Black-Scholes +

Black–Scholes model for equity derivatives + corresponding option data.

Py Script designed to efficiently employ BSM formula via automatically calculating the annualized standard deviation of the underlying in addition to the spot price, time to expiry, dividend yield, and the risk-free rate for option prices while also printing the corresponding option chain and related info (i.e. implied volatility, bid/ask, open interest, etc.).

Installation

Script requires a few things, like yfinance for data, numpy for calculations, yada yada yada.

git clone https://github.com/pdkary/black-scholes-plus.git

pip3 install -r requirements.txt

Example Usage

The Report Generator, is the heart of the entire application. This module uses all other services to gather spot and option data for each ticker, and performs black-scholes calculations for each ticker/expiry/strike

As of right now, there are 3 methods of querying data

Specified Strikes

If you have strike prices in mind, you query data using a specified expiration date

tickers = ['AAPL', 'GOOG', 'NVDA']
strikes = {'AAPL':140,'GOOG':2200,'NVDA':610}
expr_date = "2021-09-17"
rg = ReportGenerator(tickers,0.012)
rg.get_report(expr_date,strikes).to_csv("outputfilename.csv")

If instead you wanted to query options at this strike for all available expiration dates

tickers = ['AAPL', 'GOOG', 'NVDA']
strikes = {'AAPL':140,'GOOG':2200,'NVDA':610}
rg = ReportGenerator(tickers,0.012)
rg.get_multi_expiration_report(strikes).to_csv("outputfilename.csv")

At-The-Money Strikes

If instead you do not have strike prices in mind, you can query ATM strike prices for a given expiration date

tickers = ['AAPL', 'GOOG', 'NVDA']
expr_date = "2021-09-17"
rg = ReportGenerator(tickers,0.012)
rg.get_ATM_report(expr_date).to_csv("outputfilename.csv")

You can also perform the same operation against all possible expiration dates

tickers = ['AAPL', 'GOOG', 'NVDA']
rg = ReportGenerator(tickers,0.012)
rg.get_ATM_multi_report().to_csv("outputfilename.csv")

At-The-Money Plus X

For calculation revolving around the ATM price, methods are included for adding relative and absolute increases/decreases to ATM price, at a given expiration date.

Absolute increase by $10, at specific expiry

tickers = ['AAPL', 'GOOG', 'NVDA']
expr_date = "2021-09-17"
rg = ReportGenerator(tickers,0.012)
rg.get_ATM_plus_x(expr_date,10).to_csv("outputfilename.csv")

Relative increase by 10%, at specific expiry

tickers = ['AAPL', 'GOOG', 'NVDA']
expr_date = "2021-09-17"
rg = ReportGenerator(tickers,0.012)
rg.get_ATM_plus_x_percent(expr_date,.10).to_csv("outputfilename.csv")

Absolute increase by $10, at all expiries

tickers = ['AAPL', 'GOOG', 'NVDA']
rg = ReportGenerator(tickers,0.012)
rg.get_ATM_multi_report_plus_x(10).to_csv("outputfilename.csv")

Relative increase by 10%, at all expiries

tickers = ['AAPL', 'GOOG', 'NVDA']
rg = ReportGenerator(tickers,0.012)
rg.get_ATM_multi_report_plus_x_percent(.10).to_csv("outputfilename.csv")

Note: all examples can be found in examples.py

Example output

If you were to run with examples.py file function ATM_strikes_with_expiration(), The following csv would be generated

id	contractSymbol	expiration	type	spot	strike	BSM Value	BSM% over ask	lastPrice	bid	ask	B/E	d% for BE	openInterest	Delta	Gamma	Theta	impliedVolatility	Annual Vol
0	AAPL210917C00130000	2021-09-17	CALL	129.87	130.0	129.85	8.34	13.7	13.6	13.9	143.9	0.11	19780.0	0.9999147094709087	3.8697739177355263e-07	-3.5017921561715013e-06	0.3561465753173828	0.4702678167915942
1	AAPL210917P00130000	2021-09-17	PUT	129.87	130.0	10.69	-0.23	13.8	13.7	13.85	116.15	-0.11	12775.0	-8.529052909134194e-05	3.8697739177355263e-07	0.0005066800889261278	0.3517520880126953	0.4702678167915942

Modules

Spot Data Service

Gathers market values for a set of securities, looking back over a given period, at a given interval.

Used for requesting data, and performing mathematical operations.

Option Data Service

Gathers market values for put and call options on securities, expiring on a given date, with specified strike prices for each ticker.

Currently used only for requesting and formatting yfinance data.

BSM_Calculator

This calculator uses the spot data service, to perform a vectorized black-scholes calculation on arrays of stock data. Calculations include BSM value for CALL/PUT, Greeks, Implied volatility.

Report Generator

Uses all previous modules to generate and display a report of recent calls, with BSM values, and implied/annual volatility.