Lightweight Robo-Advisor for Stock Options
The following use case is currently supported: scan all available options for one or more stocks in a time frame
Information about stock options for the underlyings are loaded in bulk based on your watchlist (example), filtered based on the given criteria and either printed on screen or stored on your file system.
Highlighted criteria which you can filter on:
- desired balance between open interest for PUT options and for CALL options
- desired market activity based on minimum daily volume
- desired time frame for expiration dates
- desired cash 'at risk' based on maximum strike price
- desired ROI based on minimum yield
- desired intrinsic value based on moneyness
As result, you can generate a CSV or XLSX file with similar content to this:
The raw information about stock options and market prices is loaded from Yahoo Finance and extended with additional calculations or hints.
- python 3.11 must be installed (I can recommend working with pyenv like so:
pyenv virtualenv 3.11 options-advisor) - the dependencies from the
./requirements.txtmust be installed via pip => run this command from command line within the root directory of this repo:pip3 install -r requirements.txt - OPTIONAL: if you want to export the results of your scan of stock options to XLSX format, then you need to run
pip3 install openpyxlso that you have the required python modules on your local machine
To run this command from command line, you have the following options:
usage: run.py [-h] -i INPUT_FILE [-mode MODE] [-ms MAX_STRIKE] [-mp MIN_PUTS] [-mc MIN_CALLS]
[-mv MIN_VOLUME] [-my MIN_YIELD] [-mn MONEYNESS] [-swo START_WEEK_OFFSET]
[-ewo END_WEEK_OFFSET] [-o OUTPUT_PATH] [-f OUTPUT_FORMAT]
gathers data about stock options
options:
-h, --help show this help message and exit
-i INPUT_FILE an input file defining the settings to scan for options
-ds DATASOURCE yahoofin (default) or yoptions
-mode MODE PUT (default) or CALL
-ms MAX_STRIKE filter for maximum acceptable strike (Default = 60)
-mp MIN_PUTS filter for minium available interest in PUTs (Default = 1000)
-mc MIN_CALLS filter for minium available interest in CALLs (Default = 1000)
-mv MIN_VOLUME filter for minium available volume (Default = 100)
-my MIN_YIELD filter for minimum acceptable yield (Default = 10)
-mn MONEYNESS filter for the moneyness: OTM (default), ITM or ATM
-swo START_WEEK_OFFSET
offset from current week to start searching for expiry dates (Default = 3)
-ewo END_WEEK_OFFSET offset from current week to end searching for expiry dates (Default = 7)
-o OUTPUT_PATH destination to write the result to. If empty, then no data is written to disk. Instead it is printed on screen (Default = None)
-f OUTPUT_FORMAT CSV (default) or XLSX (requires python module openpyxl)For example, you can execute the program in your console as follows:
python3 -m src.run -i ./resources/samples/settings.example.json -ms 35 -o ./out/results.csvAfter execution, the program will end with a summary similar to this:
searching for PUT options between calendar weeks 52/2023 - 4/2024
|████████████████████████████████████████| 8/8 [100%] in 9.8s (0.77/s)
-------- SUMMARY ---------
finished run on: 04/12/2023, 19:45:41
started scan at: 9 seconds ago (took 9.80 seconds overall)
scanned 2 underlyings: ['AMZN', 'BAC']
applied filter: Filter(min_puts=1000, min_calls=1000, min_volume=100, min_yield=10, max_strike=35.0, moneyness=OTM)
found options: 4
results written to disk: ./out/results.csvwill be provided in the future
will be provided in the future
simply run coverage run -m pytest from the root directory to see an overview of successful and failing tests.
If you want to run a specific test, just invoke pytest -k "DataSourceAggregatorTest" whereas "DataSourceAggregatorTest" is the name of your test class and/or method.
see answer to following stack overflow article for further info: https://stackoverflow.com/questions/1896918/running-unittest-with-typical-test-directory-structure