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AnthonyFJGarner/Options_Roll_vix.ipynb

Created October 26, 2018 08:42
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Rolling VIX Options
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Options_Roll_vix.ipynb
{
"cells": [
{
"cell_type": "code",
"execution_count": 2,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-18T12:45:44.192244Z",
"start_time": "2018-10-18T12:45:43.850069Z"
}
},
"outputs": [],
"source": [
"#Imports\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 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": 3,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-18T16:21:37.413860Z",
"start_time": "2018-10-18T16:21:37.351988Z"
}
},
"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>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>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>1</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>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>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>3</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>4</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",
"0 ^VIX 2006-02-27 VIX 2006-04-19 10.0 c 2.80 \n",
"1 ^VIX 2006-02-27 VIX 2006-04-19 10.0 p 0.00 \n",
"2 ^VIX 2006-02-27 VIX 2006-04-19 12.5 c 1.15 \n",
"3 ^VIX 2006-02-27 VIX 2006-04-19 12.5 p 0.00 \n",
"4 ^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",
"0 2.80 2.8 2.8 10.0 1.0 2.70 50.0 \n",
"1 0.00 0.0 0.0 0.0 0.0 0.00 50.0 \n",
"2 1.15 1.1 1.1 30.0 10.0 1.15 50.0 \n",
"3 0.00 0.0 0.0 0.0 50.0 0.75 1.0 \n",
"4 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",
"0 2.90 11.47 11.47 1.0 \n",
"1 0.15 11.47 11.47 0.0 \n",
"2 1.20 11.47 11.47 10.0 \n",
"3 0.90 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 10.0 2.80 23.0 0 12.5 2.950 \n",
"1 50.0 0.00 0.0 0 12.5 0.075 \n",
"2 10.0 1.13 560.0 0 12.5 1.300 \n",
"3 10.0 0.00 975.0 0 12.5 0.875 \n",
"4 0.0 0.00 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": 3,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"options_data = '../data/Options/vix_w_futures.csv'\n",
"\n",
"options = pd.read_csv(\n",
" options_data,\n",
" header=0,\n",
" parse_dates=[\"quote_date\", \"expiration\"],\n",
")\n",
"options.head()"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-18T12:45:50.874434Z",
"start_time": "2018-10-18T12:45:50.860470Z"
}
},
"outputs": [],
"source": [
"expiry_dates=options.expiration.unique()"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:13.028743Z",
"start_time": "2018-10-06T16:29:12.018163Z"
},
"scrolled": true
},
"outputs": [
{
"data": {
"text/html": [
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</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>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>0.0</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>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>0.0</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>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>0.0</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>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>0.0</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>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>0.0</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": [
" quote_date expiration strike trade_volume futures mid_eod \\\n",
"0 2006-02-27 2006-04-19 10.0 0.0 12.5 0.075 \n",
"1 2006-02-27 2006-04-19 12.5 0.0 12.5 0.875 \n",
"2 2006-02-27 2006-04-19 12.5 0.0 12.5 0.000 \n",
"3 2006-02-27 2006-04-19 15.0 0.0 12.5 2.700 \n",
"4 2006-02-27 2006-04-19 15.0 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": 5,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"puts_data = '../data/Options/vixPuts.csv'\n",
"#puts_data='../data/Options/vxxPuts.csv'\n",
"puts = pd.read_csv(\n",
" puts_data,\n",
" header=0,\n",
" parse_dates=[\"quote_date\", \"expiration\"],\n",
" usecols=[\n",
" \"quote_date\", \"expiration\", \"strike\", 'trade_volume',\"mid_eod\", \"mid_underlying\",\"futures\"\n",
" ])\n",
"puts.head()"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:13.040391Z",
"start_time": "2018-10-06T16:29:13.031414Z"
}
},
"outputs": [
{
"data": {
"text/plain": [
"154"
]
},
"execution_count": 6,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"len(puts.expiration.unique())"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:13.126238Z",
"start_time": "2018-10-06T16:29:13.042385Z"
}
},
"outputs": [
{
"data": {
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" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>futures</th>\n",
" <th>mid_eod</th>\n",
" <th>mid_underlying</th>\n",
" <th>DSame</th>\n",
" <th>MSame</th>\n",
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" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>0.075</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>0.875</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>0.0</td>\n",
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" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>2.700</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>0.000</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" quote_date expiration strike trade_volume futures mid_eod \\\n",
"0 2006-02-27 2006-04-19 10.0 0.0 12.5 0.075 \n",
"1 2006-02-27 2006-04-19 12.5 0.0 12.5 0.875 \n",
"2 2006-02-27 2006-04-19 12.5 0.0 12.5 0.000 \n",
"3 2006-02-27 2006-04-19 15.0 0.0 12.5 2.700 \n",
"4 2006-02-27 2006-04-19 15.0 0.0 12.5 0.000 \n",
"\n",
" mid_underlying DSame MSame \n",
"0 11.59 True False \n",
"1 11.59 True False \n",
"2 11.59 True False \n",
"3 11.59 True False \n",
"4 11.59 True False "
]
},
"execution_count": 7,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"#insert some column markers so we know when days, months change\n",
"\n",
"first_filter=puts.quote_date.isin(expiry_dates)\n",
"second_filter=puts.quote_date.isin(expiry_dates).shift(1)\n",
"\n",
"puts['DSame'] = puts.quote_date.eq(puts.quote_date.shift(-1))\n",
"#puts['MSame'] = puts.quote_date.dt.month.eq(\n",
"# puts.quote_date.dt.month.shift(1))\n",
"puts['MSame']=(first_filter==True) & (second_filter==False)\n",
"\n",
"puts.head()"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:14.148457Z",
"start_time": "2018-10-06T16:29:13.127157Z"
}
},
"outputs": [
{
"data": {
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" <th></th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>futures</th>\n",
" <th>mid_eod</th>\n",
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" <th>0</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>10.0</td>\n",
" <td>12.5</td>\n",
" <td>2.95</td>\n",
" <td>11.59</td>\n",
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" <th>1</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>30.0</td>\n",
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" <td>1.30</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>0.00</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>3001.0</td>\n",
" <td>12.5</td>\n",
" <td>0.65</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>0.00</td>\n",
" <td>11.59</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" quote_date expiration strike trade_volume futures mid_eod \\\n",
"0 2006-02-27 2006-04-19 10.0 10.0 12.5 2.95 \n",
"1 2006-02-27 2006-04-19 12.5 30.0 12.5 1.30 \n",
"2 2006-02-27 2006-04-19 12.5 0.0 12.5 0.00 \n",
"3 2006-02-27 2006-04-19 15.0 3001.0 12.5 0.65 \n",
"4 2006-02-27 2006-04-19 15.0 0.0 12.5 0.00 \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": 8,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"calls_data = '../data/Options/vixCalls.csv'\n",
"#calls_data='../data/Options/vxxCalls.csv'\n",
"\n",
"calls = pd.read_csv(\n",
" calls_data,\n",
" header=0,\n",
" parse_dates=[\"quote_date\", \"expiration\"],\n",
" usecols=[\n",
" \"quote_date\", \"expiration\", \"strike\", 'trade_volume', \"mid_eod\",\n",
" \"mid_underlying\",\"futures\"\n",
" ])\n",
"calls.head()"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:14.158402Z",
"start_time": "2018-10-06T16:29:14.149422Z"
}
},
"outputs": [
{
"data": {
"text/plain": [
"154"
]
},
"execution_count": 9,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"len(calls.expiration.unique())"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:14.316981Z",
"start_time": "2018-10-06T16:29:14.159396Z"
}
},
"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>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>futures</th>\n",
" <th>mid_eod</th>\n",
" <th>mid_underlying</th>\n",
" <th>DSame</th>\n",
" <th>MSame</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>10.0</td>\n",
" <td>10.0</td>\n",
" <td>12.5</td>\n",
" <td>2.95</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>30.0</td>\n",
" <td>12.5</td>\n",
" <td>1.30</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>12.5</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>0.00</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>3001.0</td>\n",
" <td>12.5</td>\n",
" <td>0.65</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2006-02-27</td>\n",
" <td>2006-04-19</td>\n",
" <td>15.0</td>\n",
" <td>0.0</td>\n",
" <td>12.5</td>\n",
" <td>0.00</td>\n",
" <td>11.59</td>\n",
" <td>True</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" quote_date expiration strike trade_volume futures mid_eod \\\n",
"0 2006-02-27 2006-04-19 10.0 10.0 12.5 2.95 \n",
"1 2006-02-27 2006-04-19 12.5 30.0 12.5 1.30 \n",
"2 2006-02-27 2006-04-19 12.5 0.0 12.5 0.00 \n",
"3 2006-02-27 2006-04-19 15.0 3001.0 12.5 0.65 \n",
"4 2006-02-27 2006-04-19 15.0 0.0 12.5 0.00 \n",
"\n",
" mid_underlying DSame MSame \n",
"0 11.59 True False \n",
"1 11.59 True False \n",
"2 11.59 True False \n",
"3 11.59 True False \n",
"4 11.59 True False "
]
},
"execution_count": 10,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"#insert some column markers so we know when days, months change\n",
"first_filter=calls.quote_date.isin(expiry_dates)\n",
"second_filter=calls.quote_date.isin(expiry_dates).shift(1)\n",
"calls['DSame'] = calls.quote_date.eq(calls.quote_date.shift(-1))\n",
"#calls['MSame'] = calls.quote_date.dt.month.eq(\n",
" #calls.quote_date.dt.month.shift(1))\n",
"calls['MSame'] =(first_filter==True) & (second_filter==False)\n",
"calls.head()"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:11:40.171377Z",
"start_time": "2018-10-06T17:11:40.167387Z"
}
},
"outputs": [],
"source": [
"#initialise variables\n",
"#what length of option are you looking for in days?\n",
"put_Expiration = int(200)\n",
"#<1=OTM, 1=ATM, >1=ITM\n",
"put_moneyness=1.00"
]
},
{
"cell_type": "code",
"execution_count": 12,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:11:54.603705Z",
"start_time": "2018-10-06T17:11:40.897416Z"
},
"code_folding": [],
"pixiedust": {
"displayParams": {}
}
},
"outputs": [],
"source": [
"#%%pixie_debugger\n",
"#initialise variables\n",
"\n",
"temp_puts = {}\n",
"a = 0\n",
"for i, row in enumerate(puts.itertuples(), 0):\n",
"\n",
" if i == 0:\n",
" start = False\n",
" #break\n",
" if (row.MSame == True):\n",
" #reset target expiration, target strike 1st day of each month\n",
" start=True\n",
" newMonth = row.quote_date\n",
" targetExpiration = row.quote_date + put_Expiration * Day()\n",
" targetExpirationDifference = abs(row.expiration - targetExpiration)\n",
" #if row.mid_underlying <20: put_moneyness= 1.00\n",
" #if row.mid_underlying >20 and row.mid_underlying <30: put_moneyness= 1.00\n",
" #if row.mid_underlying >30: put_moneyness= 0.80\n",
" strikeTarget = row.mid_underlying * put_moneyness\n",
" myStrikeDiff = abs(row.strike - strikeTarget)\n",
" tempExpiration = row.expiration\n",
" strikeLocation = (i)\n",
" if start == True:\n",
"\n",
" if row.quote_date == newMonth and row.MSame == False:\n",
" #iterate through the many different expirations and strikes for the first day of the new month\n",
" #find the closest match to (a) targetExpiration and then (b) targetStrike\n",
"\n",
" if abs(targetExpiration -\n",
" row.expiration) < targetExpirationDifference:\n",
"\n",
" #error correction routine - when diff between target expiration and expiration continues to decline,\n",
" #algo chooses the closer expirataion and then moves onto choose closest strike\n",
" targetExpirationDifference = abs(targetExpiration -\n",
" row.expiration)\n",
" myStrikeDiff = abs(row.strike - strikeTarget)\n",
" tempExpiration = row.expiration\n",
" strikeLocation = (i)\n",
"\n",
" if tempExpiration == row.expiration:\n",
" if abs(strikeTarget - row.strike) <= myStrikeDiff:\n",
" myStrikeDiff = abs(strikeTarget - row.strike)\n",
" strikeLocation = (i)\n",
"\n",
" #closest to target expiration has been chosen. Using error correction algo now chooses\n",
" #strike nearest to target strike\n",
"\n",
" if row.quote_date == newMonth and row.DSame == False:\n",
" temp_puts[puts.quote_date[i]] = [\n",
" i,\n",
" puts.quote_date[i],\n",
" puts.expiration[strikeLocation],\n",
" puts.strike[strikeLocation],\n",
" puts.trade_volume[strikeLocation],\n",
" puts.mid_eod[strikeLocation], #today's price \n",
" newMonth,\n",
" targetExpiration,\n",
" targetExpirationDifference,\n",
" puts.mid_underlying[strikeLocation],\n",
" puts.futures[strikeLocation],\n",
" strikeTarget,\n",
" strikeLocation,\n",
" myStrikeDiff\n",
" ]\n",
"\n",
" if row.quote_date != newMonth and row.MSame == False:\n",
" if row.expiration == puts.expiration[strikeLocation] and row.strike == puts.strike[strikeLocation]:\n",
" temp_puts[puts.quote_date[i]] = [\n",
" i,\n",
" puts.quote_date[i],\n",
" puts.expiration[strikeLocation],\n",
" puts.strike[strikeLocation],\n",
" puts.trade_volume[i],\n",
" puts.mid_eod[i], #today's price \n",
" newMonth,\n",
" targetExpiration,\n",
" targetExpirationDifference,\n",
" puts.mid_underlying[i],\n",
" puts.futures[i],\n",
" strikeTarget,\n",
" strikeLocation,\n",
" myStrikeDiff\n",
" ]"
]
},
{
"cell_type": "code",
"execution_count": 13,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:11:54.750309Z",
"start_time": "2018-10-06T17:11:54.604700Z"
},
"code_folding": [],
"scrolled": false
},
"outputs": [],
"source": [
"rolling_puts = pd.DataFrame(temp_puts).T.fillna(method='ffill')\n",
"rolling_puts.index.name = 'Date'\n",
"rolling_puts.columns = [\n",
" 'i', 'quote_date', 'expiration', 'strike', 'trade_volume', 'price',\n",
" 'newMonth', 'targetExpiration', 'ExpDiff', 'mid_underlying','futures',\n",
" 'strikeTarget', 'strikeLocation', 'StrikeDiff'\n",
"]\n",
"first_filter=rolling_puts.quote_date.isin(expiry_dates)\n",
"second_filter=rolling_puts.quote_date.isin(expiry_dates).shift(1)\n",
"rolling_puts['entry'] =(first_filter==True) & (second_filter==False)\n",
"rolling_puts['exit'] =rolling_puts.entry.shift(-1)\n",
"#rolling_puts['exit'] =(first_filter==True) & (second_filter==False)\n"
]
},
{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"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>i</th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>price</th>\n",
" <th>newMonth</th>\n",
" <th>targetExpiration</th>\n",
" <th>ExpDiff</th>\n",
" <th>mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>strikeTarget</th>\n",
" <th>strikeLocation</th>\n",
" <th>StrikeDiff</th>\n",
" <th>entry</th>\n",
" <th>exit</th>\n",
" </tr>\n",
" <tr>\n",
" <th>Date</th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>714</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-20</th>\n",
" <td>721</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.55</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-21</th>\n",
" <td>729</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>12.35</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-24</th>\n",
" <td>768</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>20.0</td>\n",
" <td>12.45</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-25</th>\n",
" <td>807</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>9.90</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>11.32</td>\n",
" <td>714</td>\n",
" <td>11.18</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" i quote_date expiration strike trade_volume price newMonth \\\n",
"Date \n",
"2006-04-19 714 2006-04-19 2006-05-17 22.5 0.0 9.90 2006-04-19 \n",
"2006-04-20 721 2006-04-20 2006-05-17 22.5 0.0 12.55 2006-04-19 \n",
"2006-04-21 729 2006-04-21 2006-05-17 22.5 0.0 12.35 2006-04-19 \n",
"2006-04-24 768 2006-04-24 2006-05-17 22.5 20.0 12.45 2006-04-19 \n",
"2006-04-25 807 2006-04-25 2006-05-17 22.5 0.0 9.90 2006-04-19 \n",
"\n",
" targetExpiration ExpDiff mid_underlying futures strikeTarget \\\n",
"Date \n",
"2006-04-19 2006-11-05 172 days 11.32 22.5 11.32 \n",
"2006-04-20 2006-11-05 172 days 11.64 12.5 11.32 \n",
"2006-04-21 2006-11-05 172 days 11.59 12.5 11.32 \n",
"2006-04-24 2006-11-05 172 days 11.75 12.5 11.32 \n",
"2006-04-25 2006-11-05 172 days 11.76 12.5 11.32 \n",
"\n",
" strikeLocation StrikeDiff entry exit \n",
"Date \n",
"2006-04-19 714 11.18 False False \n",
"2006-04-20 714 11.18 False False \n",
"2006-04-21 714 11.18 False False \n",
"2006-04-24 714 11.18 False False \n",
"2006-04-25 714 11.18 False False "
]
},
"execution_count": 14,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"rolling_puts.head()"
]
},
{
"cell_type": "code",
"execution_count": 15,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:11:54.882955Z",
"start_time": "2018-10-06T17:11:54.751322Z"
}
},
"outputs": [],
"source": [
"#puts_file='../data/Options/vxxRolling_puts.csv'\n",
"puts_file='../data/Options/vix_rolling_puts.csv'\n",
"rolling_puts.to_csv(puts_file)"
]
},
{
"cell_type": "code",
"execution_count": 16,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:13:17.875042Z",
"start_time": "2018-10-06T17:13:17.871053Z"
}
},
"outputs": [],
"source": [
"#initialise variables\n",
"#what length of option are you looking for in days?\n",
"call_Expiration = int(200)\n",
"#<1=ITM, 1=ATM, >1=OTM\n",
"call_moneyness = 2.00"
]
},
{
"cell_type": "code",
"execution_count": 17,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:13:32.295572Z",
"start_time": "2018-10-06T17:13:18.632102Z"
}
},
"outputs": [],
"source": [
"#%%pixie_debugger\n",
"#initialise variables\n",
"\n",
"temp_calls = {}\n",
"a = 0\n",
"for i, row in enumerate(calls.itertuples(), 0):\n",
"\n",
" if i == 0:\n",
" start = False\n",
" #break\n",
" if (row.MSame == True):\n",
" #reset target expiration, target strike 1st day of each month\n",
" start=True\n",
" newMonth = row.quote_date\n",
" targetExpiration = row.quote_date + call_Expiration * Day()\n",
" targetExpirationDifference = abs(row.expiration - targetExpiration)\n",
" strikeTarget = row.mid_underlying * call_moneyness\n",
" myStrikeDiff = abs(row.strike - strikeTarget)\n",
" tempExpiration = row.expiration\n",
" strikeLocation = (i)\n",
" if start == True:\n",
"\n",
" if row.quote_date == newMonth and row.MSame == False:\n",
" #iterate through the many different expirations and strikes for the first day of the new month\n",
" #find the closest match to (a) targetExpiration and then (b) targetStrike\n",
"\n",
" if abs(targetExpiration -\n",
" row.expiration) < targetExpirationDifference:\n",
"\n",
" #error correction routine - when diff between target expiration and expiration continues to decline,\n",
" #algo chooses the closer expirataion and then moves onto choose closest strike\n",
" targetExpirationDifference = abs(targetExpiration -\n",
" row.expiration)\n",
" myStrikeDiff = abs(row.strike - strikeTarget)\n",
" tempExpiration = row.expiration\n",
" strikeLocation = (i)\n",
"\n",
" if tempExpiration == row.expiration:\n",
" if abs(strikeTarget - row.strike) <= myStrikeDiff:\n",
" myStrikeDiff = abs(strikeTarget - row.strike)\n",
" strikeLocation = (i)\n",
"\n",
"# #closest to target expiration has been chosen. Using error correction algo now chooses\n",
"#strike nearest to target strike\n",
"\n",
" if row.quote_date == newMonth and row.DSame == False:\n",
"\n",
" temp_calls[calls.quote_date[i]] = [\n",
" i,\n",
" calls.quote_date[i],\n",
" calls.expiration[strikeLocation],\n",
" calls.strike[strikeLocation],\n",
" calls.trade_volume[strikeLocation],\n",
" calls.mid_eod[strikeLocation], #today's price \n",
" newMonth,\n",
" targetExpiration,\n",
" targetExpirationDifference,\n",
" calls.mid_underlying[strikeLocation],\n",
" calls.futures[strikeLocation],\n",
" strikeTarget,\n",
" strikeLocation,\n",
" myStrikeDiff\n",
" ]\n",
"\n",
" if row.quote_date != newMonth and row.MSame == False:\n",
" if row.expiration == calls.expiration[strikeLocation] and row.strike == calls.strike[strikeLocation]:\n",
" temp_calls[calls.quote_date[i]] = [\n",
" i,\n",
" calls.quote_date[i],\n",
" calls.expiration[strikeLocation],\n",
" calls.strike[strikeLocation],\n",
" calls.trade_volume[i],\n",
" calls.mid_eod[i], #today's price \n",
" newMonth,\n",
" targetExpiration,\n",
" targetExpirationDifference,\n",
" calls.mid_underlying[i],\n",
" calls.futures[i],\n",
" strikeTarget,\n",
" strikeLocation,\n",
" myStrikeDiff\n",
" ]"
]
},
{
"cell_type": "code",
"execution_count": 18,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:13:32.452118Z",
"start_time": "2018-10-06T17:13:32.297567Z"
}
},
"outputs": [],
"source": [
"rolling_calls = pd.DataFrame(temp_calls).T.fillna(method='ffill')\n",
"rolling_calls.index.name = 'Date'\n",
"rolling_calls.columns = [\n",
" 'i', 'quote_date','expiration', 'strike','trade_volume','price', 'newMonth',\n",
" 'targetExpiration', 'ExpDiff', 'mid_underlying', 'futures','strikeTarget',\n",
" 'strikeLocation', 'StrikeDiff'\n",
"]\n",
"first_filter=rolling_calls.quote_date.isin(expiry_dates)\n",
"second_filter=rolling_calls.quote_date.isin(expiry_dates).shift(1)\n",
"rolling_calls['entry'] =(first_filter==True) & (second_filter==False)\n",
"rolling_calls['exit'] =rolling_calls.entry.shift(-1)\n"
]
},
{
"cell_type": "code",
"execution_count": 19,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>i</th>\n",
" <th>quote_date</th>\n",
" <th>expiration</th>\n",
" <th>strike</th>\n",
" <th>trade_volume</th>\n",
" <th>price</th>\n",
" <th>newMonth</th>\n",
" <th>targetExpiration</th>\n",
" <th>ExpDiff</th>\n",
" <th>mid_underlying</th>\n",
" <th>futures</th>\n",
" <th>strikeTarget</th>\n",
" <th>strikeLocation</th>\n",
" <th>StrikeDiff</th>\n",
" <th>entry</th>\n",
" <th>exit</th>\n",
" </tr>\n",
" <tr>\n",
" <th>Date</th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2006-04-19</th>\n",
" <td>714</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.32</td>\n",
" <td>22.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-20</th>\n",
" <td>721</td>\n",
" <td>2006-04-20</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.64</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-21</th>\n",
" <td>729</td>\n",
" <td>2006-04-21</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.59</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-24</th>\n",
" <td>768</td>\n",
" <td>2006-04-24</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.075</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.75</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2006-04-25</th>\n",
" <td>807</td>\n",
" <td>2006-04-25</td>\n",
" <td>2006-05-17</td>\n",
" <td>22.5</td>\n",
" <td>0.0</td>\n",
" <td>0.050</td>\n",
" <td>2006-04-19</td>\n",
" <td>2006-11-05</td>\n",
" <td>172 days</td>\n",
" <td>11.76</td>\n",
" <td>12.5</td>\n",
" <td>22.64</td>\n",
" <td>714</td>\n",
" <td>0.14</td>\n",
" <td>False</td>\n",
" <td>False</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" i quote_date expiration strike trade_volume price newMonth \\\n",
"Date \n",
"2006-04-19 714 2006-04-19 2006-05-17 22.5 0.0 0.075 2006-04-19 \n",
"2006-04-20 721 2006-04-20 2006-05-17 22.5 0.0 0.075 2006-04-19 \n",
"2006-04-21 729 2006-04-21 2006-05-17 22.5 0.0 0.075 2006-04-19 \n",
"2006-04-24 768 2006-04-24 2006-05-17 22.5 0.0 0.075 2006-04-19 \n",
"2006-04-25 807 2006-04-25 2006-05-17 22.5 0.0 0.050 2006-04-19 \n",
"\n",
" targetExpiration ExpDiff mid_underlying futures strikeTarget \\\n",
"Date \n",
"2006-04-19 2006-11-05 172 days 11.32 22.5 22.64 \n",
"2006-04-20 2006-11-05 172 days 11.64 12.5 22.64 \n",
"2006-04-21 2006-11-05 172 days 11.59 12.5 22.64 \n",
"2006-04-24 2006-11-05 172 days 11.75 12.5 22.64 \n",
"2006-04-25 2006-11-05 172 days 11.76 12.5 22.64 \n",
"\n",
" strikeLocation StrikeDiff entry exit \n",
"Date \n",
"2006-04-19 714 0.14 False False \n",
"2006-04-20 714 0.14 False False \n",
"2006-04-21 714 0.14 False False \n",
"2006-04-24 714 0.14 False False \n",
"2006-04-25 714 0.14 False False "
]
},
"execution_count": 19,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"rolling_calls.head()"
]
},
{
"cell_type": "code",
"execution_count": 20,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T17:13:32.585947Z",
"start_time": "2018-10-06T17:13:32.453132Z"
}
},
"outputs": [],
"source": [
"#calls_file='../data/Options/vxxRolling_calls.csv'\n",
"calls_file = '../data/Options/vix_rolling_calls.csv'\n",
"rolling_calls.to_csv(calls_file)"
]
},
{
"cell_type": "code",
"execution_count": 21,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:43.638088Z",
"start_time": "2018-10-06T16:29:43.634061Z"
}
},
"outputs": [],
"source": [
"calls_file='../data/Options/vix_rolling_callsL.csv'\n",
"#rolling_calls.to_csv(calls_file)"
]
},
{
"cell_type": "code",
"execution_count": 22,
"metadata": {
"ExecuteTime": {
"end_time": "2018-10-06T16:29:43.648046Z",
"start_time": "2018-10-06T16:29:43.639050Z"
}
},
"outputs": [],
"source": [
"calls_file='../data/Options/vix_rolling_callsS.csv'\n",
"#rolling_calls.to_csv(calls_file)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
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