-03-23 00:00:00 \n",
"2009-12-16 2009-12-16 00:00:00 125 24 2009-06-22 00:00:00 \n",
"2010-01-20 2010-01-20 00:00:00 124 25 2009-07-23 00:00:00 \n",
"2010-02-17 2010-02-17 00:00:00 122 25 2009-08-24 00:00:00 \n",
"2010-03-17 2010-03-17 00:00:00 123 51 2009-09-21 00:00:00 \n",
"2010-04-21 2010-04-21 00:00:00 123 51 2009-10-22 00:00:00 \n",
"2010-05-19 2010-05-19 00:00:00 122 49 2009-11-23 00:00:00 \n",
"2010-06-16 2010-06-16 00:00:00 122 50 2009-12-21 00:00:00 \n",
"2010-07-21 2010-07-21 00:00:00 126 51 2010-01-21 00:00:00 \n",
"2010-08-18 2010-08-18 00:00:00 125 51 2010-02-22 00:00:00 \n",
"2010-09-15 2010-09-15 00:00:00 124 31 2010-03-22 00:00:00 \n",
"2010-10-20 2010-10-20 00:00:00 127 32 2010-04-22 00:00:00 \n",
"2010-11-17 2010-11-17 00:00:00 125 29 2010-05-24 00:00:00 \n",
"2010-12-22 2010-12-22 00:00:00 130 29 2010-06-21 00:00:00 \n",
"2011-01-19 2011-01-19 00:00:00 126 28 2010-07-22 00:00:00 \n",
"2011-02-16 2011-02-16 00:00:00 124 30 2010-08-23 00:00:00 \n",
"2011-03-16 2011-03-16 00:00:00 124 29 2010-09-20 00:00:00 \n",
"2011-04-20 2011-04-20 00:00:00 126 30 2010-10-21 00:00:00 \n",
"2011-05-18 2011-05-18 00:00:00 123 30 2010-11-22 00:00:00 \n",
"2011-06-15 2011-06-15 00:00:00 120 30 2010-12-23 00:00:00 \n",
"2011-07-20 2011-07-20 00:00:00 124 30 2011-01-24 00:00:00 \n",
"2011-08-17 2011-08-17 00:00:00 124 29 2011-02-22 00:00:00 \n",
"2011-09-21 2011-09-21 00:00:00 129 33 2011-03-21 00:00:00 \n",
"2011-10-19 2011-10-19 00:00:00 126 33 2011-04-21 00:00:00 \n",
"2011-11-16 2011-11-16 00:00:00 125 33 2011-05-23 00:00:00 \n",
"2011-12-21 2011-12-21 00:00:00 130 33 2011-06-20 00:00:00 \n",
"2012-01-18 2012-01-18 00:00:00 128 37 2011-07-18 00:00:00 \n",
"2012-02-15 2012-02-15 00:00:00 123 35 2011-08-22 00:00:00 \n",
"2012-03-21 2012-03-21 00:00:00 125 38 2011-09-22 00:00:00 \n",
"2012-04-18 2012-04-18 00:00:00 122 39 2011-10-24 00:00:00 \n",
"2012-05-16 2012-05-16 00:00:00 122 40 2011-11-21 00:00:00 \n",
"2012-06-20 2012-06-20 00:00:00 127 41 2011-12-19 00:00:00 \n",
"2012-07-18 2012-07-18 00:00:00 124 39 2012-01-23 00:00:00 \n",
"2012-08-22 2012-08-22 00:00:00 129 39 2012-02-21 00:00:00 \n",
"2012-09-19 2012-09-19 00:00:00 126 37 2012-03-22 00:00:00 \n",
"2012-10-17 2012-10-17 00:00:00 125 35 2012-04-23 00:00:00 \n",
"2012-11-21 2012-11-21 00:00:00 128 39 2012-05-21 00:00:00 \n",
"2012-12-19 2012-12-19 00:00:00 128 35 2012-06-18 00:00:00 \n",
"2013-01-16 2013-01-16 00:00:00 122 35 2012-07-23 00:00:00 \n",
"2013-02-13 2013-02-13 00:00:00 118 36 2012-08-23 00:00:00 \n",
"2013-03-20 2013-03-20 00:00:00 123 36 2012-09-20 00:00:00 \n",
"2013-04-17 2013-04-17 00:00:00 122 36 2012-10-18 00:00:00 \n",
"2013-05-22 2013-05-22 00:00:00 124 36 2012-11-23 00:00:00 \n",
"2013-06-19 2013-06-19 00:00:00 124 36 2012-12-20 00:00:00 \n",
"2013-07-17 2013-07-17 00:00:00 125 36 2013-01-17 00:00:00 \n",
"2013-08-21 2013-08-21 00:00:00 131 36 2013-02-14 00:00:00 \n",
"2013-09-18 2013-09-18 00:00:00 126 36 2013-03-21 00:00:00 \n",
"2013-10-16 2013-10-16 00:00:00 127 33 2013-04-18 00:00:00 \n",
"2013-11-20 2013-11-20 00:00:00 127 33 2013-05-23 00:00:00 \n",
"2013-12-18 2013-12-18 00:00:00 127 33 2013-06-20 00:00:00 \n",
"2014-01-22 2014-01-22 00:00:00 130 33 2013-07-18 00:00:00 \n",
"2014-02-19 2014-02-19 00:00:00 124 33 2013-08-22 00:00:00 \n",
"2014-03-18 2014-03-18 00:00:00 124 33 2013-09-19 00:00:00 \n",
"2014-04-16 2014-04-16 00:00:00 125 33 2013-10-17 00:00:00 \n",
"2014-05-21 2014-05-21 00:00:00 124 33 2013-11-21 00:00:00 \n",
"2014-06-18 2014-06-18 00:00:00 124 38 2013-12-19 00:00:00 \n",
"2014-07-16 2014-07-16 00:00:00 121 38 2014-01-23 00:00:00 \n",
"2014-08-20 2014-08-20 00:00:00 127 38 2014-02-20 00:00:00 \n",
"2014-09-17 2014-09-17 00:00:00 128 38 2014-03-18 00:00:00 \n",
"2014-10-22 2014-10-22 00:00:00 131 40 2014-04-17 00:00:00 \n",
"2014-11-19 2014-11-19 00:00:00 127 38 2014-05-22 00:00:00 \n",
"2014-12-17 2014-12-17 00:00:00 127 38 2014-06-19 00:00:00 \n",
"2015-01-21 2015-01-21 00:00:00 130 38 2014-07-17 00:00:00 \n",
"2015-02-18 2015-02-18 00:00:00 124 38 2014-08-21 00:00:00 \n",
"2015-03-18 2015-03-18 00:00:00 125 38 2014-09-18 00:00:00 \n",
"2015-04-15 2015-04-15 00:00:00 119 38 2014-10-23 00:00:00 \n",
"2015-05-20 2015-05-20 00:00:00 124 38 2014-11-20 00:00:00 \n",
"2015-06-17 2015-06-17 00:00:00 124 40 2014-12-18 00:00:00 \n",
"2015-07-22 2015-07-22 00:00:00 126 40 2015-01-22 00:00:00 \n",
"2015-08-19 2015-08-19 00:00:00 127 38 2015-02-19 00:00:00 \n",
"2015-09-16 2015-09-16 00:00:00 126 40 2015-03-19 00:00:00 \n",
"2015-10-21 2015-10-21 00:00:00 132 40 2015-04-16 00:00:00 \n",
"2015-11-18 2015-11-18 00:00:00 127 38 2015-05-21 00:00:00 \n",
"2015-12-16 2015-12-16 00:00:00 127 38 2015-06-18 00:00:00 \n",
"2016-01-20 2016-01-20 00:00:00 125 38 2015-07-23 00:00:00 \n",
"2016-02-17 2016-02-17 00:00:00 124 38 2015-08-20 00:00:00 \n",
"2016-03-16 2016-03-16 00:00:00 125 38 2015-09-17 00:00:00 \n",
"2016-04-20 2016-04-20 00:00:00 124 40 2015-10-22 00:00:00 \n",
"2016-05-18 2016-05-18 00:00:00 124 38 2015-11-19 00:00:00 \n",
"2016-06-15 2016-06-15 00:00:00 124 38 2015-12-17 00:00:00 \n",
"2016-07-20 2016-07-20 00:00:00 126 40 2016-01-21 00:00:00 \n",
"2016-08-17 2016-08-17 00:00:00 127 38 2016-02-18 00:00:00 \n",
"2016-09-21 2016-09-21 00:00:00 131 38 2016-03-17 00:00:00 \n",
"2016-10-19 2016-10-19 00:00:00 127 38 2016-04-21 00:00:00 \n",
"2016-11-16 2016-11-16 00:00:00 127 38 2016-05-19 00:00:00 \n",
"2016-12-21 2016-12-21 00:00:00 132 38 2016-06-16 00:00:00 \n",
"2017-01-18 2017-01-18 00:00:00 125 38 2016-07-21 00:00:00 \n",
"2017-02-15 2017-02-15 00:00:00 125 38 2016-08-18 00:00:00 \n",
"2017-03-22 2017-03-22 00:00:00 125 38 2016-09-22 00:00:00 \n",
"2017-04-19 2017-04-19 00:00:00 124 38 2016-10-20 00:00:00 \n",
"2017-05-17 2017-05-17 00:00:00 124 40 2016-11-17 00:00:00 \n",
"2017-06-21 2017-06-21 00:00:00 124 40 2016-12-22 00:00:00 \n",
"2017-07-19 2017-07-19 00:00:00 126 40 2017-01-19 00:00:00 \n",
"2017-08-16 2017-08-16 00:00:00 126 40 2017-02-16 00:00:00 \n",
"2017-09-20 2017-09-20 00:00:00 126 40 2017-03-23 00:00:00 \n",
"2017-10-18 2017-10-18 00:00:00 127 41 2017-04-20 00:00:00 \n",
"2017-11-15 2017-11-15 00:00:00 127 41 2017-05-18 00:00:00 \n",
"2017-12-20 2017-12-20 00:00:00 127 41 2017-06-22 00:00:00 \n",
"2018-01-17 2018-01-17 00:00:00 125 41 2017-07-20 00:00:00 \n",
"2018-02-14 2018-02-14 00:00:00 125 41 2017-08-17 00:00:00 \n",
"2018-03-21 2018-03-21 00:00:00 125 41 2017-09-21 00:00:00 \n",
"2018-04-18 2018-04-18 00:00:00 124 42 2017-10-19 00:00:00 \n",
"2018-05-16 2018-05-16 00:00:00 124 41 2017-11-16 00:00:00 \n",
"2018-06-20 2018-06-20 00:00:00 124 41 2017-12-21 00:00:00 \n",
"2018-07-18 2018-07-18 00:00:00 126 40 2018-01-18 00:00:00 \n",
"2018-08-22 2018-08-22 00:00:00 131 40 2018-02-15 00:00:00 \n",
"2018-09-19 2018-09-19 00:00:00 116 38 2018-03-22 00:00:00 \n",
"2018-10-17 2018-10-17 00:00:00 97 38 2018-04-19 00:00:00 \n",
"2018-11-21 2018-11-21 00:00:00 77 33 2018-05-17 00:00:00 \n",
"2018-12-19 2018-12-19 00:00:00 53 33 2018-06-21 00:00:00 \n",
"2019-01-16 2019-01-16 00:00:00 34 33 2018-07-19 00:00:00 \n",
"\n",
" tradesOnExpiryDate? LastTradingDate \n",
"2006-04-19 True 2006-04-19 00:00:00 \n",
"2006-05-17 True 2006-05-17 00:00:00 \n",
"2006-06-21 True 2006-06-21 00:00:00 \n",
"2006-07-19 True 2006-07-19 00:00:00 \n",
"2006-08-16 True 2006-08-16 00:00:00 \n",
"2006-09-20 True 2006-09-20 00:00:00 \n",
"2006-10-18 True 2006-10-18 00:00:00 \n",
"2006-11-15 True 2006-11-15 00:00:00 \n",
"2006-12-20 True 2006-12-20 00:00:00 \n",
"2007-01-17 True 2007-01-17 00:00:00 \n",
"2007-02-14 True 2007-02-14 00:00:00 \n",
"2007-03-21 True 2007-03-21 00:00:00 \n",
"2007-04-18 True 2007-04-18 00:00:00 \n",
"2007-05-16 True 2007-05-16 00:00:00 \n",
"2007-06-20 True 2007-06-20 00:00:00 \n",
"2007-07-18 True 2007-07-18 00:00:00 \n",
"2007-08-22 True 2007-08-22 00:00:00 \n",
"2007-09-19 True 2007-09-19 00:00:00 \n",
"2007-10-17 True 2007-10-17 00:00:00 \n",
"2007-11-21 True 2007-11-21 00:00:00 \n",
"2007-12-19 True 2007-12-19 00:00:00 \n",
"2008-01-16 True 2008-01-16 00:00:00 \n",
"2008-02-19 True 2008-02-19 00:00:00 \n",
"2008-03-19 True 2008-03-19 00:00:00 \n",
"2008-04-16 True 2008-04-16 00:00:00 \n",
"2008-05-21 True 2008-05-21 00:00:00 \n",
"2008-06-18 True 2008-06-18 00:00:00 \n",
"2008-07-16 True 2008-07-16 00:00:00 \n",
"2008-08-20 True 2008-08-20 00:00:00 \n",
"2008-09-17 True 2008-09-17 00:00:00 \n",
"2008-10-22 True 2008-10-22 00:00:00 \n",
"2008-11-19 True 2008-11-19 00:00:00 \n",
"2008-12-17 True 2008-12-17 00:00:00 \n",
"2009-01-21 True 2009-01-21 00:00:00 \n",
"2009-02-18 True 2009-02-18 00:00:00 \n",
"2009-03-18 True 2009-03-18 00:00:00 \n",
"2009-04-15 True 2009-04-15 00:00:00 \n",
"2009-05-20 True 2009-05-20 00:00:00 \n",
"2009-06-17 True 2009-06-17 00:00:00 \n",
"2009-07-22 True 2009-07-22 00:00:00 \n",
"2009-08-19 True 2009-08-19 00:00:00 \n",
"2009-09-16 True 2009-09-16 00:00:00 \n",
"2009-10-21 True 2009-10-21 00:00:00 \n",
"2009-11-18 True 2009-11-18 00:00:00 \n",
"2009-12-16 True 2009-12-16 00:00:00 \n",
"2010-01-20 True 2010-01-20 00:00:00 \n",
"2010-02-17 True 2010-02-17 00:00:00 \n",
"2010-03-17 True 2010-03-17 00:00:00 \n",
"2010-04-21 True 2010-04-21 00:00:00 \n",
"2010-05-19 True 2010-05-19 00:00:00 \n",
"2010-06-16 True 2010-06-16 00:00:00 \n",
"2010-07-21 True 2010-07-21 00:00:00 \n",
"2010-08-18 True 2010-08-18 00:00:00 \n",
"2010-09-15 True 2010-09-15 00:00:00 \n",
"2010-10-20 True 2010-10-20 00:00:00 \n",
"2010-11-17 True 2010-11-17 00:00:00 \n",
"2010-12-22 True 2010-12-22 00:00:00 \n",
"2011-01-19 True 2011-01-19 00:00:00 \n",
"2011-02-16 True 2011-02-16 00:00:00 \n",
"2011-03-16 True 2011-03-16 00:00:00 \n",
"2011-04-20 True 2011-04-20 00:00:00 \n",
"2011-05-18 True 2011-05-18 00:00:00 \n",
"2011-06-15 True 2011-06-15 00:00:00 \n",
"2011-07-20 True 2011-07-20 00:00:00 \n",
"2011-08-17 True 2011-08-17 00:00:00 \n",
"2011-09-21 True 2011-09-21 00:00:00 \n",
"2011-10-19 True 2011-10-19 00:00:00 \n",
"2011-11-16 True 2011-11-16 00:00:00 \n",
"2011-12-21 True 2011-12-21 00:00:00 \n",
"2012-01-18 True 2012-01-18 00:00:00 \n",
"2012-02-15 True 2012-02-15 00:00:00 \n",
"2012-03-21 True 2012-03-21 00:00:00 \n",
"2012-04-18 True 2012-04-18 00:00:00 \n",
"2012-05-16 True 2012-05-16 00:00:00 \n",
"2012-06-20 True 2012-06-20 00:00:00 \n",
"2012-07-18 True 2012-07-18 00:00:00 \n",
"2012-08-22 True 2012-08-22 00:00:00 \n",
"2012-09-19 True 2012-09-19 00:00:00 \n",
"2012-10-17 True 2012-10-17 00:00:00 \n",
"2012-11-21 True 2012-11-21 00:00:00 \n",
"2012-12-19 True 2012-12-19 00:00:00 \n",
"2013-01-16 True 2013-01-16 00:00:00 \n",
"2013-02-13 True 2013-02-13 00:00:00 \n",
"2013-03-20 True 2013-03-20 00:00:00 \n",
"2013-04-17 True 2013-04-17 00:00:00 \n",
"2013-05-22 True 2013-05-22 00:00:00 \n",
"2013-06-19 True 2013-06-19 00:00:00 \n",
"2013-07-17 True 2013-07-17 00:00:00 \n",
"2013-08-21 True 2013-08-21 00:00:00 \n",
"2013-09-18 True 2013-09-18 00:00:00 \n",
"2013-10-16 True 2013-10-16 00:00:00 \n",
"2013-11-20 True 2013-11-20 00:00:00 \n",
"2013-12-18 True 2013-12-18 00:00:00 \n",
"2014-01-22 True 2014-01-22 00:00:00 \n",
"2014-02-19 True 2014-02-19 00:00:00 \n",
"2014-03-18 True 2014-03-18 00:00:00 \n",
"2014-04-16 True 2014-04-16 00:00:00 \n",
"2014-05-21 True 2014-05-21 00:00:00 \n",
"2014-06-18 True 2014-06-18 00:00:00 \n",
"2014-07-16 True 2014-07-16 00:00:00 \n",
"2014-08-20 True 2014-08-20 00:00:00 \n",
"2014-09-17 True 2014-09-17 00:00:00 \n",
"2014-10-22 True 2014-10-22 00:00:00 \n",
"2014-11-19 True 2014-11-19 00:00:00 \n",
"2014-12-17 True 2014-12-17 00:00:00 \n",
"2015-01-21 True 2015-01-21 00:00:00 \n",
"2015-02-18 True 2015-02-18 00:00:00 \n",
"2015-03-18 True 2015-03-18 00:00:00 \n",
"2015-04-15 True 2015-04-15 00:00:00 \n",
"2015-05-20 True 2015-05-20 00:00:00 \n",
"2015-06-17 True 2015-06-17 00:00:00 \n",
"2015-07-22 True 2015-07-22 00:00:00 \n",
"2015-08-19 True 2015-08-19 00:00:00 \n",
"2015-09-16 True 2015-09-16 00:00:00 \n",
"2015-10-21 True 2015-10-21 00:00:00 \n",
"2015-11-18 True 2015-11-18 00:00:00 \n",
"2015-12-16 True 2015-12-16 00:00:00 \n",
"2016-01-20 True 2016-01-20 00:00:00 \n",
"2016-02-17 True 2016-02-17 00:00:00 \n",
"2016-03-16 True 2016-03-16 00:00:00 \n",
"2016-04-20 True 2016-04-20 00:00:00 \n",
"2016-05-18 True 2016-05-18 00:00:00 \n",
"2016-06-15 True 2016-06-15 00:00:00 \n",
"2016-07-20 True 2016-07-20 00:00:00 \n",
"2016-08-17 True 2016-08-17 00:00:00 \n",
"2016-09-21 True 2016-09-21 00:00:00 \n",
"2016-10-19 True 2016-10-19 00:00:00 \n",
"2016-11-16 True 2016-11-16 00:00:00 \n",
"2016-12-21 True 2016-12-21 00:00:00 \n",
"2017-01-18 True 2017-01-18 00:00:00 \n",
"2017-02-15 True 2017-02-15 00:00:00 \n",
"2017-03-22 True 2017-03-22 00:00:00 \n",
"2017-04-19 True 2017-04-19 00:00:00 \n",
"2017-05-17 True 2017-05-17 00:00:00 \n",
"2017-06-21 True 2017-06-21 00:00:00 \n",
"2017-07-19 True 2017-07-19 00:00:00 \n",
"2017-08-16 True 2017-08-16 00:00:00 \n",
"2017-09-20 True 2017-09-20 00:00:00 \n",
"2017-10-18 True 2017-10-18 00:00:00 \n",
"2017-11-15 True 2017-11-15 00:00:00 \n",
"2017-12-20 True 2017-12-20 00:00:00 \n",
"2018-01-17 True 2018-01-17 00:00:00 \n",
"2018-02-14 True 2018-02-14 00:00:00 \n",
"2018-03-21 True 2018-03-21 00:00:00 \n",
"2018-04-18 True 2018-04-18 00:00:00 \n",
"2018-05-16 True 2018-05-16 00:00:00 \n",
"2018-06-20 True 2018-06-20 00:00:00 \n",
"2018-07-18 True 2018-07-18 00:00:00 \n",
"2018-08-22 True 2018-08-22 00:00:00 \n",
"2018-09-19 False 2018-09-05 00:00:00 \n",
"2018-10-17 False 2018-09-05 00:00:00 \n",
"2018-11-21 False 2018-09-05 00:00:00 \n",
"2018-12-19 False 2018-09-05 00:00:00 \n",
"2019-01-16 False 2018-09-05 00:00:00 "
]
},
"execution_count": 14,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"inspector = pd.DataFrame(inspection).T\n",
"inspector.columns = [\n",
" 'expiry',\n",
" '#TradingDays',\n",
" '#Strikes',\n",
" '1stTradingDate',\n",
" 'tradesOnExpiryDate?',\n",
" 'LastTradingDate',\n",
"]\n",
"inspector = inspector[(inspector.index != '2008-02-20')]\n",
"#options = options[(options.root == 'VIX')]\n",
"inspector.to_csv('../data/Options/inspector.csv',index=False)\n",
"inspector"
]
},
{
"cell_type": "code",
"execution_count": 15,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:14:27.453517Z",
"start_time": "2018-10-04T08:14:26.328492Z"
}
},
"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>expiries</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2006-04-19</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2006-05-17</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2006-06-21</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2006-07-19</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2006-08-16</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" expiries\n",
"0 2006-04-19\n",
"1 2006-05-17\n",
"2 2006-06-21\n",
"3 2006-07-19\n",
"4 2006-08-16"
]
},
"execution_count": 15,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"expiries = pd.read_csv('../data/Options/expiries.csv',header=0,parse_dates=[\"expiries\"])\n",
"expiries.head()"
]
},
{
"cell_type": "code",
"execution_count": 16,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:14:27.627017Z",
"start_time": "2018-10-04T08:14:27.454478Z"
}
},
"outputs": [
{
"data": {
"text/plain": [
"((1046141, 26), 154)"
]
},
"execution_count": 16,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"options=options[(options.expiration.isin(expiries.expiries))]\n",
"options.shape,len(options.expiration.unique())"
]
},
{
"cell_type": "code",
"execution_count": 17,
"metadata": {},
"outputs": [
{
"data": {
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"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>underlying_symbol</th>\n",
" <th>quote_date</th>\n",
" <th>root</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>option_type</th>\n",
" <th>open</th>\n",
" <th>high</th>\n",
" <th>low</th>\n",
" <th>close</th>\n",
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" <th>bid_1545</th>\n",
" <th>ask_size_1545</th>\n",
" <th>ask_1545</th>\n",
" <th>underlying_bid_1545</th>\n",
" <th>underlying_ask_1545</th>\n",
" <th>bid_size_eod</th>\n",
" <th>bid_eod</th>\n",
" <th>ask_size_eod</th>\n",
" <th>ask_eod</th>\n",
" <th>underlying_bid_eod</th>\n",
" <th>underlying_ask_eod</th>\n",
" <th>vwap</th>\n",
" <th>open_interest</th>\n",
" <th>delivery_code</th>\n",
" <th>futures</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>18</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>c</td>\n",
" <td>2.80</td>\n",
" <td>2.80</td>\n",
" <td>2.8</td>\n",
" <td>2.8</td>\n",
" <td>10.0</td>\n",
" <td>1.0</td>\n",
" <td>2.70</td>\n",
" <td>50.0</td>\n",
" <td>2.90</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>1.0</td>\n",
" <td>2.70</td>\n",
" <td>10.0</td>\n",
" <td>3.20</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>2.80</td>\n",
" <td>23.0</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>19</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>50.0</td>\n",
" <td>0.15</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>50.0</td>\n",
" <td>0.15</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>20</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>c</td>\n",
" <td>1.15</td>\n",
" <td>1.15</td>\n",
" <td>1.1</td>\n",
" <td>1.1</td>\n",
" <td>30.0</td>\n",
" <td>10.0</td>\n",
" <td>1.15</td>\n",
" <td>50.0</td>\n",
" <td>1.20</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>1.15</td>\n",
" <td>10.0</td>\n",
" <td>1.45</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>1.13</td>\n",
" <td>560.0</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>21</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>0.75</td>\n",
" <td>1.0</td>\n",
" <td>0.90</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>0.50</td>\n",
" <td>10.0</td>\n",
" <td>1.25</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>0.00</td>\n",
" <td>975.0</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>22</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>c</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
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" <td>11.59</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>0</td>\n",
" </tr>\n",
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"</table>\n",
"</div>"
],
"text/plain": [
" underlying_symbol quote_date root expiration strike option_type open \\\n",
"18 ^VIX 2006-02-27 VIX 2006-04-19 10.0 c 2.80 \n",
"19 ^VIX 2006-02-27 VIX 2006-04-19 10.0 p 0.00 \n",
"20 ^VIX 2006-02-27 VIX 2006-04-19 12.5 c 1.15 \n",
"21 ^VIX 2006-02-27 VIX 2006-04-19 12.5 p 0.00 \n",
"22 ^VIX 2006-02-27 VIX 2006-04-19 12.5 c 0.00 \n",
"\n",
" high low close trade_volume bid_size_1545 bid_1545 ask_size_1545 \\\n",
"18 2.80 2.8 2.8 10.0 1.0 2.70 50.0 \n",
"19 0.00 0.0 0.0 0.0 0.0 0.00 50.0 \n",
"20 1.15 1.1 1.1 30.0 10.0 1.15 50.0 \n",
"21 0.00 0.0 0.0 0.0 50.0 0.75 1.0 \n",
"22 0.00 0.0 0.0 0.0 0.0 0.00 0.0 \n",
"\n",
" ask_1545 underlying_bid_1545 underlying_ask_1545 bid_size_eod bid_eod \\\n",
"18 2.90 11.47 11.47 1.0 2.70 \n",
"19 0.15 11.47 11.47 0.0 0.00 \n",
"20 1.20 11.47 11.47 10.0 1.15 \n",
"21 0.90 11.47 11.47 10.0 0.50 \n",
"22 0.00 11.47 11.47 0.0 0.00 \n",
"\n",
" ask_size_eod ask_eod underlying_bid_eod underlying_ask_eod vwap \\\n",
"18 10.0 3.20 11.59 11.59 2.80 \n",
"19 50.0 0.15 11.59 11.59 0.00 \n",
"20 10.0 1.45 11.59 11.59 1.13 \n",
"21 10.0 1.25 11.59 11.59 0.00 \n",
"22 0.0 0.00 11.59 11.59 0.00 \n",
"\n",
" open_interest delivery_code futures \n",
"18 23.0 0 0 \n",
"19 0.0 0 0 \n",
"20 560.0 0 0 \n",
"21 975.0 0 0 \n",
"22 0.0 0 0 "
]
},
"execution_count": 17,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"options['futures']=0\n",
"options.head()"
]
},
{
"cell_type": "code",
"execution_count": 18,
"metadata": {},
"outputs": [],
"source": [
"grouped=options.groupby(['expiration','quote_date'])"
]
},
{
"cell_type": "code",
"execution_count": 19,
"metadata": {},
"outputs": [],
"source": [
"for expiration, quote_date in grouped:\n",
" tester = quote_date.copy()\n",
" tester['ftest'] = tester.ask_eod.shift()\n",
" puts_tester = tester[(tester.option_type == 'p')]\n",
" puts_tester = puts_tester[(puts_tester.ask_eod > 0)\n",
" & (puts_tester.ftest > 0)]\n",
" puts_tester['atm_calc'] = ((abs(puts_tester.ask_eod - puts_tester.ftest)))\n",
" abb = puts_tester.loc[puts_tester['atm_calc'] ==\n",
" puts_tester.atm_calc.min()].index\n",
" if not abb.empty: tester['futures'] = puts_tester.strike.loc[abb].values[0]\n",
" mapping = list(tester.index.values)\n",
" options.loc[(mapping, 'futures')] = tester['futures']"
]
},
{
"cell_type": "code",
"execution_count": 20,
"metadata": {},
"outputs": [
{
"data": {
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" <th>underlying_bid_1545</th>\n",
" <th>underlying_ask_1545</th>\n",
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" <th>bid_eod</th>\n",
" <th>ask_size_eod</th>\n",
" <th>ask_eod</th>\n",
" <th>underlying_bid_eod</th>\n",
" <th>underlying_ask_eod</th>\n",
" <th>vwap</th>\n",
" <th>open_interest</th>\n",
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" <th>futures</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>18</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>c</td>\n",
" <td>2.80</td>\n",
" <td>2.80</td>\n",
" <td>2.8</td>\n",
" <td>2.8</td>\n",
" <td>10.0</td>\n",
" <td>1.0</td>\n",
" <td>2.70</td>\n",
" <td>50.0</td>\n",
" <td>2.90</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>1.0</td>\n",
" <td>2.70</td>\n",
" <td>10.0</td>\n",
" <td>3.20</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>2.80</td>\n",
" <td>23.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" </tr>\n",
" <tr>\n",
" <th>19</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>50.0</td>\n",
" <td>0.15</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>50.0</td>\n",
" <td>0.15</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" </tr>\n",
" <tr>\n",
" <th>20</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>c</td>\n",
" <td>1.15</td>\n",
" <td>1.15</td>\n",
" <td>1.1</td>\n",
" <td>1.1</td>\n",
" <td>30.0</td>\n",
" <td>10.0</td>\n",
" <td>1.15</td>\n",
" <td>50.0</td>\n",
" <td>1.20</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>1.15</td>\n",
" <td>10.0</td>\n",
" <td>1.45</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>1.13</td>\n",
" <td>560.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" </tr>\n",
" <tr>\n",
" <th>21</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>0.75</td>\n",
" <td>1.0</td>\n",
" <td>0.90</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>0.50</td>\n",
" <td>10.0</td>\n",
" <td>1.25</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>0.00</td>\n",
" <td>975.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" </tr>\n",
" <tr>\n",
" <th>22</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>c</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>11.59</td>\n",
" <td>11.59</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" underlying_symbol quote_date root expiration strike option_type open \\\n",
"18 ^VIX 2006-02-27 VIX 2006-04-19 10.0 c 2.80 \n",
"19 ^VIX 2006-02-27 VIX 2006-04-19 10.0 p 0.00 \n",
"20 ^VIX 2006-02-27 VIX 2006-04-19 12.5 c 1.15 \n",
"21 ^VIX 2006-02-27 VIX 2006-04-19 12.5 p 0.00 \n",
"22 ^VIX 2006-02-27 VIX 2006-04-19 12.5 c 0.00 \n",
"\n",
" high low close trade_volume bid_size_1545 bid_1545 ask_size_1545 \\\n",
"18 2.80 2.8 2.8 10.0 1.0 2.70 50.0 \n",
"19 0.00 0.0 0.0 0.0 0.0 0.00 50.0 \n",
"20 1.15 1.1 1.1 30.0 10.0 1.15 50.0 \n",
"21 0.00 0.0 0.0 0.0 50.0 0.75 1.0 \n",
"22 0.00 0.0 0.0 0.0 0.0 0.00 0.0 \n",
"\n",
" ask_1545 underlying_bid_1545 underlying_ask_1545 bid_size_eod bid_eod \\\n",
"18 2.90 11.47 11.47 1.0 2.70 \n",
"19 0.15 11.47 11.47 0.0 0.00 \n",
"20 1.20 11.47 11.47 10.0 1.15 \n",
"21 0.90 11.47 11.47 10.0 0.50 \n",
"22 0.00 11.47 11.47 0.0 0.00 \n",
"\n",
" ask_size_eod ask_eod underlying_bid_eod underlying_ask_eod vwap \\\n",
"18 10.0 3.20 11.59 11.59 2.80 \n",
"19 50.0 0.15 11.59 11.59 0.00 \n",
"20 10.0 1.45 11.59 11.59 1.13 \n",
"21 10.0 1.25 11.59 11.59 0.00 \n",
"22 0.0 0.00 11.59 11.59 0.00 \n",
"\n",
" open_interest delivery_code futures \n",
"18 23.0 0 12.5 \n",
"19 0.0 0 12.5 \n",
"20 560.0 0 12.5 \n",
"21 975.0 0 12.5 \n",
"22 0.0 0 12.5 "
]
},
"execution_count": 20,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"options.head()"
]
},
{
"cell_type": "code",
"execution_count": 21,
"metadata": {},
"outputs": [
{
"data": {
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"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>underlying_symbol</th>\n",
" <th>quote_date</th>\n",
" <th>root</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>option_type</th>\n",
" <th>open</th>\n",
" <th>high</th>\n",
" <th>low</th>\n",
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" <th>bid_1545</th>\n",
" <th>ask_size_1545</th>\n",
" <th>ask_1545</th>\n",
" <th>underlying_bid_1545</th>\n",
" <th>underlying_ask_1545</th>\n",
" <th>bid_size_eod</th>\n",
" <th>ask_size_eod</th>\n",
" <th>vwap</th>\n",
" <th>open_interest</th>\n",
" <th>delivery_code</th>\n",
" <th>futures</th>\n",
" <th>mid_eod</th>\n",
" <th>mid_underlying</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>18</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>c</td>\n",
" <td>2.80</td>\n",
" <td>2.80</td>\n",
" <td>2.8</td>\n",
" <td>2.8</td>\n",
" <td>10.0</td>\n",
" <td>1.0</td>\n",
" <td>2.70</td>\n",
" <td>50.0</td>\n",
" <td>2.90</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>1.0</td>\n",
" <td>10.0</td>\n",
" <td>2.80</td>\n",
" <td>23.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>2.950</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>19</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>50.0</td>\n",
" <td>0.15</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>0.075</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>20</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>c</td>\n",
" <td>1.15</td>\n",
" <td>1.15</td>\n",
" <td>1.1</td>\n",
" <td>1.1</td>\n",
" <td>30.0</td>\n",
" <td>10.0</td>\n",
" <td>1.15</td>\n",
" <td>50.0</td>\n",
" <td>1.20</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>10.0</td>\n",
" <td>1.13</td>\n",
" <td>560.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>1.300</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>21</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>p</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>0.75</td>\n",
" <td>1.0</td>\n",
" <td>0.90</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>10.0</td>\n",
" <td>0.00</td>\n",
" <td>975.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>0.875</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>22</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>c</td>\n",
" <td>0.00</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>0.000</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" underlying_symbol quote_date root expiration strike option_type open \\\n",
"18 ^VIX 2006-02-27 VIX 2006-04-19 10.0 c 2.80 \n",
"19 ^VIX 2006-02-27 VIX 2006-04-19 10.0 p 0.00 \n",
"20 ^VIX 2006-02-27 VIX 2006-04-19 12.5 c 1.15 \n",
"21 ^VIX 2006-02-27 VIX 2006-04-19 12.5 p 0.00 \n",
"22 ^VIX 2006-02-27 VIX 2006-04-19 12.5 c 0.00 \n",
"\n",
" high low close trade_volume bid_size_1545 bid_1545 ask_size_1545 \\\n",
"18 2.80 2.8 2.8 10.0 1.0 2.70 50.0 \n",
"19 0.00 0.0 0.0 0.0 0.0 0.00 50.0 \n",
"20 1.15 1.1 1.1 30.0 10.0 1.15 50.0 \n",
"21 0.00 0.0 0.0 0.0 50.0 0.75 1.0 \n",
"22 0.00 0.0 0.0 0.0 0.0 0.00 0.0 \n",
"\n",
" ask_1545 underlying_bid_1545 underlying_ask_1545 bid_size_eod \\\n",
"18 2.90 11.47 11.47 1.0 \n",
"19 0.15 11.47 11.47 0.0 \n",
"20 1.20 11.47 11.47 10.0 \n",
"21 0.90 11.47 11.47 10.0 \n",
"22 0.00 11.47 11.47 0.0 \n",
"\n",
" ask_size_eod vwap open_interest delivery_code futures mid_eod \\\n",
"18 10.0 2.80 23.0 0 12.5 2.950 \n",
"19 50.0 0.00 0.0 0 12.5 0.075 \n",
"20 10.0 1.13 560.0 0 12.5 1.300 \n",
"21 10.0 0.00 975.0 0 12.5 0.875 \n",
"22 0.0 0.00 0.0 0 12.5 0.000 \n",
"\n",
" mid_underlying \n",
"18 11.59 \n",
"19 11.59 \n",
"20 11.59 \n",
"21 11.59 \n",
"22 11.59 "
]
},
"execution_count": 21,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"#we want to use mid prices so calculate these and delete the bid/offer prices.\n",
"#options['mid_eod'] = (options.vwap)\n",
"options['mid_eod'] = (options.bid_eod + options.ask_eod) / 2\n",
"options['mid_underlying'] = (\n",
" options.underlying_bid_eod + options.underlying_ask_eod) / 2\n",
"options.drop(\n",
" columns=['bid_eod', 'ask_eod', 'underlying_bid_eod', 'underlying_ask_eod'],\n",
" inplace=True)\n",
"options.head()"
]
},
{
"cell_type": "code",
"execution_count": 22,
"metadata": {},
"outputs": [],
"source": [
"options.to_csv('../data/Options/vix_w_futures.csv',index=False) "
]
},
{
"cell_type": "code",
"execution_count": 23,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:29:42.187686Z",
"start_time": "2018-10-04T08:29:30.206742Z"
}
},
"outputs": [
{
"data": {
"text/html": [
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"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>underlying_symbol</th>\n",
" <th>quote_date</th>\n",
" <th>root</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>option_type</th>\n",
" <th>open</th>\n",
" <th>high</th>\n",
" <th>low</th>\n",
" <th>close</th>\n",
" <th>trade_volume</th>\n",
" <th>bid_size_1545</th>\n",
" <th>bid_1545</th>\n",
" <th>ask_size_1545</th>\n",
" <th>ask_1545</th>\n",
" <th>underlying_bid_1545</th>\n",
" <th>underlying_ask_1545</th>\n",
" <th>bid_size_eod</th>\n",
" <th>ask_size_eod</th>\n",
" <th>vwap</th>\n",
" <th>open_interest</th>\n",
" <th>delivery_code</th>\n",
" <th>futures</th>\n",
" <th>mid_eod</th>\n",
" <th>mid_underlying</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>p</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>50.0</td>\n",
" <td>0.15</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>0.075</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>p</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>0.75</td>\n",
" <td>1.0</td>\n",
" <td>0.90</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>10.0</td>\n",
" <td>0.0</td>\n",
" <td>975.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>0.875</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>p</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>0.000</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>p</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>2.55</td>\n",
" <td>50.0</td>\n",
" <td>2.85</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>10.0</td>\n",
" <td>10.0</td>\n",
" <td>0.0</td>\n",
" <td>50.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>2.700</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>^VIX</td>\n",
" <td>2006-02-27</td>\n",
" <td>VIX</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>p</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>0.0</td>\n",
" <td>0.00</td>\n",
" <td>11.47</td>\n",
" <td>11.47</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>12.5</td>\n",
" <td>0.000</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" underlying_symbol quote_date root expiration strike option_type open \\\n",
"0 ^VIX 2006-02-27 VIX 2006-04-19 10.0 p 0.0 \n",
"1 ^VIX 2006-02-27 VIX 2006-04-19 12.5 p 0.0 \n",
"2 ^VIX 2006-02-27 VIX 2006-04-19 12.5 p 0.0 \n",
"3 ^VIX 2006-02-27 VIX 2006-04-19 15.0 p 0.0 \n",
"4 ^VIX 2006-02-27 VIX 2006-04-19 15.0 p 0.0 \n",
"\n",
" high low close trade_volume bid_size_1545 bid_1545 ask_size_1545 \\\n",
"0 0.0 0.0 0.0 0.0 0.0 0.00 50.0 \n",
"1 0.0 0.0 0.0 0.0 50.0 0.75 1.0 \n",
"2 0.0 0.0 0.0 0.0 0.0 0.00 0.0 \n",
"3 0.0 0.0 0.0 0.0 50.0 2.55 50.0 \n",
"4 0.0 0.0 0.0 0.0 0.0 0.00 0.0 \n",
"\n",
" ask_1545 underlying_bid_1545 underlying_ask_1545 bid_size_eod \\\n",
"0 0.15 11.47 11.47 0.0 \n",
"1 0.90 11.47 11.47 10.0 \n",
"2 0.00 11.47 11.47 0.0 \n",
"3 2.85 11.47 11.47 10.0 \n",
"4 0.00 11.47 11.47 0.0 \n",
"\n",
" ask_size_eod vwap open_interest delivery_code futures mid_eod \\\n",
"0 50.0 0.0 0.0 0 12.5 0.075 \n",
"1 10.0 0.0 975.0 0 12.5 0.875 \n",
"2 0.0 0.0 0.0 0 12.5 0.000 \n",
"3 10.0 0.0 50.0 0 12.5 2.700 \n",
"4 0.0 0.0 0.0 0 12.5 0.000 \n",
"\n",
" mid_underlying \n",
"0 11.59 \n",
"1 11.59 \n",
"2 11.59 \n",
"3 11.59 \n",
"4 11.59 "
]
},
"execution_count": 23,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"#save puts only file to CSV and re-index \n",
"puts_file='../data/Options/vixPuts.csv'\n",
"#puts_file='../data/Options/vxxPuts.csv'\n",
"puts=options[(options.option_type == 'p')]\n",
"puts.index = pd.RangeIndex(len(puts.index))\n",
"puts.to_csv(puts_file,index=False)\n",
"puts.head(5)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:29:54.609467Z",
"start_time": "2018-10-04T08:29:42.189675Z"
}
},
"outputs": [],
"source": [
"#save calls only file to CSV and re-index\n",
"#calls_file='../data/Options/vxxCalls.csv'\n",
"calls_file='../data/Options/vixCalls.csv'\n",
"calls=options[(options.option_type == 'c')]\n",
"calls.index = pd.RangeIndex(len(calls.index))\n",
"calls.to_csv(calls_file,index=False)\n",
"calls.head()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:29:54.620414Z",
"start_time": "2018-10-04T08:29:54.611433Z"
}
},
"outputs": [],
"source": [
"calls.strike.count(),puts.strike.count()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-04T08:29:54.670334Z",
"start_time": "2018-10-04T08:29:54.622402Z"
}
},
"outputs": [],
"source": [
"calls.tail(50)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
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