Draw 'possible range' of VIX movement

vix_range_band.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-

import numpy as np
import pandas as pd
import datetime as dt
from pandas.io.data import DataReader
from joblib import Memory
import matplotlib as mpl
import matplotlib.pyplot as plt
#
memory = Memory('/tmp/')
TICKER_LIST = ['^VIX']


@memory.cache()
def read_yahoo_data(tickers):
    lis = list()
    for ticker in tickers:
        df = DataReader(ticker, 'yahoo')
        adjustment = df['Adj Close']/df['Close']
        df['Open'] *= adjustment
        df['High'] *= adjustment
        df['Low'] *= adjustment
        df['Close'] = df['Adj Close']
        del df['Adj Close']
        for c in df.columns:
            df = df.rename(columns={c: ticker.replace('^', '').lower()+'_'+c.replace(' ', '').lower()})
        lis.append(df)
    df_aggregated = pd.concat(lis, axis=1)
    return df_aggregated


def get_vix_bands(df):
    df_vix_high = df['vix_high']
    df_vix_low = df['vix_low']
    df_vix_close = df['vix_close']
    df_top = df_vix_high.rolling(window=250, min_periods=3).quantile(0.9)
    df_higher = df_vix_high.rolling(window=60, min_periods=3).quantile(0.9)
    df_high = df_vix_high.rolling(window=30, min_periods=3).quantile(0.9)
    df_low = df_vix_low.rolling(window=30, min_periods=3).quantile(0.1)
    df_lower = df_vix_low.rolling(window=60, min_periods=3).quantile(0.1)
    df_bottom = df_vix_low.rolling(window=250, min_periods=3).quantile(0.1)
    return df_vix_high, df_vix_low, df_vix_close, df_top, df_higher, df_high, df_low, df_lower, df_bottom


def draw_vix_bands(df, todays_high=None, todays_low=None, todays_close=None):
    df = df.copy()
    df_latest = pd.DataFrame([], index=[], columns=['vix_high', 'vix_low', 'vix_close'])
    if todays_high is not None or todays_low is not None or todays_close is not None:
        today = dt.date.today()
        df_latest = pd.DataFrame([[todays_high, todays_low, todays_close],
                                     [np.nan, np.nan, np.nan],
                                     [np.nan, np.nan, np.nan],
                                     [np.nan, np.nan, np.nan],
                                     [np.nan, np.nan, np.nan],
                                     ],
                              index=[today+dt.timedelta(days=n) for n in range(0, 5)],
                              columns=['vix_high', 'vix_low', 'vix_close'])
        df = df.append(df_latest)
    df_vix_high, df_vix_low, df_vix_close, df_top, df_higher, df_high, df_low, df_lower, df_bottom = get_vix_bands(df)
    x = df.index
    fig = plt.figure(figsize=(20,6))
    ax = fig.add_subplot(1,1,1)
    ax2 = ax.twinx()
    ax.set_title('vix range')
    ax.set_ylim((10, 50))
    ax2.set_ylim((10, 50))
    ax.set_xlim((x[0], x[-1]))
    ax2.set_xlim((x[0], x[-1]))
    ax2.fill_between(x, df_top.shift(1).values, df_bottom.shift(1).values, color='#888888', alpha=.1)
    ax2.fill_between(x, df_higher.shift(1).values, df_lower.shift(1).values, color='#888888', alpha=.2)
    ax2.fill_between(x, df_high.shift(1).values, df_low.shift(1).values, color='#888888', alpha=.4)
    ax.plot(x, df_top.shift(1).values, color='#ff0000', alpha=0.4)
    ax.plot(x, df_higher.shift(1).values, color='#dd0000', alpha=0.3)
    ax.plot(x, df_high.shift(1).values, color='#880000', alpha=0.3)
    ax.plot(x, df_low.shift(1).values, color='#008800', alpha=0.3)
    ax.plot(x, df_lower.shift(1).values, color='#00dd00', alpha=0.3)
    ax.plot(x, df_bottom.shift(1).values, color='#00ff00', alpha=0.4)
    ax.plot(x, df_vix_close.values, linewidth=1.7, color='#0000ff', alpha=0.9)
    ax.tick_params(axis='both', direction='out', width=1, length=5, labelsize=14, pad=8)
    plt.yticks([10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 25, 30, 35, 40, 45, 50])
    ax.grid()
    # ax.text(0, 0, 'top {}'.format(df_top.shift(1).values[-15]),
    #         horizontalalignment='center',
    #         verticalalignment='bottom')
    #ax.annotate('figure pixels', xy=(x[-1], close.values[-1]), xycoords='figure pixels')
    #print(df.tail(12))
    offset = -len(df_latest)
    p = df_vix_close.values[offset]
    print('top   : {0:2.2f}({1:02.2f}%)'.format(df_top.shift(1).values[offset],
                                               (df_top.shift(1).values[offset]/p-1)*100))
    print('upper : {0:2.2f}({1:02.2f}%)'.format(df_higher.shift(1).values[offset],
                                               (df_higher.shift(1).values[offset]/p-1)*100))
    print('up    : {0:2.2f}({1:02.2f}%)'.format(df_high.shift(1).values[offset],
                                               (df_high.shift(1).values[offset]/p-1)*100))
    print('low   : {0:2.2f}({1:02.2f}%)'.format(df_low.shift(1).values[offset],
                                               (df_low.shift(1).values[offset]/p-1)*100))
    print('lower : {0:2.2f}({1:02.2f}%)'.format(df_lower.shift(1).values[offset],
                                               (df_lower.shift(1).values[offset]/p-1)*100))
    print('bottom: {0:2.2f}({1:02.2f}%)'.format(df_bottom.shift(1).values[offset],
                                               (df_bottom.shift(1).values[offset]/p-1)*100))
    print('last  : {0:2.2f}'.format(p))
    fig.savefig('/tmp/vix_range_band.png')
    plt.show()

if True:
    df = read_yahoo_data(TICKER_LIST)
    print(df)
    draw_vix_bands(df, todays_high=13.0, todays_low=12.0, todays_close=12.15)
    exit()