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In [1]:

    
%pylab inline
import pandas as pd
from datetime import date, timedelta, datetime

pd.set_option('display.max_rows', 10)
pd.set_option('display.max_columns', 10)









    



Populating the interactive namespace from numpy and matplotlib



In [2]:

    
optionsDataFrame = pd.DataFrame.from_csv('data/pandas/SPY.csv')



In [3]:

    
optionsDataFrame









    Out[3]:






  
    
      
      optionroot
      quotedate
      expiration
      underlying_last
      type
      strike
      last
      bid
      ask
      volume
      impliedvol
      delta
      gamma
      theta
      vega
    
  
  
    
      0     
       SXO090919C00020000
       09/01/2009
       09/19/2009
       100.20
       call
        20
        65.70
        80.00
        80.25
         0
       2.9366
       0.9979
       0.0105
      -1.2618
        0.1445
    
    
      1     
       SXO090919C00024000
       09/01/2009
       09/19/2009
       100.20
       call
        24
        66.35
        76.00
        76.25
         0
       2.6070
       0.9976
       0.0132
      -1.2512
        0.1611
    
    
      2     
       SXO090919C00025000
       09/01/2009
       09/19/2009
       100.20
       call
        25
        65.35
        75.00
        75.25
         0
       2.5337
       0.9975
       0.0139
      -1.2485
        0.1653
    
    
      3     
       SXO090919C00026000
       09/01/2009
       09/19/2009
       100.20
       call
        26
         0.00
        74.00
        74.25
         0
       2.4635
       0.9975
       0.0147
      -1.2457
        0.1695
    
    
      4     
       SXO090919C00027000
       09/01/2009
       09/19/2009
       100.20
       call
        27
         0.00
        73.00
        73.25
         0
       2.3964
       0.9974
       0.0155
      -1.2438
        0.1739
    
    
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
      ...
    
    
      679407
       SPY161216P00280000
       10/24/2014
       12/17/2016
       196.43
        put
       280
        90.10
        87.60
        88.45
         0
       0.2338
      -0.8017
       0.4139
      -1.0273
       80.1846
    
    
      679408
       SPY161216P00285000
       10/24/2014
       12/17/2016
       196.43
        put
       285
       105.51
        92.46
        93.29
         0
       0.2393
      -0.8081
       0.3964
      -1.0268
       78.6002
    
    
      679409
       SPY161216P00290000
       10/24/2014
       12/17/2016
       196.43
        put
       290
       101.20
        97.32
        98.10
         0
       0.2441
      -0.8147
       0.3803
      -1.0205
       76.9170
    
    
      679410
       SPY161216P00295000
       10/24/2014
       12/17/2016
       196.43
        put
       295
       116.14
       102.22
       102.98
         0
       0.2495
      -0.8198
       0.3656
      -1.0223
       75.5944
    
    
      679411
       SPY161216P00300000
       10/24/2014
       12/17/2016
       196.43
        put
       300
       108.10
       107.13
       107.87
       106
       0.2549
      -0.8244
       0.3520
      -1.0242
       74.3589
    
  

3377075 rows × 15 columns



In [4]:

    
optionroot = optionsDataFrame['optionroot'].values


optionsDataFrame['quotedate'] =  pd.to_datetime(optionsDataFrame['quotedate'])
optionsDataFrame['expiration'] =  pd.to_datetime(optionsDataFrame['expiration'])


quotedate = optionsDataFrame['quotedate'].values
expiration = optionsDataFrame['expiration'].values

quotedate = quotedate.astype('datetime64[D]').astype(datetime)
expiration = expiration.astype('datetime64[D]').astype(datetime)


underlying = optionsDataFrame['underlying_last'].values

call_put = optionsDataFrame['type'].values
strike = optionsDataFrame['strike'].values
last = optionsDataFrame['last'].values
bid = optionsDataFrame['bid'].values
ask = optionsDataFrame['ask'].values
volume = optionsDataFrame['volume'].values

impliedvol = optionsDataFrame['impliedvol'].values
delta = optionsDataFrame['delta'].values
gamma = optionsDataFrame['gamma'].values
theta = optionsDataFrame['theta'].values
vega = optionsDataFrame['vega'].values



In [5]:

    
savez('data/numpy/SPY.npz', optionroot=optionroot,
                            quotedate=quotedate, 
                            expiration=expiration,
                            underlying=underlying,
                            call_put=call_put,
                            strike=strike,
                            last=last,
                            bid=bid,
                            ask=ask,
                            volume=volume,
                            impliedvol=impliedvol,
                            delta=delta,
                            gamma=gamma,
                            theta=theta,
                            vega=vega)

	optionroot	quotedate	expiration	underlying_last	type	strike	last	bid	ask	volume	impliedvol	delta	gamma	theta	vega
0	SXO090919C00020000	09/01/2009	09/19/2009	100.20	call	20	65.70	80.00	80.25	0	2.9366	0.9979	0.0105	-1.2618	0.1445
1	SXO090919C00024000	09/01/2009	09/19/2009	100.20	call	24	66.35	76.00	76.25	0	2.6070	0.9976	0.0132	-1.2512	0.1611
2	SXO090919C00025000	09/01/2009	09/19/2009	100.20	call	25	65.35	75.00	75.25	0	2.5337	0.9975	0.0139	-1.2485	0.1653
3	SXO090919C00026000	09/01/2009	09/19/2009	100.20	call	26	0.00	74.00	74.25	0	2.4635	0.9975	0.0147	-1.2457	0.1695
4	SXO090919C00027000	09/01/2009	09/19/2009	100.20	call	27	0.00	73.00	73.25	0	2.3964	0.9974	0.0155	-1.2438	0.1739
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
679407	SPY161216P00280000	10/24/2014	12/17/2016	196.43	put	280	90.10	87.60	88.45	0	0.2338	-0.8017	0.4139	-1.0273	80.1846
679408	SPY161216P00285000	10/24/2014	12/17/2016	196.43	put	285	105.51	92.46	93.29	0	0.2393	-0.8081	0.3964	-1.0268	78.6002
679409	SPY161216P00290000	10/24/2014	12/17/2016	196.43	put	290	101.20	97.32	98.10	0	0.2441	-0.8147	0.3803	-1.0205	76.9170
679410	SPY161216P00295000	10/24/2014	12/17/2016	196.43	put	295	116.14	102.22	102.98	0	0.2495	-0.8198	0.3656	-1.0223	75.5944
679411	SPY161216P00300000	10/24/2014	12/17/2016	196.43	put	300	108.10	107.13	107.87	106	0.2549	-0.8244	0.3520	-1.0242	74.3589