strategy-lab/to_explore/pyquantnews/51_IVTermStructureSkew.ipynb

This code uses the OpenBB Terminal SDK to analyze option chains for the SPY ETF. It fetches option chains and expiration dates from the Yahoo Finance source, and identifies the at-the-money (ATM) strike price for SPY options. It then plots the implied volatility (IV) term structure for ATM call options and the IV skew for call options with a specific expiration date. This is useful for visualizing how implied volatility varies across different strike prices and expiration dates, aiding in options trading strategies.

In [ ]:

from openbb_terminal.sdk import openbb

In [ ]:

import matplotlib.pyplot as plt
plt.rc("font", size=10)

Fetch option chains for SPY from Yahoo Finance

In [ ]:

chains = openbb.stocks.options.chains(
    symbol="SPY", 
    source="YahooFinance"
)

Fetch expiration dates for SPY options

In [ ]:

expirations = openbb.stocks.options.expirations("SPY")

Retrieve the last adjusted closing price for SPY

In [ ]:

last = (
    openbb
    .stocks
    .load("SPY")
    .iloc[-1]["Adj Close"]
)

In [ ]:

last

Identify the index of the strike price closest to the last adjusted closing price

In [ ]:

idx = (
    (chains.strike - last)
    .abs()
    .sort_values()
    .index[0]
)

Retrieve the at-the-money (ATM) strike price

In [ ]:

atm_strike = (
    chains
    .iloc[idx]
    .strike
)

Filter the option chains to get only the ATM call options

In [ ]:

calls = (
    chains[
        (chains.strike == atm_strike) 
        & (chains.optionType == "call")
    ]
)

Plot the implied volatility term structure for ATM call options

In [ ]:

(
    calls
    .set_index("expiration")
    .impliedVolatility.plot(title="IV term structure for ATM call options")
)

Filter the option chains to get call options expiring on a specific date

In [ ]:

calls = (
    chains[
        (chains.expiration == expirations[4]) 
        & (chains.optionType == "call")
    ]
)

Plot the implied volatility skew for call options with the specified expiration date

In [ ]:

(
    calls
    .set_index("strike")
    .impliedVolatility
    .plot(title=f"IV term structure for call options expiring {expirations[1]}")
)

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