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vol_surface.py
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# FILE: `StockTrader/vol_surface.py`
from BinomialOptions import *
vol_surface_options = [];
# MRK Options Expiries
# ['2024-08-02', '2024-08-09', '2024-08-16', '2024-08-23', '2024-08-30', '2024-09-06', '2024-09-20', '2024-10-18', '2025-01-17', '2025-06-20', '2025-12-19', '2026-01-16', '2026-12-18']
mrk_expiries = options_data.get_expiry_dates('MRK');
print(f'MRK Options Expiries\n{mrk_expiries}');
for expiry in mrk_expiries:
mrk = BinomialOptions(symbol='MRK', option_expiry_days=(datetime.strptime(expiry, '%Y-%m-%d')-datetime.today()).days);
mrk.append_greeks_NPV();
mrk.options_chain.sort_values(by=['option_type', 'strike'], ascending=[True, True], inplace=True);
mrk.options_chain['Expiry'] = expiry;
mrk.options_chain['TTM'] = (datetime.strptime(expiry, '%Y-%m-%d')-datetime.today()).days;
vol_surface_options.append(mrk.options_chain);
# print(f'MRK OPTIONS ACROSS (EXPIRIES, STRIKES)\n{vol_surface_options}');
df_vol_surface = pd.concat(vol_surface_options, ignore_index=True);
# >>> df_vol_surface
# symbol strike bid ask mp bidsize asksize open_interest volume option_type NPV Delta Gamma Theta IV Expiry TTM
# 0 MRK240802C00070000 70.0 53.65 57.45 55.55 53 51 1 0 call 55.2616 0.9999 0.000 -0.5863 5.7739 2024-08-02 3
# 1 MRK240802C00075000 75.0 48.65 52.50 50.58 53 50 0 0 call 50.2623 0.9999 0.000 -0.8482 5.2547 2024-08-02 3
# 2 MRK240802C00080000 80.0 43.70 47.30 45.50 51 51 0 0 call 45.2630 0.9999 0.000 -1.1102 4.4446 2024-08-02 3
# 3 MRK240802C00085000 85.0 38.70 42.30 40.50 51 52 0 0 call 40.2638 0.9999 0.000 -1.3722 3.9145 2024-08-02 3
# 4 MRK240802C00090000 90.0 33.70 37.30 35.50 52 52 0 0 call 35.2645 0.9999 0.000 -1.6341 3.4154 2024-08-02 3
# .. ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
# 949 MRK261218P00175000 175.0 47.00 52.00 49.50 67 69 0 0 put 49.7400 -1.0000 0.002 5.5920 NaN 2026-12-18 871
# 950 MRK261218P00180000 180.0 52.55 57.00 54.78 55 52 0 0 put 54.7400 -1.0000 0.000 6.3506 0.2186 2026-12-18 871
# 951 MRK261218P00185000 185.0 57.50 61.90 59.70 52 51 0 0 put 59.7400 -1.0000 0.000 6.6126 NaN 2026-12-18 871
# 952 MRK261218P00190000 190.0 62.05 67.00 64.53 50 56 0 0 put 64.7400 -1.0000 0.000 6.8746 NaN 2026-12-18 871
# 953 MRK261218P00195000 195.0 67.60 72.00 69.80 51 51 0 0 put 69.7400 -1.0000 0.000 7.1366 0.2556 2026-12-18 871
# [954 rows x 17 columns]