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fix columns subtracting (#5170)

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This commit is contained in:
Danglewood
2023-06-22 14:52:48 -07:00
committed by GitHub
parent f516173fdc
commit 4bc4368ff1
2 changed files with 12 additions and 10 deletions
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20
openbb_terminal/stocks/options/options_chains_model.py
View File

@@ -1458,26 +1458,28 @@ def calculate_skew(
["expiration", "optionType", "strike", "impliedVolatility"]
]
call = call.set_index("expiration")
call["skew"] = (
call.impliedVolatility
- call.query("`strike` == @atm_call_strike")["impliedVolatility"]
)[0]
call_atm_iv = call.query("`strike` == @atm_call_strike")[
"impliedVolatility"
].iloc[0]
call["ATM IV"] = call_atm_iv
call["Skew"] = call["impliedVolatility"] - call["ATM IV"]
call_skew = pd.concat([call_skew, call])
atm_put_strike = get_nearest_put_strike(options, day) # noqa:F841
put = puts[puts["dte"] == day][
["expiration", "optionType", "strike", "impliedVolatility"]
]
put = put.set_index("expiration")
put["skew"] = (
put.impliedVolatility
- put.query("`strike` == @atm_put_strike")["impliedVolatility"]
)[0]
put_atm_iv = put.query("`strike` == @atm_put_strike")["impliedVolatility"].iloc[
0
]
put["ATM IV"] = put_atm_iv
put["Skew"] = put["impliedVolatility"] - put["ATM IV"]
put_skew = pd.concat([put_skew, put])
call_skew = call_skew.set_index(["strike", "optionType"], append=True)
put_skew = put_skew.set_index(["strike", "optionType"], append=True)
skew_df = pd.concat([call_skew, put_skew]).sort_index().reset_index()
cols = ["Expiration", "Strike", "Option Type", "IV", "Skew"]
cols = ["Expiration", "Strike", "Option Type", "IV", "ATM IV", "Skew"]
skew_df.columns = cols
if expiration != "":
if expiration not in options.expirations:

2
tests/openbb_terminal/stocks/options/json/test_options_chains_model/test_OptionsChains_9.json vendored
View File

@@ -1 +1 @@
["Expiration", "Strike", "Option Type", "IV", "Skew"]
["Expiration", "Strike", "Option Type", "IV", "ATM IV", "Skew"]