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{
"cells": [
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"import exploration.option_trades as rvol\n",
"import datetime\n",
"import pandas as pd\n",
"\n",
"from analytics import on_the_run\n",
"from scipy.interpolate import interp1d\n",
"from matplotlib import pyplot as plt\n",
"from ipywidgets import widgets"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"w = widgets.Dropdown(\n",
" options=['IG', 'HY'],\n",
" value='IG',\n",
" description='Index:',\n",
" disabled=False,\n",
")\n",
"w"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"index = w.value\n",
"start_date=datetime.date(2014, 6, 11)\n",
"onTR, model = rvol.realized_vol(index, tenor=\"5yr\", years=3)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"onTR.plot()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"model.summary()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"#compute lo and hi percentiles of atm volatility daily change (vol of vol)\n",
"rvol.vol_var()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df = rvol.atm_vol(index, start_date, moneyness = .2)\n",
"df['steepness'] = df.otm_vol - df.atm_vol\n",
"df1 = df.reset_index()\n",
"df1['date'] = df1.quotedate.dt.date\n",
"df1 = df1.groupby(['date','expiry']).last()\n",
"#Need to do: the vol looks jumpy, is it because of quote source issue? yes, need to first try to get the same quote source..."
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"r = []\n",
"time = [1/12, 2/12, 3/12, 4/12, 5/12]\n",
"for t in time:\n",
" for date, g in df1.groupby(level='date'):\n",
" f = interp1d(g['T'].values, g['steepness'].values, fill_value='extrapolate')\n",
" r.append((date, t, f(t)))\n",
"steepness = pd.DataFrame(r, columns=['date', 'T', 'steepness'])\n",
"steepness = steepness.set_index(['date','T']).unstack().astype('float')\n",
"steepness.columns = steepness.columns.droplevel()\n",
"steepness.ewm(span = 3).mean().plot()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"(steepness.iloc[-1] - steepness.mean()) / steepness.std()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"#Need to do: look at steepness not on moneyness but on delta range (60 delta vs 20 delta)"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.7.4"
}
},
"nbformat": 4,
"nbformat_minor": 4
}
|
