Parity (#806)

* Refactored code, added parity

* Got call price

* Finalized feature

* added documentation

* Added changes except number limit

* Added limit to number of data points

* Updated duplicated variable names

* Added docstrings, updated filtering

Co-authored-by: Colin Delahunty <colindelahunty@Colins-MacBook-Air.local>
Co-authored-by: Colin Delahunty <colindelahunty@Colins-Air.indiana.edu>

gamestonk_terminal/helper_funcs.py

@@ -17,6 +17,7 @@ from colorama import Fore, Style
 from pandas._config.config import get_option
 from pandas.plotting import register_matplotlib_converters
 import pandas.io.formats.format
+import requests
 from screeninfo import get_monitors
 from gamestonk_terminal import feature_flags as gtff
 from gamestonk_terminal import config_plot as cfgPlot
@@ -711,3 +712,23 @@ def export_data(
                     print("Wrong export file specified.\n")
 
                 print(f"Saved file: {saved_path}\n")
+
+
+def get_rf() -> float:
+    """
+    Uses the fiscaldata.gov API to get most recent T-Bill rate
+
+    Returns
+    -------
+    float
+        The current US T-Bill rate
+    """
+    try:
+        base = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service"
+        end = "/v2/accounting/od/avg_interest_rates"
+        filters = "?filter=security_desc:eq:Treasury Bills&sort=-record_date"
+        response = requests.get(base + end + filters)
+        latest = response.json()["data"][0]
+        return round(float(latest["avg_interest_rate_amt"]) / 100, 8)
+    except Exception:
+        return 0.02

gamestonk_terminal/options/options_controller.py

@@ -62,6 +62,7 @@ class OptionsController:
         "unu",
         "stocks",
         "payoff",
+        "parity",
         "smile",
     ]
 
@@ -138,6 +139,7 @@ Current Expiry: {self.selected_date or None}
     hist          plot option history [Tradier]
     grhist        plot option greek history [Syncretism.io]
     smile         plot the volatility smile for the expiration date [Yfinance]
+    parity        shows whether options are above or below expected price [Yfinance]
 >   payoff        shows payoff diagram for a selection of options [Yfinance]
 {Style.RESET_ALL if not colored else ''}"""
         print(help_text)
@@ -1076,6 +1078,66 @@ Current Expiry: {self.selected_date or None}
         """Process stocks command"""
         return stocks_controller.menu(self.ticker)
 
+    def call_parity(self, other_args: List[str]):
+        """Process parity command"""
+        parser = argparse.ArgumentParser(
+            add_help=False,
+            formatter_class=argparse.ArgumentDefaultsHelpFormatter,
+            prog="parity",
+            description="Shows whether options are over or under valued",
+        )
+
+        parser.add_argument(
+            "-p",
+            "--put",
+            action="store_true",
+            default=False,
+            dest="put",
+            help="Shows puts instead of calls",
+        )
+        parser.add_argument(
+            "-a",
+            "--ask",
+            action="store_true",
+            default=False,
+            dest="ask",
+            help="Use ask price instead of lastPrice",
+        )
+        parser.add_argument(
+            "-m",
+            "--min",
+            type=float,
+            default=None,
+            dest="mini",
+            help="Minimum strike price shown",
+        )
+        parser.add_argument(
+            "-M",
+            "--max",
+            type=float,
+            default=None,
+            dest="maxi",
+            help="Maximum strike price shown",
+        )
+        try:
+            ns_parser = parse_known_args_and_warn(parser, other_args)
+            if not ns_parser:
+                return
+            if not self.ticker and not self.selected_date:
+                print("Ticker and expiration required. \n")
+                return
+            yfinance_view.show_parity(
+                self.ticker,
+                self.selected_date,
+                ns_parser.put,
+                ns_parser.ask,
+                ns_parser.mini,
+                ns_parser.maxi,
+            )
+            print("")
+        except Exception as e:
+            print(e, "\n")
+
 
 def menu(ticker: str = ""):
     """Options Menu."""

gamestonk_terminal/options/yfinance_view.py

@@ -4,18 +4,25 @@ __docformat__ = "numpy"
 import os
 from bisect import bisect_left
 from typing import List, Dict, Any
+from datetime import datetime, date
 
 import matplotlib.pyplot as plt
 import numpy as np
 import pandas as pd
 import seaborn as sns
 import yfinance as yf
+from tabulate import tabulate
 
 import gamestonk_terminal.config_plot as cfp
 import gamestonk_terminal.feature_flags as gtff
 from gamestonk_terminal.helper_funcs import export_data, plot_autoscale
 from gamestonk_terminal.options import op_helpers, yfinance_model
-from gamestonk_terminal.options.yfinance_model import generate_data
+from gamestonk_terminal.options.yfinance_model import (
+    generate_data,
+    get_option_chain,
+    get_price,
+)
+from gamestonk_terminal.helper_funcs import get_rf
 
 
 def plot_oi(
@@ -448,3 +455,79 @@ def plot_payoff(
     plt.legend()
     plt.show()
     print("")
+
+
+def show_parity(
+    ticker: str, exp: str, put: bool, ask: bool, mini: float, maxi: float
+) -> None:
+    """Prints options and whether they are under or over priced [Source: Yahoo Finance]
+
+    Parameters
+    ----------
+    ticker: str
+        Ticker to get expirations for
+    exp: str
+        Expiration to use for options
+    put: bool
+        Whether to use puts or calls
+    ask: bool
+        Whether to use ask or lastPrice
+    mini: float
+        Minimum strike price to show
+    maxi: float
+        Maximum strike price to show
+
+    """
+    r_date = datetime.strptime(exp, "%Y-%m-%d").date()
+    delta = (r_date - date.today()).days / 365
+    rate = ((1 + get_rf()) ** delta) - 1
+    stock = get_price(ticker)
+    chain = get_option_chain(ticker, exp)
+    name = "ask" if ask else "lastPrice"
+    o_type = "put" if put else "call"
+
+    calls = chain.calls[["strike", name]].copy()
+    calls = calls.rename(columns={name: "callPrice"})
+    puts = chain.puts[["strike", name]].copy()
+    puts = puts.rename(columns={name: "putPrice"})
+
+    opts = pd.merge(calls, puts, on="strike")
+    opts = opts.dropna()
+    opts = opts.loc[opts["callPrice"] * opts["putPrice"] != 0]
+
+    opts["callParity"] = opts["putPrice"] + stock - (opts["strike"] / (1 + rate))
+    opts["putParity"] = (opts["strike"] / (1 + rate)) + opts["callPrice"] - stock
+
+    diff = o_type + " Difference"
+    opts[diff] = opts[o_type + "Price"] - opts[o_type + "Parity"]
+    opts["distance"] = abs(stock - opts["strike"])
+    filtered = opts.copy()
+
+    if mini is None:
+        mini = filtered.strike.quantile(0.25)
+    if maxi is None:
+        maxi = filtered.strike.quantile(0.75)
+
+    filtered = filtered.loc[filtered["strike"] > mini]
+    filtered = filtered.loc[filtered["strike"] < maxi]
+
+    show = filtered[["strike", diff]].copy()
+
+    print("Warning: Low volume options may be difficult to trade.\n")
+    if ask:
+        print("Warning: Options with no current ask price not shown.\n")
+
+    if gtff.USE_TABULATE_DF:
+        print(
+            tabulate(
+                show,
+                headers=[x.title() for x in show.columns],
+                tablefmt="fancy_grid",
+                showindex=False,
+                floatfmt=".2f",
+            )
+        )
+    else:
+        print(show.to_string(index=False))
+
+    print("")

gamestonk_terminal/portfolio/portfolio_optimization/optimizer_helper.py

@@ -2,7 +2,6 @@
 __docformat__ = "numpy"
 
 import argparse
-import requests
 
 # These are all the possible yfinance properties
 l_valid_property_infos = [
@@ -106,16 +105,3 @@ def check_valid_property_type(aproperty: str) -> str:
         return aproperty
 
     raise argparse.ArgumentTypeError(f"{aproperty} is not a valid info")
-
-
-def get_rf() -> float:
-    """Uses the fiscaldata.gov API to get most recent T-Bill rate"""
-    try:
-        base = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service"
-        end = "/v2/accounting/od/avg_interest_rates"
-        filters = "?filter=security_desc:eq:Treasury Bills&sort=-record_date"
-        response = requests.get(base + end + filters)
-        latest = response.json()["data"][0]
-        return round(float(latest["avg_interest_rate_amt"]) / 100, 8)
-    except Exception:
-        return 0.02

gamestonk_terminal/portfolio/portfolio_optimization/optimizer_view.py

@@ -16,7 +16,7 @@ from gamestonk_terminal import feature_flags as gtff
 from gamestonk_terminal.config_plot import PLOT_DPI
 from gamestonk_terminal.helper_funcs import plot_autoscale
 from gamestonk_terminal.portfolio.portfolio_optimization import optimizer_model
-from gamestonk_terminal.portfolio.portfolio_optimization.optimizer_helper import get_rf
+from gamestonk_terminal.helper_funcs import get_rf
 
 d_period = {
     "1d": "[1 Day]",

gamestonk_terminal/portfolio/portfolio_optimization/po_controller.py

@@ -18,7 +18,7 @@ from gamestonk_terminal.portfolio.portfolio_optimization import (
     optimizer_helper,
 )
 
-from gamestonk_terminal.portfolio.portfolio_optimization.optimizer_helper import get_rf
+from gamestonk_terminal.helper_funcs import get_rf
 
 period_choices = [
     "1d",

gamestonk_terminal/stocks/fundamental_analysis/dcf_model.py

@@ -11,7 +11,6 @@ from openpyxl.styles import Border, Side, Font, PatternFill, Alignment
 from openpyxl import worksheet
 import yfinance as yf
 import pandas as pd
-import requests
 
 
 opts = Union[int, str, float]
@@ -60,16 +59,6 @@ def set_cell(
         ws[cell].number_format = num_form
 
 
-def get_rf():
-    """Uses the fiscaldata.gov API to get most recent T-Bill rate"""
-    base = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service"
-    end = "/v2/accounting/od/avg_interest_rates"
-    filters = "?filter=security_desc:eq:Treasury Bills&sort=-record_date"
-    response = requests.get(base + end + filters)
-    latest = response.json()["data"][0]
-    return latest["avg_interest_rate_amt"]
-
-
 def get_fama_raw():
     """Gets base Fama French data to calculate risk"""
     with urlopen(

gamestonk_terminal/stocks/fundamental_analysis/dcf_view.py

@@ -21,6 +21,8 @@ import requests
 from gamestonk_terminal.helper_funcs import parse_known_args_and_warn
 from gamestonk_terminal.stocks.fundamental_analysis import dcf_model
 
+from gamestonk_terminal.helper_funcs import get_rf
+
 int_or_str = Union[int, str]
 
 
@@ -90,7 +92,7 @@ class CreateExcelFA:
         self.df_is: pd.DataFrame = self.get_data("IS", self.is_start, True)
         self.df_cf: pd.DataFrame = self.get_data("CF", self.cf_start, False)
         self.info: pd.DataFrame = yf.Ticker(ticker).info
-        self.t_bill: float = dcf_model.get_rf()
+        self.t_bill: float = get_rf()
         self.r_ff: int = dcf_model.get_fama_coe(self.ticker)
 
     def create_workbook(self):

website/content/options/parity/_index.md

@@ -0,0 +1,14 @@
+```
+usage: parity [-p] [-a] [-m MINIMUM] [-M MAXIMUM] [-h]
+```
+
+shows the parity for options. in theory a short plus a stock should equal a call plus a bond.
+
+```
+optional arguments:
+  -a, --ask             uses ask price instead of lastPrice (default: False)
+  -p, --put             shows puts instead of calls (default: False)
+  -m, --min             the minimum strike price to be shown (default: None)
+  -M, --max             the maximum strike price to be shown (default: None)
+  -h, --help            show this help message (default: False)
+```

website/data/menu/main.yml

@@ -584,8 +584,10 @@ main:
         ref: "/options/grhist"
       - name: smile
         ref: "/options/smile"
-      - name: portfolio optimization
-        ref: "/portfolio/portfolio_optimization"
+      - name: parity
+        ref: "/options/parity"
+      - name: payoff
+        ref: "/options/payoff"
         sub:
           - name: add
             ref: "/options/payoff/add"