crapher’s gists

crapher / bjerksund_stensland.py

Created March 23, 2020 00:26

Bjerksund Stensland Volatility and Price calculation

	from math import *

	# Cumulative standard normal distribution
	def cdf(x):
	return (1.0 + erf(x / sqrt(2.0))) / 2.0

	# Intermediate calculation used by both the Bjerksund Stensland 1993 and 2002 approximations
	def phi(s, t, gamma, h, i, r, a, v):
	lambda1 = (-r + gamma * a + 0.5 * gamma * (gamma - 1) * v*2) t
	dd = -(log(s / h) + (a + (gamma - 0.5) * v*2) t) / (v * sqrt(t))

crapher / black_scholes_volatility.py

Created March 15, 2020 16:49

Black Scholes Volatility and Price calculation

	from math import *

	# Cumulative standard normal distribution
	def cdf(x):
	return (1.0 + erf(x / sqrt(2.0))) / 2.0

	# Call Price based on Black Scholes Model
	# Parameters
	# underlying_price: Price of underlying asset
	# exercise_price: Exercise price of the option

crapher / date_converter.py

Created March 7, 2020 17:43

Converting string date to python datetime

	import re
	from datetime import date

	# Months Dictionary
	MONTHS = {'enero': 1, 'febrero': 2, 'marzo': 3, 'abril': 4, 'mayo': 5, 'junio': 6, 'julio': 7, 'agosto': 8, 'septiembre': 9, 'octubre': 10, 'noviembre': 11, 'diciembre': 12}

	# Function that converts thex date to python datetime
	def get_date_from_text(text):

	# Remove spaces to simplify the RegEx

crapher / call_condors.py

Created February 21, 2020 12:34

Long Call Condor Spreads

	import yfinance as yf
	import math

	stock = yf.Ticker("XOM") # Get ticker
	expiration = stock.options[0] # Get next expiration date
	opt = stock.option_chain(expiration) # Get the option chain

	options = opt.calls # Get options
	for idx_left_body, left_body in options.iterrows(): # Iterate over all options
	left_wings = options[options['strike'] < left_body['strike']] # Get left wings

crapher / put_butterflies.py

Created February 18, 2020 01:21

All available long butterfly put spreads

	import yfinance as yf
	import math

	stock = yf.Ticker("MSFT") # Get ticker
	expiration = stock.options[0] # Get next expiration date
	opt = stock.option_chain(expiration) # Get the option chain

	options = opt.puts # Get options
	for idx_body, body in options.iterrows(): # Iterate over all options
	left_wings = options[options['strike'] < body['strike']] # Get left wings

crapher / simple_bot_framework.py

Created February 16, 2020 19:31

Simple Bot Framework

	from yahoo_fin import stock_info as si
	import time

	# Settings
	ticker = "MSFT" # Ticker to follow
	portfolio_cash = 10000 # Starting cash
	portfolio_stocks = 0 # Starting stocks
	commisions = 0.005 # Commissions

	# Function implemented

crapher / call_butterflies.py

Created February 15, 2020 21:21

All butterflies available with 10 contracts or less

	import yfinance as yf
	import math

	stock = yf.Ticker("AAPL") # Get ticker
	expiration = stock.options[0] # Get next expiration date
	opt = stock.option_chain(expiration) # Get the option chain

	options = opt.calls # Get options
	for idx_body, body in options.iterrows(): # Iterate over all options
	left_wings = options[options['strike'] < body['strike']] # Get left wings