Compare commits
13 Commits
| Author | SHA1 | Date |
|---|---|---|
 Avraham Sakal
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74f1358386 | 2 years ago |
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Avraham Sakal
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9dec57681f | 2 years ago |
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Avraham Sakal
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582d868568 | 2 years ago |
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Avraham Sakal
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f3698ec8bd | 2 years ago |
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Avraham Sakal
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0856c9f3d4 | 2 years ago |
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Avraham Sakal
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f54b42d0ad | 2 years ago |
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Avraham Sakal
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2fb6e8506b | 2 years ago |
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Avraham Sakal
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60921dcc76 | 2 years ago |
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Avraham Sakal
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bebd996796 | 2 years ago |
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Avraham Sakal
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d49caf4bde | 2 years ago |
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Avraham Sakal
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87f5d5f6d5 | 2 years ago |
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Avraham Sakal
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345bded212 | 2 years ago |
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Avraham Sakal
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b02c71d206 | 2 years ago |
@ -0,0 +1,9 @@
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Choose Underlying
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Choose Quote Date (i.e. from which point in time are you running the analysis)
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Choose Strike
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For each front-month-back-month combination:
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Lookup the cost to open the position
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At the front month's expiration, the back-month will have a certain DTE. Determine what IV the back-month will need in order to offset this cost, for all possible underlying prices.
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Determine the 30-day lo-hi range for IV, normalized for distance-from-the-money and time-to-expiry.
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In other words, a naive 30-day-lo-hi isn't informative, because maybe it was low due to long time-to-expiry, or high due to distance-from-the-money
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Normalize the IV that was determined to yield a profit, and see if it's higher than the bottom of the lo-hi range. If it is, it's safe; the only way to lose is for it to end-off having a lower IV than the 30-day record.
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@ -0,0 +1,21 @@
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/* esbuild-css-modules-plugin-ns-css:src/App.module.css */
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.App-module__app_gPMrEW__001 {
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flex-direction: column;
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display: flex;
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}
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||||
.App-module__app_gPMrEW__001 > .App-module__form_gPMrEW__001 {
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flex-direction: column;
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max-width: 30em;
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display: flex;
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}
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.App-module__app_gPMrEW__001 > .App-module__form_gPMrEW__001 > .App-module__underlyingPrice_gPMrEW__001 {
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flex-direction: row;
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justify-content: flex-start;
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gap: .6em;
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display: flex;
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}
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.App-module__app_gPMrEW__001 > .App-module__form_gPMrEW__001 > .App-module__picker_gPMrEW__001 {
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flex-direction: row;
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justify-content: space-between;
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display: flex;
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}
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@ -0,0 +1,10 @@
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// src/App.module.css
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var App_module_default = {
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"app": "App-module__app_gPMrEW__001",
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"form": "App-module__form_gPMrEW__001",
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"picker": "App-module__picker_gPMrEW__001",
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"underlyingPrice": "App-module__underlyingPrice_gPMrEW__001"
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};
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export {
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App_module_default as default
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};
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@ -0,0 +1,21 @@
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/* esbuild-css-modules-plugin-ns-css:src/App.module.css */
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.App-module__app_gPMrEW__001 {
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flex-direction: column;
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display: flex;
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}
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.App-module__app_gPMrEW__001 > .App-module__form_gPMrEW__001 {
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flex-direction: column;
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max-width: 30em;
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display: flex;
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}
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.App-module__app_gPMrEW__001 > .App-module__form_gPMrEW__001 > .App-module__underlyingPrice_gPMrEW__001 {
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flex-direction: row;
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justify-content: flex-start;
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gap: .6em;
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display: flex;
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}
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.App-module__app_gPMrEW__001 > .App-module__form_gPMrEW__001 > .App-module__picker_gPMrEW__001 {
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flex-direction: row;
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justify-content: space-between;
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display: flex;
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}
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File diff suppressed because it is too large
Load Diff
@ -0,0 +1,20 @@
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.app {
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display:flex;
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flex-direction: column;
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}
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.app > .form {
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display:flex;
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flex-direction: column;
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max-width: 30em;
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}
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.app > .form > .underlyingPrice {
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display: flex;
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flex-direction: row;
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justify-content: flex-start;
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gap: 0.6em;
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}
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.app > .form > .picker {
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display: flex;
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flex-direction: row;
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justify-content: space-between;
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}
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@ -0,0 +1,52 @@
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import { Chart as ChartJS, Tooltip, Legend, LineElement, CategoryScale, LinearScale, PointElement } from "chart.js";
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import { Line } from 'react-chartjs-2';
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import { atom as $, useAtomValue } from 'jotai';
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import { loadable } from 'jotai/utils';
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import { useEffect } from "react";
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import { baseUrl, $selectedUnderlying, $selectedStrike, $selectedFrontExpiration, $selectedBackExpiration } from "./App";
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ChartJS.register(LineElement, Tooltip, Legend, CategoryScale, LinearScale, PointElement);
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export type CalendarPrice = {
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quote_date: string,
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price: number
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};
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const $prices = loadable<Promise<Array<CalendarPrice>>>($(async (get)=>{
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const selectedUnderlying = get($selectedUnderlying);
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const selectedStrike = get($selectedStrike);
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const selectedFrontExpiration = get($selectedFrontExpiration);
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const selectedBackExpiration = get($selectedBackExpiration);
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if(selectedUnderlying!=='' && selectedStrike!=='' && selectedFrontExpiration!=='' && selectedBackExpiration!==''){
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return await fetch(`${baseUrl}/option_quotes/${selectedUnderlying}/${selectedStrike}/${selectedFrontExpiration}/${selectedBackExpiration}`).then(x=>x.json()).catch(()=>[]);
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}
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else{
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return [];
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}
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}));
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export function CalendarPricesChart(){
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const prices = useAtomValue($prices);
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useEffect(()=>{ console.log(prices); },[prices])
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if(prices.state === 'hasData'){
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return (<div>
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<Line
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datasetIdKey='id'
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data={{
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labels: prices.data.map((x)=>x.quote_date.substring(0,10)),
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datasets: [
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{//@ts-ignore
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id: 1,
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label: '',
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data: prices.data.map((x)=>x.price),
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},
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],
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}}
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/>
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</div>);
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}
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else {
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return (<></>);
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}
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}
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@ -0,0 +1,27 @@
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import { Chart as ChartJS, Tooltip, Legend, LineElement, CategoryScale, LinearScale, PointElement } from "chart.js";
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import { Line } from 'react-chartjs-2';
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ChartJS.register(LineElement, Tooltip, Legend, CategoryScale, LinearScale, PointElement);
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export function HistoricalImpliedVolatilityChart(){
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return (<div>
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<Line
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datasetIdKey='id'
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data={{
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labels: ['Jun', 'Jul', 'Aug'],
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datasets: [
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{//@ts-ignore
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id: 1,
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label: '',
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data: [5, 6, 7],
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},
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{//@ts-ignore
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id: 2,
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label: '',
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data: [3, 2, 1],
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},
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],
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}}
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/>
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</div>);
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}
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@ -0,0 +1,55 @@
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import { useEffect, useMemo } from "react";
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import { atom as $, useAtom, Atom, PrimitiveAtom, useAtomValue, useSetAtom, } from 'jotai';
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import { baseUrl } from "./App";
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import { useCommand } from "./util";
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type PickerInput = {
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$options?:PrimitiveAtom<Array<string>>,
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$isLoading?:PrimitiveAtom<boolean>,
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$selectedOptionValue?:PrimitiveAtom<string>,
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$url:Atom<string>,
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$isEnabled?:Atom<boolean>
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};
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export function Picker({
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$url,
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$options = useMemo(()=>$([]), []),
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$isLoading = useMemo(()=>$(true),[]),
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$isEnabled = useMemo(()=>$(true),[]),
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$selectedOptionValue = useMemo(()=>$(''), [])
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}: PickerInput){
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const url = useAtomValue($url);
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const options = useAtomValue($options);
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const isLoading = useAtomValue($isLoading);
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const [selectedOptionValue, setSelectedOptionValue] = useAtom($selectedOptionValue);
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const isEnabled = useAtomValue($isEnabled);
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const handleFetchedOptions = useCommand((get,set,options)=>{
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set($options, options);
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set($isLoading, false);
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}, [$options, $isLoading]);
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useEffect(()=>{
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if(isEnabled){
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fetch(url)
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.then(x=>x.json())
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.catch((err)=>['AAPL', 'MSFT', 'GOOG'])
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.then(handleFetchedOptions)
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}
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},[url, isEnabled])
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return (
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<div>
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{isLoading
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?
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<span>Loading...</span>
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:
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<select value={selectedOptionValue} onChange={(e)=>{ setSelectedOptionValue(e.target.value); }}>
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<option key="" value=""></option>
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{options.map((date)=>
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<option key={date} value={date}>{date}</option>
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)}
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</select>
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}
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</div>
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);
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}
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@ -1,32 +0,0 @@
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import { useEffect, useState } from "react";
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import { atom as $, useAtom } from 'jotai';
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const $dates = $<Array<string>>([]);
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const $isLoading = $<boolean>(false);
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export function QuoteDatePicker(){
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const [dates, setDates] = useAtom($dates);
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const [isLoading, setIsLoading] = useAtom($isLoading);
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useEffect(()=>{
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fetch('http://127.0.0.1:8234/option_quotes/AAPL/quote_dates')
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.then(x=>x.json())
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.catch((err)=>['2021-01-02', '2021-01-03', '2021-01-04'])
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.then((dates_)=>{ setDates(dates_); setIsLoading(false); })
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},[])
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return (
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<div>
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{isLoading
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?
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<span>Loading...</span>
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:
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<select>
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{dates.map((date)=>
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<option key={date} value={date}>{date}</option>
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)}
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</select>
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}
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</div>
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);
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}
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@ -0,0 +1,23 @@
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import { atom as $, useAtom, useAtomValue } from 'jotai';
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import { useEffect } from 'react';
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import { useCommand, useLocalAtom } from './util';
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import { baseUrl } from './App';
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export function UnderlyingPrice({$underlying, $quoteDate}){
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const underlying = useAtomValue($underlying);
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const quoteDate = useAtomValue($quoteDate) as String;
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const $underlyingPrice = useLocalAtom('', [$underlying, $quoteDate]);
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const [underlyingPrice, setUnderlyingPrice] = useAtom($underlyingPrice);
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const handleInit = useCommand(()=>{
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fetch(`${baseUrl}/underlying_quotes/${underlying}/${quoteDate.substring(0,10)}`).then((x)=>x.json())
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.then((rows)=>{ setUnderlyingPrice(rows[0].close.toString()); });
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},[underlying, quoteDate]);
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//@ts-ignore
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useEffect(handleInit,[underlying, quoteDate]);
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return (
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<span>{underlyingPrice}</span>
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);
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}
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@ -0,0 +1,96 @@
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import { useSetAtom, atom as $ } from "jotai";
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import { useMemo } from "react";
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// from [https://stackoverflow.com/a/14873282]
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function erf(x) {
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// save the sign of x
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var sign = (x >= 0) ? 1 : -1;
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x = Math.abs(x);
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// constants
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var a1 = 0.254829592;
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var a2 = -0.284496736;
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var a3 = 1.421413741;
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var a4 = -1.453152027;
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var a5 = 1.061405429;
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var p = 0.3275911;
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// A&S formula 7.1.26
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var t = 1.0/(1.0 + p*x);
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var y = 1.0 - (((((a5 * t + a4) * t) + a3) * t + a2) * t + a1) * t * Math.exp(-x * x);
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return sign * y; // erf(-x) = -erf(x);
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}
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// produced by ChatGPT
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export function calculateImpliedVolatility({optionPrice, underlyingPrice, strikePrice, timeToExpiration, riskFreeRate=0.03, optionType='call', maxIterations = 100, tolerance = 0.0001}) {
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let iv = 0.5; // Initial guess for implied volatility
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let epsilon = 1e-6; // Small value to avoid division by zero
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for (let i = 0; i < maxIterations; i++) {
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const optionPriceEstimate = calculateOptionPrice(underlyingPrice, strikePrice, timeToExpiration, iv, riskFreeRate, optionType);
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const vega = calculateVega(underlyingPrice, strikePrice, timeToExpiration, iv, riskFreeRate);
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const diff = optionPrice - optionPriceEstimate;
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if (Math.abs(diff) < tolerance) {
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return iv;
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}
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iv = iv + (diff / (vega || epsilon)); // Avoid division by zero
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}
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return NaN; // If max iterations are reached, return NaN (no convergence)
|
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}
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function calculateOptionPrice(S, K, T, impliedVolatility, r, optionType) {
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const d1 = (Math.log(S / K) + (r + (impliedVolatility ** 2) / 2) * T) / (impliedVolatility * Math.sqrt(T));
|
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const d2 = d1 - impliedVolatility * Math.sqrt(T);
|
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if (optionType === 'call') {
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return S * Math.exp(-r * T) * cumulativeDistributionFunction(d1) - K * Math.exp(-r * T) * cumulativeDistributionFunction(d2);
|
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} else if (optionType === 'put') {
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return K * Math.exp(-r * T) * cumulativeDistributionFunction(-d2) - S * Math.exp(-r * T) * cumulativeDistributionFunction(-d1);
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} else {
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throw new Error('Invalid option type. Use "call" or "put".');
|
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}
|
||||
}
|
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|
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function calculateVega(S, K, T, impliedVolatility, r) {
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const d1 = (Math.log(S / K) + (r + (impliedVolatility ** 2) / 2) * T) / (impliedVolatility * Math.sqrt(T));
|
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return S * Math.sqrt(T) * probabilityDensityFunction(d1);
|
||||
}
|
||||
|
||||
function cumulativeDistributionFunction(x) {
|
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return 0.5 * (1 + erf(x / Math.sqrt(2)));
|
||||
}
|
||||
|
||||
function probabilityDensityFunction(x) {
|
||||
return Math.exp(-0.5 * x ** 2) / Math.sqrt(2 * Math.PI);
|
||||
}
|
||||
|
||||
// Example usage
|
||||
/*
|
||||
const optionPrice = 5.25; // Example option price
|
||||
const underlyingPrice = 50; // Example underlying stock price
|
||||
const strikePrice = 50; // Example strike price
|
||||
const timeToExpiration = 0.25; // Example time to expiration (in years)
|
||||
const riskFreeRate = 0.03; // Example risk-free interest rate
|
||||
const optionType = 'call'; // Example option type ('call' or 'put')
|
||||
|
||||
const impliedVolatility = calculateImpliedVolatility({optionPrice, underlyingPrice, strikePrice, timeToExpiration, riskFreeRate, optionType});
|
||||
console.log('Implied Volatility:', impliedVolatility);
|
||||
*/
|
||||
|
||||
export function useLocalAtom(initialValue, deps){
|
||||
return useMemo(()=>$(initialValue), deps);
|
||||
}
|
||||
|
||||
/**
|
||||
* Define a "command": a function that mutates state. It's passed `get` and `set` functions to access Jotai atoms, in addition to any other parameters.
|
||||
* The function is memoized and is returned in the form of a Jotai "set" atom. It's called like any other function.
|
||||
* @param fn The function to memoize
|
||||
* @param deps Dependency array; when to re-memoize the function
|
||||
* @returns
|
||||
*/
|
||||
export function useCommand(fn, deps){
|
||||
return useSetAtom(useMemo(()=>$(null, fn),deps));
|
||||
}
|
||||
@ -1,5 +1,6 @@
|
||||
{
|
||||
"compilerOptions": {
|
||||
"jsx": "react-jsx"
|
||||
"jsx": "react-jsx",
|
||||
"lib": ["DOM", "DOM.Iterable", "ES2017"]
|
||||
},
|
||||
}
|
||||
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Reference in New Issue