voly 0.0.232__py3-none-any.whl → 0.0.234__py3-none-any.whl

voly/core/data.py

@@ -16,6 +16,7 @@ import datetime as dt
 import re
 import numpy as np
 from typing import List, Dict, Any, Optional, Union
+from voly.formulas import (bs, delta, gamma, vega, theta)
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 
@@ -250,7 +251,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     logger.info(f"Processing data for {currency}...")
 
     # Apply extraction to create new columns
-    df['spot_price'] = df['index_price']
+    df['spot_price'] = df['index_price'].iloc[0]
     s = df['spot_price'].iloc[0]
     df['instrument'] = df['instrument_name']
     splits = df['instrument'].str.split('-')
@@ -272,9 +273,9 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     df['bid_iv'] = df['bid_iv'].replace({0: np.nan}) / 100
     df['ask_iv'] = df['ask_iv'].replace({0: np.nan}) / 100
 
-    df['mark_price'] = df['mark_price'] * df['spot_price']
-    df['bid_price'] = df['best_bid_price'] * df['spot_price']
-    df['ask_price'] = df['best_ask_price'] * df['spot_price']
+    df['mark_price'] = df['mark_price'] * s
+    df['bid_price'] = df['best_bid_price'] * s
+    df['ask_price'] = df['best_ask_price'] * s
     df['bid_amount'] = df['best_bid_amount']
     df['ask_amount'] = df['best_ask_amount']
 
@@ -305,13 +306,21 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
 
     df['bid_depth'] = df['bids']
     df['ask_depth'] = df['asks']
-    df['open_interest'] = df['open_interest'] * df['spot_price']
-    df['volume'] = df['volume_usd']
+
+    df['bs'] = voly.bs(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['delta'] = voly.delta(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['gamma'] = voly.gamma(s, df['strikes'], 0, df['mark_iv'], df['t']) * 10000
+    df['vega'] = voly.vega(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['theta'] = voly.theta(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['rho'] = voly.rho(s, df['strikes'], 0, df['mark_iv'], df['t'])
+
+    df['open_interest'] = df['open_interest'] * s
+    df['volume'] = df['volume'] * s
 
     df = df[['currency', 'spot_price',
              'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry',
              'mark_iv', 'bid_iv', 'ask_iv', 'mark_price', 'bid_price', 'ask_price', 'bid_amount', 'ask_amount', 'bid_depth', 'ask_depth',
-             'delta', 'gamma', 'vega', 'theta', 'rho',
+             'bs', 'delta', 'gamma', 'vega', 'theta', 'rho',
              'interest_rate', 'open_interest', 'volume']]
 
     logger.info(f"Processing complete!")

{voly-0.0.232.dist-info → voly-0.0.234.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.232
+Version: 0.0.234
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.232.dist-info → voly-0.0.234.dist-info}/RECORD

@@ -5,7 +5,7 @@ voly/formulas.py,sha256=Jx2QSTkN3S_X1YWYXN3T0gBcxMKB_VLsqgDPg32ApmM,10833
 voly/models.py,sha256=CGJQr13Uie7iwtx2hjViN9lMXeRN_uOqzp4u8NPaTlA,9282
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=6MSU0z01fPOVSssodxdnFqchzDfupSmXq_e71WwDmVQ,12635
-voly/core/data.py,sha256=XXZ7IHIxSxkeJQgHsqKRjHRYommBZjISqwzMcm7IQ5c,12577
+voly/core/data.py,sha256=wal8YlTKjhztt1XCZzLF0kQ1JWxbFIyoHchtP50bxeY,13031
 voly/core/fit.py,sha256=R3aDgCjvZ30PujoE9pgnGQXPQOTTMbk7_-RQ0ZMx5ig,13918
 voly/core/hd.py,sha256=dSv197RmSWFWbRRdoBzMrD_poT7ZiJ8hdD_wKE-Li_M,13559
 voly/core/interpolate.py,sha256=GAkrqaar7A0D6UMipXQUp4vSHRfb44TmCG5Xiv9elXg,5176
@@ -13,8 +13,8 @@ voly/core/rnd.py,sha256=wiZ5OIjPDf1Th5_sQ9CZG5JgAo3EL8f63T_Rj1_VP-0,13214
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/density.py,sha256=ONpRli-IaJDgOZ2sb27HHFc9_tkkGSATKl94JODd86A,5879
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.232.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.232.dist-info/METADATA,sha256=nEcmyPl9T0lcs8SpkCuXyfqvfC_eO-z6i3hS-wmgBLQ,4115
-voly-0.0.232.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
-voly-0.0.232.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.232.dist-info/RECORD,,
+voly-0.0.234.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.234.dist-info/METADATA,sha256=Wl_C95JNc25vG12aaCN94QjLncRS5Q4OKNBFAguseGE,4115
+voly-0.0.234.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
+voly-0.0.234.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.234.dist-info/RECORD,,