Class: Iro::Option

Inherits:
Object
  • Object
show all
Includes:
OptionBlackScholes, Mongoid::Document, Mongoid::Paranoia, Mongoid::Timestamps
Defined in:
app/models/iro/option.rb

Instance Attribute Summary collapse

Class Method Summary collapse

Instance Method Summary collapse

Methods included from OptionBlackScholes

#call_price, #d1, #d2, #put_price, rate_annual, rate_daily, #stdev, #t

Instance Attribute Details

#recompute ⇒ Object

Returns the value of attribute recompute.



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# File 'app/models/iro/option.rb', line 9

def recompute
  @recompute
end

Class Method Details

.expirations_list(full: false, n: 5) ⇒ Object 



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# File 'app/models/iro/option.rb', line 30

def self.expirations_list full: false, n: 5
  out = [[nil,nil]]
  day = Date.today - 5.days
  n.times do
    next_exp = day.next_occurring(:thursday).next_occurring(:friday)
    if !next_exp.workday?
      next_exp = Time.previous_business_day( next_exp )
    end

    out.push([ next_exp.strftime('%b %e'), next_exp.strftime('%Y-%m-%d') ])
    day = next_exp
  end
  return out
  # [
  #   [ nil, nil ],
  #   [ 'Mar 22', '2024-03-22'.to_date ],
  #   [ 'Mar 28', '2024-03-28'.to_date ],
  #   [ 'Apr 5',  '2024-04-05'.to_date ],
  #   [ 'Mar 12', '2024-03-12'.to_date ],
  #   [ 'Mar 19', '2024-03-19'.to_date ],
  # ]
end

.max_pain(hash) ⇒ Object 



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# File 'app/models/iro/option.rb', line 90

def self.max_pain hash
  outs = {}

  %w| put call |.each do |contractType|
    dates = hash["#{contractType}ExpDateMap"]
    dates.each do |_date, strikes| ## _date="2023-02-10:5"
      date = _date.split(':')[0].to_date.to_s
      outs[date] ||= {
        'all'  => {},
        'call' => {},
        'put'  => {},
        'summary' => {},
      }

      strikes.each do |_strike, _v| ## _strike="18.5"
        strike = _strike.to_f

        ## calls
        mem_c = 0
        strikes.keys.reverse.each do |_key|
          if _key == _strike
            break
          end
          key = _key.to_f
          tmp = hash["callExpDateMap"][_date][_key][0]['openInterest'] * ( key - strike )
          mem_c += tmp
        end
        outs[date]['call'][_strike] = mem_c

        ## puts
        mem_p = 0
        strikes.keys.each do |_key|
          if _key == _strike
            break
          end
          key = _key.to_f
          tmp = hash["putExpDateMap"][_date][_key][0]['openInterest'] * ( strike - key )
          mem_p += tmp
        end
        outs[date]['put'][_strike] = mem_p
        outs[date]['all'][_strike] = mem_c + mem_p

      end
    end
  end

  ## compute summary
  outs.each do |date, types|
    all = types['all']
    outs[date]['summary'] = { 'value' => all.keys[0] }
    all.each do |strike, amount|
      if amount < all[ outs[date]['summary']['value'] ]
        outs[date]['summary']['value'] = strike
      end
    end
  end

  return outs
end

Instance Method Details

#put_call ⇒ Object

each option can be a leg in a position, no uniqueness validates :symbol, uniqueness: true, presence: true



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# File 'app/models/iro/option.rb', line 20

field :put_call, type: :string

#symbol ⇒ Object

for TDA



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# File 'app/models/iro/option.rb', line 65

def symbol
  if !self[:symbol]
    p_c_ = put_call == 'PUT' ? 'P' : 'C'
    strike_ = strike.to_i == strike ? strike.to_i : strike
    sym = "#{stock.ticker}_#{expires_on.strftime("%m%d%y")}#{p_c_}#{strike_}" # XYZ_011819P45
    self[:symbol] = sym
    save
  end
  self[:symbol]
end

#sync ⇒ Object

do not sync in test



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# File 'app/models/iro/option.rb', line 76

before_save :sync, if: ->() { !Rails.env.test? }

#ticker ⇒ Object 



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# File 'app/models/iro/option.rb', line 12

def ticker; stock.ticker; end