option-chain-analytics 1.1.3

Implementation of data management and outputs queries for Option Chains

OptionChainAnalytics

Analytics for processing option chain and options time series data

Core python dependencies:

python = ">=3.8,<3.11"
numba = ">=0.59.0"
numpy = ">=1.26.4"

Core packages dependencies

vanilla_option_pricers = ">=1.0.1"
qis = ">=2.0.68"

OptionChainAnalytics: Option Chain Analytics

Module option_chain_analytics implements generic features for operations with option chains

Implemented dataclass analytics

Expiry Slices

Expiry Slice in option_chain.py

Contains call and put options dataframes per each expiry

Option chain core data and anlytics object. Generally, option chain is a table of trading data (strikes, bids, asks, sizes, deltas, etc) for puts and calls. These tables are indexed by contract ids and the tables are arranged by maturities.
We term these tables as expiry slices.

implements request such as get_atm_vol , get_atm_option_strike , get_atm_call_id , get_atm_call_id , get_atm_put_id, get_call_delta_strike, get_put_delta_strike

Option Chain

SlicesChain in option_chain.py

Dataclass

Slices Chain

SlicesChain in option_chain.py

OptionsDataDFs(ChainTs)

ChainTs in chain_ts.py

dataclass containing time series of options data chain_ts: pd.DataFrame and spot data spot_data: pd.DataFrame

it implements query get_time_slice(timestamp) which returns data to create option chain dataclass

OptionsDataDFs(ChainTs)

def create_chain[test.py](..%2F..%2F..%2Fmisc%2Fderibit_websocket_Nova%2Ftest.py)_from_from_options_dfs(options_data_dfs: OptionsDataDFs,
                                       value_time: pd.Timestamp,
                                       ) -> Optional[SlicesChain]: