Options valuation seems more an art than a discipline.
I am trying at the moment to understand the differences in implied volatility among different strikes and expiry dates.
As a first step, I’ve decided to download the options chain from IB in order to analyze it.
Here it is the code I am going to use for this task.
"""
This script will access the IB API and download to excel the option chain for the underlying
entered in the excel file
"""
#===============================================================================
# LIBRARIES
#===============================================================================
from ib.opt import ibConnection, message
from ib.ext.Contract import Contract
import quantacademy.excel_management as excel
import pandas as pd
from time import sleep
from collections import defaultdict
#===============================================================================
# Class IB_API
#===============================================================================
class IB_API:
"""
This class will establish a connection to IB and group the different
operations
"""
# Variables
d_ticker_reqId = {}
reqId = 1
d_opt_contracts = defaultdict(dict)
d_contracts = {}
# Functions
def __init__(self):
"""
Connection to the IB API
"""
print "Calling connection"
# Creation of Connection class
self.connection = ibConnection()
# Register data handlers
self.connection.registerAll(self.process_messages)
# Connect
self.connection.connect()
def process_messages(self, msg):
"""
Function that indicates how to process each different message
"""
if msg.typeName == "contractDetails":
print msg
opt_contract = msg.values()[1]
self.save_option_contracts_to_dict(opt_contract)
elif msg.typeName == "tickPrice":
field = msg.values()[1]
price = msg.values()[2]
localSymbol = self.d_ticker_reqId[msg.values()[0]].m_localSymbol
if field == 1:
self.d_opt_contracts[localSymbol]['bid'] = str(price)
elif field == 2:
self.d_opt_contracts[localSymbol]['ask'] = str(price)
elif field == 9:
self.d_opt_contracts[localSymbol]['close'] = str(price)
elif msg.typeName == "tickOptionComputation":
localSymbol = self.d_ticker_reqId[msg.values()[0]].m_localSymbol
field = msg.values()[1]
price = msg.values()[2]
delta = msg.values()[3]
impliedVolatility = msg.values()[4]
optPrice = msg.values()[5]
pvDividend = msg.values()[6]
gamma = msg.values()[7]
vega = msg.values()[8]
theta = msg.values()[9]
undPrice = None
if field == 10:
self.d_opt_contracts[localSymbol]['bid_delta'] = str(delta)
self.d_opt_contracts[localSymbol]['bid_impliedVolatility'] = str(impliedVolatility)
self.d_opt_contracts[localSymbol]['bid_optPrice'] = str(optPrice)
self.d_opt_contracts[localSymbol]['bid_pvDividend'] = str(pvDividend)
self.d_opt_contracts[localSymbol]['bid_gamma'] = str(gamma)
self.d_opt_contracts[localSymbol]['bid_vega'] = str(vega)
self.d_opt_contracts[localSymbol]['bid_theta'] = str(theta)
self.d_opt_contracts[localSymbol]['bid_undPrice'] = str(undPrice)
elif field == 11:
self.d_opt_contracts[localSymbol]['ask_delta'] = str(delta)
self.d_opt_contracts[localSymbol]['ask_impliedVolatility'] = str(impliedVolatility)
self.d_opt_contracts[localSymbol]['ask_optPrice'] = str(optPrice)
self.d_opt_contracts[localSymbol]['ask_pvDividend'] = str(pvDividend)
self.d_opt_contracts[localSymbol]['ask_gamma'] = str(gamma)
self.d_opt_contracts[localSymbol]['ask_vega'] = str(vega)
self.d_opt_contracts[localSymbol]['ask_theta'] = str(theta)
self.d_opt_contracts[localSymbol]['ask_undPrice'] = str(undPrice)
elif field == 24:
self.d_opt_contracts[localSymbol]['iv'] = str(price)
else:
print msg
def get_contract_details(self, reqId, contract_values):
"""
Call for all the options contract for the underlying
"""
print "Calling Contract Details"
# Contract creation
contract = Contract()
contract.m_symbol = contract_values['m_symbol']
contract.m_exchange = contract_values['m_exchange']
contract.m_secType = contract_values['m_secType']
# If expiry is empty it will download all available expiries
if contract_values['m_expiry'] <> "":
contract.m_expiry = contract_values['m_expiry']
self.connection.reqContractDetails(reqId, contract)
sleep(20)
def get_market_data(self):
"""
Call for all the options prices and greeks
"""
print "Calling Market Data"
self.reqId = 1
# Loop through all options contracts
for option in self.d_contracts.values():
self.d_ticker_reqId[self.reqId] = option
self.connection.reqMktData(self.reqId, option, None, True)
self.reqId += 1
sleep(1)
sleep(10)
def save_option_contracts_to_dict(self, opt_contract):
"""
It saves the options contracts downloaded as ContractDetails object
to a dictionary of dictionaries
"""
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_conId']=opt_contract.m_summary.m_conId
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_symbol']=opt_contract.m_summary.m_symbol
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_secType']=opt_contract.m_summary.m_secType
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_expiry']=opt_contract.m_summary.m_expiry
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_strike']=opt_contract.m_summary.m_strike
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_right']=opt_contract.m_summary.m_right
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_multiplier']=opt_contract.m_summary.m_multiplier
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_exchange']=opt_contract.m_summary.m_exchange
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_currency']=opt_contract.m_summary.m_currency
self.d_opt_contracts[opt_contract.m_summary.m_localSymbol]['m_localSymbol']=opt_contract.m_summary.m_localSymbol
"""
It saves the options contracts downloaded as ContractDetails object
to a dictionary of contracts
"""
self.d_contracts[opt_contract.m_summary.m_localSymbol] = Contract()
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_conId=opt_contract.m_summary.m_conId
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_symbol=opt_contract.m_summary.m_symbol
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_secType=opt_contract.m_summary.m_secType
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_expiry=opt_contract.m_summary.m_expiry
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_strike=opt_contract.m_summary.m_strike
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_right=opt_contract.m_summary.m_right
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_multiplier=opt_contract.m_summary.m_multiplier
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_exchange=opt_contract.m_summary.m_exchange
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_currency=opt_contract.m_summary.m_currency
self.d_contracts[opt_contract.m_summary.m_localSymbol].m_localSymbol=opt_contract.m_summary.m_localSymbol
if __name__ == '__main__':
# Connection
ib = IB_API()
# Get contract details
filename = excel.select_excel_file()
xl = pd.ExcelFile(filename)
df_input = xl.parse('input')
#contract_values = {'m_symbol': 'TLT', 'm_exchange': 'SMART', 'm_secType': 'OPT',
# 'm_expiry': '20140905'}
contract_values = {
'm_symbol': str(df_input['m_symbol'][0]),
'm_exchange': str(df_input['m_exchange'][0]),
'm_secType': str(df_input['m_secType'][0]),
'm_expiry': str(df_input['m_expiry'][0])
}
ib.get_contract_details(1, contract_values)
# Get Market values
ib.get_market_data()
print ib.d_opt_contracts
# Output
columns_after_hours = [
'm_conId', 'm_localSymbol', 'm_symbol', 'm_currency', 'm_exchange', 'm_secType', 'm_multiplier', 'm_right', 'm_strike',
'm_expiry', 'close', 'bid', 'ask'
]
columns_open_market = [
'bid_impliedVolatility', 'ask_impliedVolatility', 'bid_delta', 'ask_delta',
'bid_theta', 'ask_theta', 'bid_gamma', 'ask_gamma', 'bid_pvDividend', 'ask_pvDividend', 'bid_vega', 'ask_vega',
'bid_optPrice', 'ask_optPrice', 'bid_undPrice', 'ask_undPrice'
]
df_option_chain = pd.DataFrame(ib.d_opt_contracts)
df_option_chain = df_option_chain.T
# Check if market is open
if 'bid_impliedVolatility' in df_option_chain.columns:
df_option_chain = df_option_chain[columns_after_hours + columns_open_market]
else:
df_option_chain = df_option_chain[columns_after_hours]
# Save in a new excel tab
excel.save_in_new_tab_of_excel(filename, df_option_chain, "option_chain")
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