OptionViewer_InpliedVolatility.py

OptionViewer_ImpliedVolatility.py

# -*- coding: utf-8 -*-
"""
Created on Fri Feb 27 14:51:01 2015
@author: assa
"""

import pdb
import time
import os
import sqlite3 as lite
import pandas as pd
import BlackSholesPricer as pricer

def convert_strike(strike):
    if type(strike).__name__ == 'unicode':
        if strike[2] == '2' or strike[2] == '7':
            return '%s.5'%strike
        else:
            return strike
pass

print os.path.dirname(os.path.realpath(__file__)) + '\\'

filedbname = 'TAQ_20150226.db'
conn = lite.connect('./SQLite/Data/' + filedbname)


sql_text = """
SELECT Time, ShortCD, Ask1, Bid1
FROM FutOptTickData
WHERE TAQ = 'Q'
and Time between '09:00:01.000' and '09:30:00.000'
and substr(ShortCD,4,2) = 'K3'
and (substr(ShortCD,1,1) = '2' or substr(ShortCD,1,1) = '3')
"""

df = pd.read_sql(sql_text,conn)
ShortCDList = df['ShortCD'].unique()
ShortCDList.sort()
ShortCDList = list(ShortCDList)

CallShortCDList = [shortcd for shortcd in ShortCDList if shortcd[:3] == '201']
PutShortCDList = [shortcd for shortcd in ShortCDList if shortcd[:3] == '301']


df_call = df[df['ShortCD'].str[:3] == '201']
df_put = df[df['ShortCD'].str[:3] == '301']

df['ShortCDStrike'] = df['ShortCD'].str[-3:]
StrikeLst = list(df.drop_duplicates(cols=['ShortCDStrike'])['ShortCDStrike'])
StrikeLst.sort()

df_call_mid = pd.DataFrame()
df_put_mid = pd.DataFrame()

for strike in StrikeLst:
    shortcd = '201K3%s'%strike
    df_tmp = df[df['ShortCD'] == shortcd][-1:]
    df_tmp['Strike'] = convert_strike(strike)
    if len(df_call_mid) == 0: df_call_mid = df_tmp
    else: df_call_mid = df_call_mid.append(df_tmp)
    #print shortcd
    shortcd = '301K3%s'%strike
    df_tmp = df[df['ShortCD'] == shortcd][-1:]
    df_tmp['Strike'] = convert_strike(strike)
    if len(df_put_mid) == 0: df_put_mid = df_tmp
    else: df_put_mid = df_put_mid.append(df_tmp)
    #print shortcd

df_call_mid['Mid'] = (df_call_mid['Bid1'].astype(float) + df_call_mid['Ask1'].astype(float)) * 0.5
df_put_mid['Mid'] = (df_put_mid['Bid1'].astype(float) + df_put_mid['Ask1'].astype(float)) * 0.5

df_syth = df_call_mid.merge(df_put_mid,left_on='Strike',right_on='Strike',how='outer')
df_syth['SythPrice'] = df_syth['Mid_x'].astype(float) - df_syth['Mid_y'].astype(float) + df_syth['Strike'].astype(float)

df_syth['Differ'] = abs(df_syth['Mid_x'].astype(float) - df_syth['Mid_y'].astype(float))
df_syth = df_syth.sort('Differ')

call_atm_price = df_syth.iloc[0]['Mid_x']
put_atm_price = df_syth.iloc[0]['Mid_y']

r = 0.00000612875
T = 6.25 * 10 + 11 * 9 - 0.5
#S0 = 252.48 * np.exp(-r*T)
S0 = 252.19
K = float(df_syth['Strike'].iloc[0])


print '-' * 20
t = time.time()
r_high = 0.000009
r_low = 0.000005
r = pricer.CalcImpliedInterestRate(S0, K, r_low, r_high, T, call_atm_price, put_atm_price,0.000000001,0.0017)
elapsed = time.time()-t
print "Option\tBlack-Scholes ImR:", r
print "Elapsed:", elapsed

# df_call_mid['ImVol'] = df_call_mid.apply(lambda r: pricer.CalcImpliedVolatility('C',
#                                                                                 S0,
#                                                                                 float(r['Strike']),
#                                                                                 r,
#                                                                                 T,
#                                                                                 float(r['Mid']),
#                                                                                 0.0001,
#                                                                                 0.0017),axis=1)

callImVolLst = []
putImVolLst = []

df_call_mid = df_call_mid[df_call_mid['Strike'] >= '252.5']
df_put_mid = df_put_mid[df_put_mid['Strike'] <= '252.5']

print df_call_mid
print df_put_mid

callimvol = 0.0017

for i in xrange(len(df_call_mid)):
    K = float(df_call_mid['Strike'].iloc[i])
    callprice = float(df_call_mid['Mid'].iloc[i])
    callimvol = pricer.CalcImpliedVolatility('C', S0, K, r, T, callprice, 0.0001, callimvol)
    callImVolLst.append(callimvol)

putimvol = 0.0017

for i in xrange(len(df_put_mid)-1,-1,-1):
    K = float(df_put_mid['Strike'].iloc[i])
    putprice = float(df_put_mid['Mid'].iloc[i])
    putimvol = pricer.CalcImpliedVolatility('P', S0, K, r, T, putprice, 0.0001, putimvol)
    putImVolLst.insert(0,putimvol)

pdb.set_trace()
df_call_mid['ImVol'] = pd.Series(callImVolLst, index=df_call_mid.index)
df_put_mid['ImVol'] = pd.Series(putImVolLst, index=df_put_mid.index)

df = df_put_mid.append(df_call_mid[0:])
df.index = df['Strike']