options data from yahoo

options_plotting.py

# content for ipython notebook
%matplotlib inline
execfile('/Users/rob/pandasSetup.py')
import mpld3
mpld3.enable_notebook()
from pandas_datareader.data import Options

options = Options('spy', 'yahoo')
expiry_dates = options.expiry_dates
df = options.get_options_data(expiry=expiry_dates[0]).reset_index()


def make_plot(df):
    for kind in ['put', 'call']:
        dfx = df[df.Type==kind]
        bid_label = '{} bid'.format(kind)
        x = dfx.Strike - dfx.Underlying_Price
        y = dfx.Bid
        pl.plot(x, y, '.-', label=bid_label)
    pl.xlabel('strike - current')
    pl.legend(loc='best')
    
make_plot(df)