CoCalc -- 2020.ImpliedVol.ipynb

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Kernel: Python 3 (system-wide)

In [2]:

import numpy as np
import scipy as sp

import matplotlib.pyplot as plt
import matplotlib.dates as md
from mpl_toolkits.mplot3d import Axes3D
from matplotlib import cm

import pandas as pd

%matplotlib inline

In [3]:

options = pd.read_csv("../../../data/L3_optionstats_20131101.part.csv")

In [4]:

options.head()

Out[4]:

In [5]:

options.loc[1]

Out[5]:

UnderlyingSymbol                   AAPL
UnderlyingPrice                  520.03
Flags                                 W
OptionSymbol        AAPL131101P00355000
Type                                put
Expiration                   11/01/2013
 DataDate                    11/01/2013
Strike                              355
Last                               0.01
Bid                                   0
Ask                                0.01
Volume                                0
OpenInterest                        195
T1OpenInterest                        0
IVMean                                0
IVBid                                 0
IVAsk                                 0
Delta                                 0
Gamma                                 0
Theta                                 0
Vega                                  0
AKA                 AAPL131101P00355000
Name: 1, dtype: object

In [6]:

pd.unique( options['UnderlyingSymbol'] )

Out[6]:

array(['AAPL', 'AIG', 'AMZN', 'FB', 'GE', 'GOOGL', 'JNJ', 'JPM', 'MSFT',
       'XOM'], dtype=object)

In [7]:

today = pd.datetime(2013,11,1)
#
options['Expiration'] = pd.to_datetime( options['Expiration'] )
options['T'] = (options['Expiration'] - today) / np.timedelta64(1,'Y')
#

In [8]:

subset = options[['UnderlyingSymbol','Type','Expiration','T', 'Strike','IVMean','UnderlyingPrice',' DataDate']]\
       [ (options['UnderlyingSymbol'] == 'JNJ') & (options['Type'] == 'call') & (options['Expiration'] > '2013-11-01') ] 

subset.head()

Out[8]:

In [9]:

[d.strftime("%Y-%m-%d") for d in sorted(set(subset['Expiration']))]

Out[9]:

['2013-11-08',
 '2013-11-16',
 '2013-11-22',
 '2013-11-29',
 '2013-12-06',
 '2013-12-21',
 '2014-01-18',
 '2014-04-19',
 '2015-01-17',
 '2016-01-15']

In [10]:

sorted(set(subset['T']))

Out[10]:

[0.019165349048919554,
04106860510482761,
05749604714675866,
07666139619567822,
09582674524459776,
13689535034942538,
2135567465451036,
4627062841810578,
2101548970889204,
2040151406257484]

In [11]:

def draw1(symbol, type, drawPoints=True):
    subset = options[['Expiration','Strike','IVMean','UnderlyingPrice']]\
       [ (options['UnderlyingSymbol'] == symbol) & (options['Type'] == type)] # & (options['ExpirationDT'] > '2013-11-01') ]
    expiration_dates = sorted(set(subset['Expiration']))
    price = subset.loc[subset.index[1]]['UnderlyingPrice']
    plt.figure(figsize=(12, 8))

    lines = []
    for date in expiration_dates:
        data = subset[subset.Expiration == date]
        l, = plt.plot(data['Strike'], data['IVMean'],
                 label=date.strftime("%Y-%m-%d"), lw=1.5)
        lines.append(l)
        if drawPoints:
            plt.plot(data['Strike'], data['IVMean'], 'r.')
    plt.axvline(x=price, linewidth=1, color='k')
    plt.grid(True)
    plt.xlabel('strike')
    plt.ylabel('implied volatility')
    plt.legend(handles=lines)
    plt.show()

In [12]:

def draw2(symbol, type, drawPoints=True):
    subset = options[['T', 'Strike','IVMean','UnderlyingPrice']]\
       [ (options['UnderlyingSymbol'] == symbol) & (options['Type'] == type) & (options['Expiration'] > '2013-11-01') ]
    fig = plt.figure(figsize=(12, 8))
    ax = fig.gca(projection='3d')

    Y = subset['T']
    X = subset['Strike']
    Z = subset['IVMean']
    
    ax.plot_trisurf(X, Y, Z, cmap=cm.jet, linewidth=0.2)

    ax.set_ylabel("Expiration")
    ax.set_xlabel("Strike")
    ax.set_zlabel("Implied vol")

    plt.show()

In [14]:

draw1('JNJ', 'call')

Out[14]:

In [15]:

draw2('JNJ', 'call')

Out[15]:

In [16]:

draw1('JNJ', 'put')

Out[16]:

In [17]:

draw2('JNJ', 'put')

Out[17]:

In [18]:

draw1('GOOGL', 'call', False)

Out[18]:

In [19]:

draw2('GOOGL', 'call', False)

Out[19]:

In [20]:

draw1('AIG', 'call')

Out[20]:

In [21]:

draw1('AAPL', 'call',False)

Out[21]:

In [22]:

draw1('AMZN', 'call')

Out[22]:

In [23]:

draw2('AMZN', 'call')

Out[23]:

In [24]:

draw1('FB', 'call')

Out[24]:

In [25]:

draw2('FB', 'call')

Out[25]:

In [26]:

draw1('GE', 'call')

Out[26]:

In [27]:

draw2('GE', 'call')

Out[27]:

In [0]:

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