Class: OptionMaxPain::Calculator

Inherits:
Object
  • Object
show all
Defined in:
lib/option_max_pain/calculator.rb

Direct Known Subclasses

NseCalculator

Class Method Summary collapse

Class Method Details

.calculate_max_pain(options) ⇒ Object 



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# File 'lib/option_max_pain/calculator.rb', line 3

def self.calculate_max_pain(options)
  # options should be a hash with available strikes as keys that contains
  # a hash of its OI of call and put options
  # Eg =>
  # options = {7700 => {call: 2131, put: 1234}, 7800 => {call: 890, put: 8209183}}

  options_pain = {}
  sorted_strikes = options.keys.sort

  sorted_strikes.each_with_index do |strike, index| 
    loss_due_to_call = sorted_strikes[0..index].collect do |key|
      options[key][:call] * (strike - key)
    end.sum

    loss_due_to_put = sorted_strikes[index..-1].collect do |key|
      options[key][:put] * (key - strike)
    end.sum

    options_pain[strike] = loss_due_to_call + loss_due_to_put
  end
  options_pain.min_by {|k,v| v}
end