diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/exploration/option_trades.py | 12 |
1 files changed, 9 insertions, 3 deletions
diff --git a/python/exploration/option_trades.py b/python/exploration/option_trades.py index cbb1bf2f..e3217e07 100644 --- a/python/exploration/option_trades.py +++ b/python/exploration/option_trades.py @@ -95,12 +95,18 @@ def rolling_vol(df, col='atm_vol', term=[3]): # MS quotes don't have fwdspread so they end up as NA return df.dropna() -def vol_var(percentile=0.99, index='IG'): - df = atm_vol(index, datetime.date(2014, 6, 11)) +def vol_var(percentile=0.975, index='IG', start_date=datetime.date(2014, 6, 11)): + """compute lo and hi percentiles of atm volatility daily change + + Probably overestimates: + - we don't check that the quotes come from the same dealer + - we should group it by series + """ + df = atm_vol(index, start_date) df = rolling_vol(df, term=[1,2,3]) df = df.sort_index() df = df.groupby(df.index.date).nth(-1) - return df.pct_change().quantile(percentile) + return df.diff().quantile([1-percentile, percentile]) def get_index_spread(index, series, date, conn): with conn.cursor() as c: |