This repository conducts buy- and sell- side analysis of call and put options on top 100 US firms by market cap. For a thorough introduction see the Wiki tab.
- This is an exploratory study with no profitable strategy in sight.
- Provision of codes is not an investment advice.
- All codes and analyses are subject to error.
– In a terminal window install the requirements as:
pip install -r requirements.txt
– In Python environment import the OptionM module as:
from optionm_module import OptionM as om
You will be asked to enter your credentials for accessing WRDS at this stage.
– Specify the module using study_period and horizon as:
a=om(tudy_period=range(2001,now.year-1),horizon=91,progress=100)
Choices for horizon are [10, 30, 60, 91, 122, 152, 182, 273, 365, 547,730]
– Obtain the necessary OptionMetrics record matched with CRSP through:
a.step1_crsp()
– Process the data to generate different proxies of volatitlity matched with each record as:
a.step2_proc()
– Analyse the data for a buy-side analysis for top market_cap_count firms by market capitalisation as:
[result_tbl = ] a.analyse_buy(market_cap_count=100)
– Analyse the data for a sell-side analysis for top market_cap_count firms by market capitalisation as:
[result_tbl = ] a.analyse_sell(market_cap_count=100)
result_tbl is a record of all findings in buy/sell side analysis as a DataFrame.
It is suggested that you replicate this process for different maturity periods (e.g. 30, 60, 91, 182, 365) to see the figures as in Wiki tab.
– The main chunk of data on option contract including details on premiums, implied volatility, and prices are from OptionMetrics.
– Market capitalisation information is obtained from CRSP. Only common stocks (Share Codes 10 and 11) listed in Exchange Codes 1 to 3 (NYSE and NASDAQ) are considered.
– Matching OptionMetric data with CRSP is done through 8-character CUSIP code from CUSIP Global Services.
All datasets are accessed through WRDS
To access and replicate the results you need an active subscription with WRDS. Specifically, you need active subscriptions to OptionMetrics, CUSIP, and CRSP libraries on WRDS.
The following packages in Python to run these scripts:
- WRDS
- Numpy
- Pandas
- statsmodels
- matplotlib