diff --git a/backtester/backtester.py b/backtester/backtester.py
index 6bd18d6..bb72bf8 100644
--- a/backtester/backtester.py
+++ b/backtester/backtester.py
@@ -6,10 +6,9 @@ from .datahandler import HistoricalOptionsData
class Backtest:
"""Processes signals from the Strategy object"""
- def __init__(self, qty=1, capital=1_000_000, shares_per_contract=100):
+
+ def __init__(self, capital=1_000_000):
self.capital = capital
- self.shares_per_contract = shares_per_contract
- self.qty = qty
self._strategy = None
self._data = None
self.inventory = pd.DataFrame()
@@ -47,12 +46,22 @@ class Backtest:
assert self._strategy is not None
assert self._data.schema == self._strategy.schema
+ index = pd.MultiIndex.from_product(
+ [[l.name for l in self._strategy.legs],
+ [
+ 'contract', 'underlying', 'expiration', 'type', 'strike',
+ 'cost', 'date', 'order'
+ ]])
+ index_totals = pd.MultiIndex.from_product([['totals'], ['cost']])
+ self.inventory = pd.DataFrame(columns=index.append(index_totals))
self.trade_log = pd.DataFrame()
- data_iterator = self._data.iter_months() if monthly else self._data.iter_dates()
+ data_iterator = self._data.iter_months(
+ ) if monthly else self._data.iter_dates()
for _date, options in data_iterator:
- entry_signals = self._strategy.filter_entries(options, self.inventory)
+ entry_signals = self._strategy.filter_entries(
+ options, self.inventory)
exit_signals = self._strategy.filter_exits(options, self.inventory)
self._execute_exit(exit_signals)
@@ -84,9 +93,11 @@ class Backtest:
if not entry_signals.empty:
costs = entry_signals['totals']['cost']
- return entry_signals.loc[costs.idxmin():costs.idxmin()], costs.min()
+ return entry_signals.loc[costs.idxmin():costs.idxmin()], costs.min(
+ )
else:
return entry_signals, 0
def __repr__(self):
- return "Backtest(capital={}, strategy={})".format(self.capital, self._strategy)
+ return "Backtest(capital={}, strategy={})".format(
+ self.capital, self._strategy)
diff --git a/backtester/strategy/strategy.py b/backtester/strategy/strategy.py
index 089569e..1cbff39 100644
--- a/backtester/strategy/strategy.py
+++ b/backtester/strategy/strategy.py
@@ -17,9 +17,12 @@ class Strategy:
Takes in a number of `StrategyLeg`'s (option contracts), and filters that determine
entry and exit conditions.
"""
- def __init__(self, schema):
+
+ def __init__(self, schema, qty=1, shares_per_contract=100):
assert isinstance(schema, Schema)
self.schema = schema
+ self.qty = qty
+ self._shares_per_contract = shares_per_contract
self.legs = []
self.conditions = []
self.exit_thresholds = (0.0, 0.0)
@@ -82,8 +85,10 @@ class Strategy:
"""
# Remove contracts already in inventory
- inventory_contracts = pd.concat([inventory[leg.name]['contract'] for leg in self.legs])
- subset_options = options[~options[self.schema['contract']].isin(inventory_contracts)]
+ inventory_contracts = pd.concat(
+ [inventory[leg.name]['contract'] for leg in self.legs])
+ subset_options = options[~options[self.schema['contract']].
+ isin(inventory_contracts)]
return self._filter_legs(subset_options, Signal.ENTRY)
@@ -98,20 +103,20 @@ class Strategy:
pd.DataFrame: Exit signals
"""
- # inventory could be empty, in which case this function breaks.
- if inventory.empty:
- return
-
- underlying_col, spot_col = self.schema['underlying'], self.schema['underlying_last']
- underlying_symbols = options.loc[:, (underlying_col, spot_col)].drop_duplicates(underlying_col)
+ underlying_col, spot_col = self.schema['underlying'], self.schema[
+ 'underlying_last']
+ underlying_symbols = options.loc[:, (
+ underlying_col, spot_col)].drop_duplicates(underlying_col)
spot_prices = underlying_symbols.set_index(underlying_col).to_dict()
leg_candidates = [
- self._exit_candidates(l.direction, inventory[l.name], options, spot_prices) for l in self.legs
+ self._exit_candidates(l.direction, inventory[l.name], options,
+ spot_prices) for l in self.legs
]
total_costs = sum([l['cost'] for l in leg_candidates])
- threshold_exits = self._filter_thresholds(inventory['totals']['cost'], total_costs)
+ threshold_exits = self._filter_thresholds(inventory['totals']['cost'],
+ total_costs)
filter_mask = []
for i, leg in enumerate(self.legs):
@@ -119,11 +124,12 @@ class Strategy:
filter_mask.append(flt(leg_candidates[i]))
fields = self._signal_fields((~leg.direction).value)
leg_candidates[i] = leg_candidates[i].loc[:, fields.values()]
- leg_candidates[i].columns = pd.MultiIndex.from_product([["leg_{}".format(i + 1)],
- leg_candidates[i].columns])
+ leg_candidates[i].columns = pd.MultiIndex.from_product(
+ [["leg_{}".format(i + 1)], leg_candidates[i].columns])
totals = pd.DataFrame.from_dict({"cost": total_costs})
- totals.columns = pd.MultiIndex.from_product([["totals"], totals.columns])
+ totals.columns = pd.MultiIndex.from_product([["totals"],
+ totals.columns])
leg_candidates.append(totals)
filter_mask = reduce(lambda x, y: x | y, filter_mask)
exits_mask = threshold_exits | filter_mask
@@ -165,10 +171,7 @@ class Strategy:
if leg.direction == Direction.SELL:
subset_df['cost'] = -subset_df['cost']
- # shares_per_contract_ hardcoded, we calculate this here so that inventory['totals']['cost'] shows the
- # actual value that was paid to enter (we should multiply by qty as well but its default value is 1).
- # This should probably be moved?
- subset_df['cost'] *= 100
+ subset_df['cost'] *= self._shares_per_contract * self.qty
dfs.append(subset_df.reset_index(drop=True))
@@ -209,10 +212,12 @@ class Strategy:
cost = sum(leg["cost"] for leg in dfs)
totals = pd.DataFrame.from_dict({"cost": cost})
- totals.columns = pd.MultiIndex.from_product([["totals"], totals.columns])
+ totals.columns = pd.MultiIndex.from_product([["totals"],
+ totals.columns])
for i in range(len(dfs)):
- dfs[i].columns = pd.MultiIndex.from_product([["leg_{}".format(i + 1)], dfs[i].columns])
+ dfs[i].columns = pd.MultiIndex.from_product(
+ [["leg_{}".format(i + 1)], dfs[i].columns])
dfs.append(totals)
@@ -237,7 +242,9 @@ class Strategy:
# the daily data the values will all be NaN and the filters should all yield False.
fields = self._signal_fields((~direction).value)
options = options.rename(columns=fields)
- candidates = inventory_leg[['contract']].merge(options, how='left', on='contract')
+ candidates = inventory_leg[['contract']].merge(options,
+ how='left',
+ on='contract')
order = get_order(direction, Signal.EXIT)
candidates['order'] = order.name
@@ -246,9 +253,7 @@ class Strategy:
if ~direction == Direction.SELL:
candidates['cost'] = -candidates['cost']
- # This is shares_per_contract hardcoded because it is currently an attribute of the backtester. See the comment
- # on _filter_legs.
- candidates['cost'] *= 100
+ candidates['cost'] *= self._shares_per_contract * self.qty
return candidates
@@ -271,4 +276,5 @@ class Strategy:
return (excess_return >= profit_pct) | (excess_return <= -loss_pct)
def __repr__(self):
- return "Strategy(legs={}, conditions={})".format(self.legs, self.conditions)
+ return "Strategy(legs={}, conditions={})".format(
+ self.legs, self.conditions)
diff --git a/backtester_demo.ipynb b/backtester_demo.ipynb
new file mode 100644
index 0000000..6e1d9c7
--- /dev/null
+++ b/backtester_demo.ipynb
@@ -0,0 +1,1368 @@
+{
+ "cells": [
+ {
+ "cell_type": "code",
+ "execution_count": 1,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "%config InlineBackend.figure_format=\"retina\"\n",
+ "%matplotlib inline\n",
+ "\n",
+ "import pandas as pd\n",
+ "import os\n",
+ "import matplotlib.pyplot as plt\n",
+ "from importlib import reload\n",
+ "plt.style.use(\"seaborn\")\n",
+ "plt.rcParams[\"figure.figsize\"] = (14, 8)"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 2,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "from backtester.datahandler import HistoricalOptionsData\n",
+ "from backtester.strategy import Strategy, StrategyLeg\n",
+ "from backtester.option import Type, Direction\n",
+ "from backtester import Backtest"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 3,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Original data\n",
+ "data = HistoricalOptionsData(\"allspx/options_data_v2_clean_compressed.h5\", key=\"/SPX\")\n",
+ "schema = data.schema"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 4,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Cleaned up data\n",
+ "data = HistoricalOptionsData(\"allspx/options_data_v2_pruned_compressed.h5\", key=\"/SPX\")\n",
+ "schema = data.schema"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 5,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "data._data = data._data[(data._data['quotedate'] >= '2006-12-06') & (data._data['quotedate'] <= '2015-08-21')]"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "We run the backtest on the date range above to compare with [this backtest.](http://dtr-trading.blogspot.com/p/spx-straddle-articles.html) We do the comparison with a [short (ATM) straddle](https://www.investopedia.com/terms/s/shortstraddle.asp) 45 DTE. Essentially the strategy consists of selling both a call and a put with (approximately) the same strike and expiration date, profiting if the underlying asset's price does not move very much. "
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "To run the backtest monthly, use the boolean parameter *monthly* on the *run* method (False by default)."
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 6,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Short ATM straddle\n",
+ "short_straddle = Strategy(schema)\n",
+ "\n",
+ "leg1 = StrategyLeg(\"leg_1\", schema, option_type=Type.CALL, direction=Direction.SELL)\n",
+ "leg1.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= schema.underlying_last * 0.95) & (schema.strike <= schema.underlying_last * 1.05)\n",
+ "\n",
+ "leg1.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "leg2 = StrategyLeg(\"leg_2\", schema, option_type=Type.PUT, direction=Direction.SELL)\n",
+ "leg2.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= schema.underlying_last * 0.95) & (schema.strike <= schema.underlying_last * 1.05)\n",
+ "\n",
+ "leg2.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "short_straddle.add_legs([leg1, leg2])\n",
+ "# Exit thresholds: we exit if the loss or profit on the investment on an entry is greater than 25%.\n",
+ "short_straddle.exit_thresholds = (0.25, 0.25)"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 7,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "bt = Backtest(capital = 0)\n",
+ "bt.strategy = short_straddle\n",
+ "bt.data = data\n",
+ "bt.stop_if_broke = False"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 8,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " leg_1 | \n",
+ " leg_2 | \n",
+ " totals | \n",
+ "
\n",
+ " \n",
+ " | \n",
+ " contract | \n",
+ " underlying | \n",
+ " expiration | \n",
+ " type | \n",
+ " strike | \n",
+ " cost | \n",
+ " date | \n",
+ " order | \n",
+ " contract | \n",
+ " underlying | \n",
+ " expiration | \n",
+ " type | \n",
+ " strike | \n",
+ " cost | \n",
+ " date | \n",
+ " order | \n",
+ " cost | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 0 | \n",
+ " SXZ070120C01480000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " call | \n",
+ " 1480.0 | \n",
+ " -85.0 | \n",
+ " 2006-12-06 | \n",
+ " STO | \n",
+ " SXZ070120P01410000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " put | \n",
+ " 1410.0 | \n",
+ " -1490.0 | \n",
+ " 2006-12-06 | \n",
+ " STO | \n",
+ " -1575.0 | \n",
+ "
\n",
+ " \n",
+ " | 1 | \n",
+ " SXZ070120C01480000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " call | \n",
+ " 1480.0 | \n",
+ " 125.0 | \n",
+ " 2006-12-07 | \n",
+ " BTC | \n",
+ " SXZ070120P01410000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " put | \n",
+ " 1410.0 | \n",
+ " 1990.0 | \n",
+ " 2006-12-07 | \n",
+ " BTC | \n",
+ " 2115.0 | \n",
+ "
\n",
+ " \n",
+ " | 2 | \n",
+ " SXZ070120C01475000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " call | \n",
+ " 1475.0 | \n",
+ " -130.0 | \n",
+ " 2006-12-07 | \n",
+ " STO | \n",
+ " SXY070120P01395000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " put | \n",
+ " 1395.0 | \n",
+ " -1380.0 | \n",
+ " 2006-12-07 | \n",
+ " STO | \n",
+ " -1510.0 | \n",
+ "
\n",
+ " \n",
+ " | 3 | \n",
+ " SXZ070120C01435000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " call | \n",
+ " 1435.0 | \n",
+ " -980.0 | \n",
+ " 2006-12-08 | \n",
+ " STO | \n",
+ " SXY070120P01340000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " put | \n",
+ " 1340.0 | \n",
+ " -430.0 | \n",
+ " 2006-12-08 | \n",
+ " STO | \n",
+ " -1410.0 | \n",
+ "
\n",
+ " \n",
+ " | 4 | \n",
+ " SXZ070120C01440000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " call | \n",
+ " 1440.0 | \n",
+ " -870.0 | \n",
+ " 2006-12-11 | \n",
+ " STO | \n",
+ " SXY070120P01345000 | \n",
+ " SPX | \n",
+ " 2007-01-20 | \n",
+ " put | \n",
+ " 1345.0 | \n",
+ " -350.0 | \n",
+ " 2006-12-11 | \n",
+ " STO | \n",
+ " -1220.0 | \n",
+ "
\n",
+ " \n",
+ " | ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " | 1336 | \n",
+ " SPX150821C01975000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " call | \n",
+ " 1975.0 | \n",
+ " 10390.0 | \n",
+ " 2015-08-19 | \n",
+ " BTC | \n",
+ " SPX150821P01975000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " put | \n",
+ " 1975.0 | \n",
+ " 20.0 | \n",
+ " 2015-08-19 | \n",
+ " BTC | \n",
+ " 10410.0 | \n",
+ "
\n",
+ " \n",
+ " | 1337 | \n",
+ " SPX150821C01965000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " call | \n",
+ " 1965.0 | \n",
+ " 11390.0 | \n",
+ " 2015-08-19 | \n",
+ " BTC | \n",
+ " SPX150821P01965000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " put | \n",
+ " 1965.0 | \n",
+ " 20.0 | \n",
+ " 2015-08-19 | \n",
+ " BTC | \n",
+ " 11410.0 | \n",
+ "
\n",
+ " \n",
+ " | 1338 | \n",
+ " SPX150821C01980000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " call | \n",
+ " 1980.0 | \n",
+ " 9890.0 | \n",
+ " 2015-08-19 | \n",
+ " BTC | \n",
+ " SPX150821P01980000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " put | \n",
+ " 1980.0 | \n",
+ " 20.0 | \n",
+ " 2015-08-19 | \n",
+ " BTC | \n",
+ " 9910.0 | \n",
+ "
\n",
+ " \n",
+ " | 1339 | \n",
+ " SPX150918C02005000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " call | \n",
+ " 2005.0 | \n",
+ " 5680.0 | \n",
+ " 2015-08-20 | \n",
+ " BTC | \n",
+ " SPX150918P02015000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 2015.0 | \n",
+ " 3460.0 | \n",
+ " 2015-08-20 | \n",
+ " BTC | \n",
+ " 9140.0 | \n",
+ "
\n",
+ " \n",
+ " | 1340 | \n",
+ " SPX150918C02180000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " call | \n",
+ " 2180.0 | \n",
+ " 60.0 | \n",
+ " 2015-08-20 | \n",
+ " BTC | \n",
+ " SPX150918P02205000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 2205.0 | \n",
+ " 17780.0 | \n",
+ " 2015-08-20 | \n",
+ " BTC | \n",
+ " 17840.0 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
1341 rows × 17 columns
\n",
+ "
"
+ ]
+ },
+ "metadata": {
+ "image/png": {
+ "height": 251,
+ "width": 398
+ },
+ "needs_background": "light"
+ },
+ "output_type": "display_data"
+ }
+ ],
+ "source": [
+ "capital = (-bt.trade_log['totals']['cost']).cumsum()\n",
+ "date = bt.trade_log['leg_1']['date']\n",
+ "plt.plot(date, capital);"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "We now run a [long (ATM) straddle](https://www.investopedia.com/terms/l/longstraddle.asp) 45 DTE. This is the opposite of the previous strategy, where we enter buying the contracts instead of selling, and therefore profit from big movements in the underlying asset's price. "
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 10,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Long (ATM) straddle\n",
+ "long_straddle = Strategy(schema)\n",
+ "\n",
+ "leg1 = StrategyLeg(\"leg_1\", schema, option_type=Type.CALL, direction=Direction.BUY)\n",
+ "leg1.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike <= schema.underlying_last * 1.05) & (schema.strike >= schema.underlying_last * 0.95)\n",
+ "leg1.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "leg2 = StrategyLeg(\"leg_2\", schema, option_type=Type.PUT, direction=Direction.BUY)\n",
+ "leg2.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike <= schema.underlying_last * 1.05) & (schema.strike >= schema.underlying_last * 0.95)\n",
+ "leg2.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "long_straddle.add_legs([leg1, leg2])\n",
+ "long_straddle.add_condition(['strike'])\n",
+ "long_straddle.exit_thresholds = (0.25, 0.25)"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 11,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "bt = Backtest(capital = 0)\n",
+ "bt.strategy = long_straddle\n",
+ "bt.data = data\n",
+ "bt.stop_if_broke = False"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 12,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " leg_1 | \n",
+ " leg_2 | \n",
+ " totals | \n",
+ "
\n",
+ " \n",
+ " | \n",
+ " contract | \n",
+ " cost | \n",
+ " date | \n",
+ " expiration | \n",
+ " order | \n",
+ " strike | \n",
+ " type | \n",
+ " underlying | \n",
+ " contract | \n",
+ " cost | \n",
+ " date | \n",
+ " expiration | \n",
+ " order | \n",
+ " strike | \n",
+ " type | \n",
+ " underlying | \n",
+ " cost | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 0 | \n",
+ " SXZ070120C01435000 | \n",
+ " 1230.0 | \n",
+ " 2006-12-06 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1435.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SXZ070120P01435000 | \n",
+ " 2720.0 | \n",
+ " 2006-12-06 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1435.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " 3950.0 | \n",
+ "
\n",
+ " \n",
+ " | 1 | \n",
+ " SXZ070120C01440000 | \n",
+ " 930.0 | \n",
+ " 2006-12-07 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1440.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SXZ070120P01440000 | \n",
+ " 3520.0 | \n",
+ " 2006-12-07 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1440.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " 4450.0 | \n",
+ "
\n",
+ " \n",
+ " | 2 | \n",
+ " SXZ070120C01450000 | \n",
+ " 570.0 | \n",
+ " 2006-12-08 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1450.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SXZ070120P01450000 | \n",
+ " 4060.0 | \n",
+ " 2006-12-08 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1450.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " 4630.0 | \n",
+ "
\n",
+ " \n",
+ " | 3 | \n",
+ " SXZ070120C01465000 | \n",
+ " 280.0 | \n",
+ " 2006-12-11 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1465.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SXZ070120P01465000 | \n",
+ " 4800.0 | \n",
+ " 2006-12-11 | \n",
+ " 2007-01-20 | \n",
+ " BTO | \n",
+ " 1465.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " 5080.0 | \n",
+ "
\n",
+ " \n",
+ " | 4 | \n",
+ " SXZ070120C01435000 | \n",
+ " -1220.0 | \n",
+ " 2006-12-14 | \n",
+ " 2007-01-20 | \n",
+ " STC | \n",
+ " 1435.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SXZ070120P01435000 | \n",
+ " -1690.0 | \n",
+ " 2006-12-14 | \n",
+ " 2007-01-20 | \n",
+ " STC | \n",
+ " 1435.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " -2910.0 | \n",
+ "
\n",
+ " \n",
+ " | ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " | 1273 | \n",
+ " SPX150918C02115000 | \n",
+ " -410.0 | \n",
+ " 2015-08-20 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2115.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SPX150918P02115000 | \n",
+ " -8650.0 | \n",
+ " 2015-08-20 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2115.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " -9060.0 | \n",
+ "
\n",
+ " \n",
+ " | 1274 | \n",
+ " SPX150918C02125000 | \n",
+ " -255.0 | \n",
+ " 2015-08-20 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2125.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SPX150918P02125000 | \n",
+ " -9500.0 | \n",
+ " 2015-08-20 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2125.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " -9755.0 | \n",
+ "
\n",
+ " \n",
+ " | 1275 | \n",
+ " SPX150918C02100000 | \n",
+ " -260.0 | \n",
+ " 2015-08-21 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2100.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SPX150918P02100000 | \n",
+ " -12820.0 | \n",
+ " 2015-08-21 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2100.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " -13080.0 | \n",
+ "
\n",
+ " \n",
+ " | 1276 | \n",
+ " SPX150918C02105000 | \n",
+ " -210.0 | \n",
+ " 2015-08-21 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2105.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SPX150918P02105000 | \n",
+ " -13270.0 | \n",
+ " 2015-08-21 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2105.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " -13480.0 | \n",
+ "
\n",
+ " \n",
+ " | 1277 | \n",
+ " SPX150918C02095000 | \n",
+ " -300.0 | \n",
+ " 2015-08-21 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2095.0 | \n",
+ " call | \n",
+ " SPX | \n",
+ " SPX150918P02095000 | \n",
+ " -12380.0 | \n",
+ " 2015-08-21 | \n",
+ " 2015-09-18 | \n",
+ " STC | \n",
+ " 2095.0 | \n",
+ " put | \n",
+ " SPX | \n",
+ " -12680.0 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
1278 rows × 17 columns
\n",
+ "
"
+ ]
+ },
+ "metadata": {
+ "image/png": {
+ "height": 248,
+ "width": 404
+ },
+ "needs_background": "light"
+ },
+ "output_type": "display_data"
+ }
+ ],
+ "source": [
+ "capital = (-bt.trade_log['totals']['cost']).cumsum()\n",
+ "date = bt.trade_log['leg_1']['date']\n",
+ "plt.plot(date, capital);"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "Finally we run an [iron condor](https://www.investopedia.com/terms/i/ironcondor.asp)."
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 14,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Iron Condor\n",
+ "iron_condor = Strategy(schema)\n",
+ "\n",
+ "leg1 = StrategyLeg(\"leg_1\", schema, option_type=Type.PUT, direction=Direction.BUY)\n",
+ "leg1.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike <= 0.85 * schema.underlying_last)\n",
+ "leg1.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "leg2 = StrategyLeg(\"leg_2\", schema, option_type=Type.PUT, direction=Direction.SELL)\n",
+ "leg2.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= 0.90 * schema.underlying_last) & (schema.strike <= schema.underlying_last)\n",
+ "leg2.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "leg3 = StrategyLeg(\"leg_3\", schema, option_type=Type.CALL, direction=Direction.SELL)\n",
+ "leg3.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= schema.underlying_last) & (schema.strike <= 1.10 * schema.underlying_last)\n",
+ "leg3.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "leg4 = StrategyLeg(\"leg_4\", schema, option_type=Type.PUT, direction=Direction.BUY)\n",
+ "leg4.entry_filter = (schema.underlying == \"SPX\") & (schema.dte >= 40) & (schema.dte <= 50) & (schema.strike >= 1.15 * schema.underlying_last)\n",
+ "leg4.exit_filter = (schema.dte <= 2)\n",
+ "\n",
+ "\n",
+ "iron_condor.add_legs([leg1, leg2, leg3, leg4])\n",
+ "iron_condor.exit_thresholds = (0.25, 0.25)"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 15,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "bt = Backtest()\n",
+ "bt.strategy = iron_condor\n",
+ "bt.data = data\n",
+ "bt.stop_if_broke = False"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 16,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " leg_1 | \n",
+ " leg_2 | \n",
+ " ... | \n",
+ " leg_3 | \n",
+ " leg_4 | \n",
+ " totals | \n",
+ "
\n",
+ " \n",
+ " | \n",
+ " contract | \n",
+ " underlying | \n",
+ " expiration | \n",
+ " type | \n",
+ " strike | \n",
+ " cost | \n",
+ " date | \n",
+ " order | \n",
+ " contract | \n",
+ " underlying | \n",
+ " ... | \n",
+ " order | \n",
+ " contract | \n",
+ " underlying | \n",
+ " expiration | \n",
+ " type | \n",
+ " strike | \n",
+ " cost | \n",
+ " date | \n",
+ " order | \n",
+ " cost | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 0 | \n",
+ " SPV090117P00200000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 200.0 | \n",
+ " 35.0 | \n",
+ " 2008-12-01 | \n",
+ " BTO | \n",
+ " SPZ090117P00740000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " STO | \n",
+ " SXB090117P00940000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 940.0 | \n",
+ " 14740.0 | \n",
+ " 2008-12-01 | \n",
+ " BTO | \n",
+ " 5325.0 | \n",
+ "
\n",
+ " \n",
+ " | 1 | \n",
+ " SPV090117P00200000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 200.0 | \n",
+ " -0.0 | \n",
+ " 2008-12-02 | \n",
+ " STC | \n",
+ " SPZ090117P00740000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " BTC | \n",
+ " SXB090117P00940000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 940.0 | \n",
+ " -11750.0 | \n",
+ " 2008-12-02 | \n",
+ " STC | \n",
+ " -1520.0 | \n",
+ "
\n",
+ " \n",
+ " | 2 | \n",
+ " SPV090117P00300000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 300.0 | \n",
+ " 40.0 | \n",
+ " 2008-12-02 | \n",
+ " BTO | \n",
+ " SPZ090117P00765000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " STO | \n",
+ " SXB090117P00980000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 980.0 | \n",
+ " 14870.0 | \n",
+ " 2008-12-02 | \n",
+ " BTO | \n",
+ " 4830.0 | \n",
+ "
\n",
+ " \n",
+ " | 3 | \n",
+ " SPV090117P00300000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 300.0 | \n",
+ " -5.0 | \n",
+ " 2008-12-03 | \n",
+ " STC | \n",
+ " SPZ090117P00765000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " BTC | \n",
+ " SXB090117P00980000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 980.0 | \n",
+ " -13250.0 | \n",
+ " 2008-12-03 | \n",
+ " STC | \n",
+ " -2315.0 | \n",
+ "
\n",
+ " \n",
+ " | 4 | \n",
+ " SPV090117P00200000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 200.0 | \n",
+ " 40.0 | \n",
+ " 2008-12-04 | \n",
+ " BTO | \n",
+ " SPZ090117P00765000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " STO | \n",
+ " SXB090117P00975000 | \n",
+ " SPX | \n",
+ " 2009-01-17 | \n",
+ " put | \n",
+ " 975.0 | \n",
+ " 14870.0 | \n",
+ " 2008-12-04 | \n",
+ " BTO | \n",
+ " 4880.0 | \n",
+ "
\n",
+ " \n",
+ " | ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " | 546 | \n",
+ " SPX150821P00800000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " put | \n",
+ " 800.0 | \n",
+ " -0.0 | \n",
+ " 2015-08-19 | \n",
+ " STC | \n",
+ " SPX150821P01845000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " BTC | \n",
+ " SPX150821P02600000 | \n",
+ " SPX | \n",
+ " 2015-08-21 | \n",
+ " put | \n",
+ " 2600.0 | \n",
+ " -52120.0 | \n",
+ " 2015-08-19 | \n",
+ " STC | \n",
+ " -49045.0 | \n",
+ "
\n",
+ " \n",
+ " | 547 | \n",
+ " SPX150918P00500000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 500.0 | \n",
+ " -0.0 | \n",
+ " 2015-08-20 | \n",
+ " STC | \n",
+ " SPX150918P01900000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " BTC | \n",
+ " SPX150918P02450000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 2450.0 | \n",
+ " -41660.0 | \n",
+ " 2015-08-20 | \n",
+ " STC | \n",
+ " -39960.0 | \n",
+ "
\n",
+ " \n",
+ " | 548 | \n",
+ " SPX150918P00600000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 600.0 | \n",
+ " -0.0 | \n",
+ " 2015-08-21 | \n",
+ " STC | \n",
+ " SPX150918P01895000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " BTC | \n",
+ " SPX150918P02500000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 2500.0 | \n",
+ " -52480.0 | \n",
+ " 2015-08-21 | \n",
+ " STC | \n",
+ " -49100.0 | \n",
+ "
\n",
+ " \n",
+ " | 549 | \n",
+ " SPX150918P00700000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 700.0 | \n",
+ " -0.0 | \n",
+ " 2015-08-21 | \n",
+ " STC | \n",
+ " SPX150918P01890000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " BTC | \n",
+ " SPX150918P02550000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 2550.0 | \n",
+ " -57480.0 | \n",
+ " 2015-08-21 | \n",
+ " STC | \n",
+ " -54100.0 | \n",
+ "
\n",
+ " \n",
+ " | 550 | \n",
+ " SPX150918P00825000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 825.0 | \n",
+ " -0.0 | \n",
+ " 2015-08-21 | \n",
+ " STC | \n",
+ " SPX150918P01880000 | \n",
+ " SPX | \n",
+ " ... | \n",
+ " BTC | \n",
+ " SPX150918P02400000 | \n",
+ " SPX | \n",
+ " 2015-09-18 | \n",
+ " put | \n",
+ " 2400.0 | \n",
+ " -42490.0 | \n",
+ " 2015-08-21 | \n",
+ " STC | \n",
+ " -39160.0 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
551 rows × 33 columns
\n",
+ "
"
+ ]
+ },
+ "metadata": {
+ "image/png": {
+ "height": 248,
+ "width": 400
+ },
+ "needs_background": "light"
+ },
+ "output_type": "display_data"
+ }
+ ],
+ "source": [
+ "capital = (-bt.trade_log['totals']['cost']).cumsum()\n",
+ "date = bt.trade_log['leg_1']['date']\n",
+ "plt.plot(date, capital);"
+ ]
+ }
+ ],
+ "metadata": {
+ "kernelspec": {
+ "display_name": "Python 3",
+ "language": "python",
+ "name": "python3"
+ },
+ "language_info": {
+ "codemirror_mode": {
+ "name": "ipython",
+ "version": 3
+ },
+ "file_extension": ".py",
+ "mimetype": "text/x-python",
+ "name": "python",
+ "nbconvert_exporter": "python",
+ "pygments_lexer": "ipython3",
+ "version": "3.7.3"
+ }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}
diff --git a/data_cleanup.ipynb b/data_cleanup.ipynb
new file mode 100644
index 0000000..20f454e
--- /dev/null
+++ b/data_cleanup.ipynb
@@ -0,0 +1,2638 @@
+{
+ "cells": [
+ {
+ "cell_type": "code",
+ "execution_count": 77,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "import pandas as pd\n",
+ "import os\n",
+ "from backtester.datahandler import HistoricalOptionsData"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "Our data has some zero values and missing entries that are inaccurate and could throw off our backtester, giving misleading results. We perform here a cleanup of the data."
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": null,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "store_path = os.path.join(\"/Users/jrchatruc/Documents/backtester_options/allspx/\", \"options_data_v2_light.h5\")\n",
+ "store = pd.HDFStore(store_path, complevel=9, complib=\"blosc\", fletcher32=True)\n",
+ "underlying_dtype = pd.api.types.CategoricalDtype(\n",
+ " categories=['SPX', 'SPXW', 'SPXPM'])\n",
+ "\n",
+ "offset = 0\n",
+ "sizes = {\"optionroot\": 20, \"optionalias\": 20}\n",
+ "for year in range(1990, 2019):\n",
+ " filename = \"SPX_{}.csv\".format(year)\n",
+ " year_df = pd.read_csv(os.path.join(\"/Users/jrchatruc/Documents/backtester_options/allspx/\", filename),\n",
+ " parse_dates=[\"expiration\", \"quotedate\"])\n",
+ " year_df.rename(columns={\" exchange\": \"exchange\"}, inplace=True)\n",
+ " year_df = year_df.astype({\"strike\": \"float\", \"optionalias\": \"object\", \"type\": \"category\",\n",
+ " 'underlying': underlying_dtype})\n",
+ " year_df = year_df.drop('optionext', axis=1)\n",
+ " year_df = year_df.drop('exchange', axis=1)\n",
+ " year_df = year_df.reset_index(drop=True)\n",
+ " year_df.index += offset\n",
+ " offset += len(year_df)\n",
+ " store.append(\"/SPX\", year_df, index=False, data_columns=True, min_itemsize=sizes)\n",
+ " print(year)"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 79,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "store.close()"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": null,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "%cd -q /Users/jrchatruc/Documents/backtester_options/allspx\n",
+ "!ptrepack --complevel=9 --complib=blosc options_data_v2_light.h5 options_data_v2_light_compressed.h5"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 95,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "data = HistoricalOptionsData(\"options_data_v2_light_compressed.h5\", key=\"/SPX\")\n",
+ "schema = data.schema\n",
+ "df = data._data"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 96,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "(16756680, 19)"
+ ]
+ },
+ "execution_count": 96,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "df.shape"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 97,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "0.065681208926828"
+ ]
+ },
+ "execution_count": 97,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "df[(df['bid'] == 0) & (df['ask'] == 0)].shape[0] / df.shape[0]"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "As can be seen, around $6.5\\%$ of the rows have both their bid and ask equal to zero. Some of these are because these values are going progressively down until they reach around $0.1$ or $0.05$, at which point they (sometimes) get replaced with zero. This isn't a problematic case, but it is not the only one."
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 98,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " underlying | \n",
+ " underlying_last | \n",
+ " optionroot | \n",
+ " type | \n",
+ " expiration | \n",
+ " quotedate | \n",
+ " strike | \n",
+ " last | \n",
+ " bid | \n",
+ " ask | \n",
+ " volume | \n",
+ " openinterest | \n",
+ " impliedvol | \n",
+ " delta | \n",
+ " gamma | \n",
+ " theta | \n",
+ " vega | \n",
+ " optionalias | \n",
+ " dte | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 13359109 | \n",
+ " SPX | \n",
+ " 2276.98 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-20 | \n",
+ " 2017-01-06 | \n",
+ " 100.0 | \n",
+ " 0.15 | \n",
+ " 0.10 | \n",
+ " 0.15 | \n",
+ " 20 | \n",
+ " 773 | \n",
+ " 0.3185 | \n",
+ " 0.0000 | \n",
+ " 0.0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX191220P00100000 | \n",
+ " 1078 | \n",
+ "
\n",
+ " \n",
+ " | 13388755 | \n",
+ " SPX | \n",
+ " 2275.32 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-20 | \n",
+ " 2017-01-11 | \n",
+ " 100.0 | \n",
+ " 0.15 | \n",
+ " 0.10 | \n",
+ " 0.15 | \n",
+ " 0 | \n",
+ " 783 | \n",
+ " 0.5958 | \n",
+ " -0.0002 | \n",
+ " 0.0 | \n",
+ " -0.2454 | \n",
+ " 2.4561 | \n",
+ " SPX191220P00100000 | \n",
+ " 1073 | \n",
+ "
\n",
+ " \n",
+ " | 13400173 | \n",
+ " SPX | \n",
+ " 2270.44 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-20 | \n",
+ " 2017-01-12 | \n",
+ " 100.0 | \n",
+ " 0.15 | \n",
+ " 0.10 | \n",
+ " 0.15 | \n",
+ " 1 | \n",
+ " 783 | \n",
+ " 0.5940 | \n",
+ " -0.0002 | \n",
+ " 0.0 | \n",
+ " -0.2466 | \n",
+ " 2.4588 | \n",
+ " SPX191220P00100000 | \n",
+ " 1072 | \n",
+ "
\n",
+ " \n",
+ " | 13411669 | \n",
+ " SPX | \n",
+ " 2274.64 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-20 | \n",
+ " 2017-01-13 | \n",
+ " 100.0 | \n",
+ " 0.11 | \n",
+ " 0.10 | \n",
+ " 0.15 | \n",
+ " 0 | \n",
+ " 785 | \n",
+ " 0.5963 | \n",
+ " -0.0002 | \n",
+ " 0.0 | \n",
+ " -0.2458 | \n",
+ " 2.4539 | \n",
+ " SPX191220P00100000 | \n",
+ " 1071 | \n",
+ "
\n",
+ " \n",
+ " | 13423111 | \n",
+ " SPX | \n",
+ " 2267.89 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-20 | \n",
+ " 2017-01-17 | \n",
+ " 100.0 | \n",
+ " 0.10 | \n",
+ " 0.10 | \n",
+ " 0.15 | \n",
+ " 0 | \n",
+ " 805 | \n",
+ " 0.5986 | \n",
+ " -0.0002 | \n",
+ " 0.0 | \n",
+ " -0.2453 | \n",
+ " 2.4442 | \n",
+ " SPX191220P00100000 | \n",
+ " 1067 | \n",
+ "
\n",
+ " \n",
+ " | ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " | 16740413 | \n",
+ " SPX | \n",
+ " 2351.10 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-21 | \n",
+ " 2018-12-24 | \n",
+ " 100.0 | \n",
+ " 0.05 | \n",
+ " 0.05 | \n",
+ " 0.10 | \n",
+ " 530 | \n",
+ " 14541 | \n",
+ " 0.3500 | \n",
+ " 0.0000 | \n",
+ " 0.0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " NaN | \n",
+ " 362 | \n",
+ "
\n",
+ " \n",
+ " | 16744107 | \n",
+ " SPX | \n",
+ " 2467.70 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-21 | \n",
+ " 2018-12-26 | \n",
+ " 100.0 | \n",
+ " 0.05 | \n",
+ " 0.00 | \n",
+ " 0.10 | \n",
+ " 0 | \n",
+ " 15059 | \n",
+ " 0.3219 | \n",
+ " 0.0000 | \n",
+ " 0.0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " NaN | \n",
+ " 360 | \n",
+ "
\n",
+ " \n",
+ " | 16747947 | \n",
+ " SPX | \n",
+ " 2488.83 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-21 | \n",
+ " 2018-12-27 | \n",
+ " 100.0 | \n",
+ " 0.05 | \n",
+ " 0.00 | \n",
+ " 0.05 | \n",
+ " 0 | \n",
+ " 15059 | \n",
+ " 0.3314 | \n",
+ " 0.0000 | \n",
+ " 0.0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " NaN | \n",
+ " 359 | \n",
+ "
\n",
+ " \n",
+ " | 16751791 | \n",
+ " SPX | \n",
+ " 2485.74 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-21 | \n",
+ " 2018-12-28 | \n",
+ " 100.0 | \n",
+ " 0.05 | \n",
+ " 0.00 | \n",
+ " 0.05 | \n",
+ " 500 | \n",
+ " 15059 | \n",
+ " 0.3256 | \n",
+ " 0.0000 | \n",
+ " 0.0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " NaN | \n",
+ " 358 | \n",
+ "
\n",
+ " \n",
+ " | 16755635 | \n",
+ " SPX | \n",
+ " 2506.85 | \n",
+ " SPX191220P00100000 | \n",
+ " put | \n",
+ " 2019-12-21 | \n",
+ " 2018-12-31 | \n",
+ " 100.0 | \n",
+ " 0.05 | \n",
+ " 0.00 | \n",
+ " 0.05 | \n",
+ " 1100 | \n",
+ " 15559 | \n",
+ " 0.3188 | \n",
+ " 0.0000 | \n",
+ " 0.0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " NaN | \n",
+ " 355 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
497 rows × 19 columns
\n",
+ "
\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " underlying | \n",
+ " underlying_last | \n",
+ " optionroot | \n",
+ " type | \n",
+ " expiration | \n",
+ " quotedate | \n",
+ " strike | \n",
+ " last | \n",
+ " bid | \n",
+ " ask | \n",
+ " volume | \n",
+ " openinterest | \n",
+ " impliedvol | \n",
+ " delta | \n",
+ " gamma | \n",
+ " theta | \n",
+ " vega | \n",
+ " optionalias | \n",
+ " dte | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 144 | \n",
+ " SPX | \n",
+ " 359.69 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-02 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 94.3 | \n",
+ " 94.3 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 536 | \n",
+ "
\n",
+ " \n",
+ " | 314 | \n",
+ " SPX | \n",
+ " 358.76 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-03 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 93.3 | \n",
+ " 93.3 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 535 | \n",
+ "
\n",
+ " \n",
+ " | 484 | \n",
+ " SPX | \n",
+ " 355.66 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-04 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 90.2 | \n",
+ " 90.2 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 534 | \n",
+ "
\n",
+ " \n",
+ " | 654 | \n",
+ " SPX | \n",
+ " 352.20 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-05 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 86.6 | \n",
+ " 86.6 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 533 | \n",
+ "
\n",
+ " \n",
+ " | 824 | \n",
+ " SPX | \n",
+ " 353.79 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-08 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 88.1 | \n",
+ " 88.1 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 530 | \n",
+ "
\n",
+ " \n",
+ " | ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " | 68132 | \n",
+ " SPX | \n",
+ " 380.13 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1991-06-17 | \n",
+ " 300.0 | \n",
+ " 81.5 | \n",
+ " 80.4 | \n",
+ " 80.9 | \n",
+ " 1 | \n",
+ " 3728 | \n",
+ " 1.0531 | \n",
+ " 0.9832 | \n",
+ " 0.0010 | \n",
+ " -0.2442 | \n",
+ " 0.0173 | \n",
+ " SPX910622C00300000 | \n",
+ " 5 | \n",
+ "
\n",
+ " \n",
+ " | 68330 | \n",
+ " SPX | \n",
+ " 378.59 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1991-06-18 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 78.5 | \n",
+ " 79.0 | \n",
+ " 0 | \n",
+ " 3727 | \n",
+ " 1.4422 | \n",
+ " 0.9608 | \n",
+ " 0.0016 | \n",
+ " -0.6967 | \n",
+ " 0.0307 | \n",
+ " SPX910622C00300000 | \n",
+ " 4 | \n",
+ "
\n",
+ " \n",
+ " | 68528 | \n",
+ " SPX | \n",
+ " 375.09 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1991-06-19 | \n",
+ " 300.0 | \n",
+ " 75.5 | \n",
+ " 75.0 | \n",
+ " 76.0 | \n",
+ " 756 | \n",
+ " 3727 | \n",
+ " 1.6634 | \n",
+ " 0.9598 | \n",
+ " 0.0017 | \n",
+ " -0.9583 | \n",
+ " 0.0260 | \n",
+ " SPX910622C00300000 | \n",
+ " 3 | \n",
+ "
\n",
+ " \n",
+ " | 68726 | \n",
+ " SPX | \n",
+ " 375.42 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1991-06-20 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 75.0 | \n",
+ " 76.0 | \n",
+ " 0 | \n",
+ " 3557 | \n",
+ " 1.8106 | \n",
+ " 0.9824 | \n",
+ " 0.0011 | \n",
+ " -0.7040 | \n",
+ " 0.0099 | \n",
+ " SPX910622C00300000 | \n",
+ " 2 | \n",
+ "
\n",
+ " \n",
+ " | 68924 | \n",
+ " SPX | \n",
+ " 377.75 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1991-06-21 | \n",
+ " 300.0 | \n",
+ " 76.0 | \n",
+ " 77.5 | \n",
+ " 78.5 | \n",
+ " 132 | \n",
+ " 3557 | \n",
+ " 3.9547 | \n",
+ " 0.9766 | \n",
+ " 0.0012 | \n",
+ " -3.7758 | \n",
+ " 0.0063 | \n",
+ " SPX910622C00300000 | \n",
+ " 1 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
373 rows × 19 columns
\n",
+ "
\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " underlying | \n",
+ " underlying_last | \n",
+ " optionroot | \n",
+ " type | \n",
+ " expiration | \n",
+ " quotedate | \n",
+ " strike | \n",
+ " last | \n",
+ " bid | \n",
+ " ask | \n",
+ " volume | \n",
+ " openinterest | \n",
+ " impliedvol | \n",
+ " delta | \n",
+ " gamma | \n",
+ " theta | \n",
+ " vega | \n",
+ " optionalias | \n",
+ " dte | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 824 | \n",
+ " SPX | \n",
+ " 353.79 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-08 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 88.1 | \n",
+ " 88.1 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 530 | \n",
+ "
\n",
+ " \n",
+ " | 994 | \n",
+ " SPX | \n",
+ " 349.62 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-09 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 83.8 | \n",
+ " 83.8 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 529 | \n",
+ "
\n",
+ " \n",
+ " | 1164 | \n",
+ " SPX | \n",
+ " 347.31 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-10 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 81.4 | \n",
+ " 81.4 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 528 | \n",
+ "
\n",
+ " \n",
+ " | 1334 | \n",
+ " SPX | \n",
+ " 348.53 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-11 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 82.6 | \n",
+ " 82.6 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 527 | \n",
+ "
\n",
+ " \n",
+ " | 1504 | \n",
+ " SPX | \n",
+ " 339.93 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-12 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 526 | \n",
+ "
\n",
+ " \n",
+ " | 1674 | \n",
+ " SPX | \n",
+ " 337.00 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-15 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 70.8 | \n",
+ " 70.8 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 523 | \n",
+ "
\n",
+ " \n",
+ " | 1844 | \n",
+ " SPX | \n",
+ " 340.75 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-16 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 74.5 | \n",
+ " 74.5 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 522 | \n",
+ "
\n",
+ " \n",
+ " | 2026 | \n",
+ " SPX | \n",
+ " 337.40 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-17 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 71.1 | \n",
+ " 71.1 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 521 | \n",
+ "
\n",
+ " \n",
+ " | 2208 | \n",
+ " SPX | \n",
+ " 338.19 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-18 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 520 | \n",
+ "
\n",
+ " \n",
+ " | 2391 | \n",
+ " SPX | \n",
+ " 339.15 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-19 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 519 | \n",
+ "
\n",
+ " \n",
+ " | 2548 | \n",
+ " SPX | \n",
+ " 330.38 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-22 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 63.8 | \n",
+ " 64.5 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0926 | \n",
+ " 0.9776 | \n",
+ " 0.0015 | \n",
+ " -22.3628 | \n",
+ " 20.9095 | \n",
+ " SPX910622C00300000 | \n",
+ " 516 | \n",
+ "
\n",
+ " \n",
+ " | 2705 | \n",
+ " SPX | \n",
+ " 331.61 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-23 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 65.0 | \n",
+ " 65.5 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0904 | \n",
+ " 0.9816 | \n",
+ " 0.0013 | \n",
+ " -22.3658 | \n",
+ " 17.7692 | \n",
+ " SPX910622C00300000 | \n",
+ " 515 | \n",
+ "
\n",
+ " \n",
+ " | 2862 | \n",
+ " SPX | \n",
+ " 330.26 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-24 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 63.5 | \n",
+ " 64.2 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0896 | \n",
+ " 0.9806 | \n",
+ " 0.0013 | \n",
+ " -22.3636 | \n",
+ " 18.4703 | \n",
+ " SPX910622C00300000 | \n",
+ " 514 | \n",
+ "
\n",
+ " \n",
+ " | 3022 | \n",
+ " SPX | \n",
+ " 326.08 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-25 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 59.7 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " 0.0000 | \n",
+ " SPX910622C00300000 | \n",
+ " 513 | \n",
+ "
\n",
+ " \n",
+ " | 3182 | \n",
+ " SPX | \n",
+ " 325.80 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-26 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 59.0 | \n",
+ " 59.7 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0887 | \n",
+ " 0.9747 | \n",
+ " 0.0017 | \n",
+ " -22.3457 | \n",
+ " 22.7432 | \n",
+ " SPX910622C00300000 | \n",
+ " 512 | \n",
+ "
\n",
+ " \n",
+ " | 3344 | \n",
+ " SPX | \n",
+ " 325.20 | \n",
+ " SPX910622C00300000 | \n",
+ " call | \n",
+ " 1991-06-22 | \n",
+ " 1990-01-29 | \n",
+ " 300.0 | \n",
+ " 0.0 | \n",
+ " 58.2 | \n",
+ " 59.3 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.0957 | \n",
+ " 0.9644 | \n",
+ " 0.0021 | \n",
+ " -22.3769 | \n",
+ " 30.0972 | \n",
+ " SPX910622C00300000 | \n",
+ " 509 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " underlying | \n",
+ " underlying_last | \n",
+ " optionroot | \n",
+ " type | \n",
+ " expiration | \n",
+ " quotedate | \n",
+ " strike | \n",
+ " last | \n",
+ " bid | \n",
+ " ask | \n",
+ " volume | \n",
+ " openinterest | \n",
+ " impliedvol | \n",
+ " delta | \n",
+ " gamma | \n",
+ " theta | \n",
+ " vega | \n",
+ " optionalias | \n",
+ " dte | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 117271 | \n",
+ " SPX | \n",
+ " 409.76 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-12 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.5202 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0025 | \n",
+ " 0.0035 | \n",
+ " SPX920718P00250000 | \n",
+ " 36 | \n",
+ "
\n",
+ " \n",
+ " | 117505 | \n",
+ " SPX | \n",
+ " 410.29 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-15 | \n",
+ " 250.0 | \n",
+ " 0.031 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 250 | \n",
+ " 0 | \n",
+ " 0.5463 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0028 | \n",
+ " 0.0034 | \n",
+ " SPX920718P00250000 | \n",
+ " 33 | \n",
+ "
\n",
+ " \n",
+ " | 117743 | \n",
+ " SPX | \n",
+ " 408.32 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-16 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.5485 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0029 | \n",
+ " 0.0033 | \n",
+ " SPX920718P00250000 | \n",
+ " 32 | \n",
+ "
\n",
+ " \n",
+ " | 117981 | \n",
+ " SPX | \n",
+ " 402.26 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-17 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.5408 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0029 | \n",
+ " 0.0033 | \n",
+ " SPX920718P00250000 | \n",
+ " 31 | \n",
+ "
\n",
+ " \n",
+ " | 118219 | \n",
+ " SPX | \n",
+ " 400.96 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-18 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.5452 | \n",
+ " -0.0009 | \n",
+ " 0.0 | \n",
+ " -0.0031 | \n",
+ " 0.0033 | \n",
+ " SPX920718P00250000 | \n",
+ " 30 | \n",
+ "
\n",
+ " \n",
+ " | 118457 | \n",
+ " SPX | \n",
+ " 403.67 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-19 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.5618 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0032 | \n",
+ " 0.0032 | \n",
+ " SPX920718P00250000 | \n",
+ " 29 | \n",
+ "
\n",
+ " \n",
+ " | 118645 | \n",
+ " SPX | \n",
+ " 403.40 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-22 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.5933 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0035 | \n",
+ " 0.0030 | \n",
+ " SPX920718P00250000 | \n",
+ " 26 | \n",
+ "
\n",
+ " \n",
+ " | 118833 | \n",
+ " SPX | \n",
+ " 404.04 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-23 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.6072 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0037 | \n",
+ " 0.0030 | \n",
+ " SPX920718P00250000 | \n",
+ " 25 | \n",
+ "
\n",
+ " \n",
+ " | 119021 | \n",
+ " SPX | \n",
+ " 403.84 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-24 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.6194 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0039 | \n",
+ " 0.0029 | \n",
+ " SPX920718P00250000 | \n",
+ " 24 | \n",
+ "
\n",
+ " \n",
+ " | 119209 | \n",
+ " SPX | \n",
+ " 403.12 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-25 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.6311 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0040 | \n",
+ " 0.0029 | \n",
+ " SPX920718P00250000 | \n",
+ " 23 | \n",
+ "
\n",
+ " \n",
+ " | 119397 | \n",
+ " SPX | \n",
+ " 403.45 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-26 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.6466 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0042 | \n",
+ " 0.0028 | \n",
+ " SPX920718P00250000 | \n",
+ " 22 | \n",
+ "
\n",
+ " \n",
+ " | 119585 | \n",
+ " SPX | \n",
+ " 408.94 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-29 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.7150 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0049 | \n",
+ " 0.0025 | \n",
+ " SPX920718P00250000 | \n",
+ " 19 | \n",
+ "
\n",
+ " \n",
+ " | 119773 | \n",
+ " SPX | \n",
+ " 408.14 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-06-30 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.7327 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0052 | \n",
+ " 0.0025 | \n",
+ " SPX920718P00250000 | \n",
+ " 18 | \n",
+ "
\n",
+ " \n",
+ " | 119961 | \n",
+ " SPX | \n",
+ " 412.88 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-01 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.7704 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0056 | \n",
+ " 0.0024 | \n",
+ " SPX920718P00250000 | \n",
+ " 17 | \n",
+ "
\n",
+ " \n",
+ " | 120149 | \n",
+ " SPX | \n",
+ " 411.79 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-02 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.7914 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0059 | \n",
+ " 0.0023 | \n",
+ " SPX920718P00250000 | \n",
+ " 16 | \n",
+ "
\n",
+ " \n",
+ " | 120339 | \n",
+ " SPX | \n",
+ " 413.84 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-06 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.9286 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0080 | \n",
+ " 0.0020 | \n",
+ " SPX920718P00250000 | \n",
+ " 12 | \n",
+ "
\n",
+ " \n",
+ " | 120529 | \n",
+ " SPX | \n",
+ " 409.16 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-07 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 0.9527 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0087 | \n",
+ " 0.0019 | \n",
+ " SPX920718P00250000 | \n",
+ " 11 | \n",
+ "
\n",
+ " \n",
+ " | 120719 | \n",
+ " SPX | \n",
+ " 410.28 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-08 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 1.0074 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0097 | \n",
+ " 0.0018 | \n",
+ " SPX920718P00250000 | \n",
+ " 10 | \n",
+ "
\n",
+ " \n",
+ " | 120909 | \n",
+ " SPX | \n",
+ " 414.22 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-09 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 1.0846 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0109 | \n",
+ " 0.0017 | \n",
+ " SPX920718P00250000 | \n",
+ " 9 | \n",
+ "
\n",
+ " \n",
+ " | 121099 | \n",
+ " SPX | \n",
+ " 414.62 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-10 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 1.1581 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0124 | \n",
+ " 0.0016 | \n",
+ " SPX920718P00250000 | \n",
+ " 8 | \n",
+ "
\n",
+ " \n",
+ " | 121289 | \n",
+ " SPX | \n",
+ " 414.87 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-13 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 1.5091 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0209 | \n",
+ " 0.0012 | \n",
+ " SPX920718P00250000 | \n",
+ " 5 | \n",
+ "
\n",
+ " \n",
+ " | 121479 | \n",
+ " SPX | \n",
+ " 417.68 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-14 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 1.7409 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0273 | \n",
+ " 0.0010 | \n",
+ " SPX920718P00250000 | \n",
+ " 4 | \n",
+ "
\n",
+ " \n",
+ " | 121669 | \n",
+ " SPX | \n",
+ " 417.10 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-15 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 2.0753 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0390 | \n",
+ " 0.0009 | \n",
+ " SPX920718P00250000 | \n",
+ " 3 | \n",
+ "
\n",
+ " \n",
+ " | 121859 | \n",
+ " SPX | \n",
+ " 417.54 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-16 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 2.7500 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.0683 | \n",
+ " 0.0007 | \n",
+ " SPX920718P00250000 | \n",
+ " 2 | \n",
+ "
\n",
+ " \n",
+ " | 122049 | \n",
+ " SPX | \n",
+ " 415.62 | \n",
+ " SPX920718P00250000 | \n",
+ " put | \n",
+ " 1992-07-18 | \n",
+ " 1992-07-17 | \n",
+ " 250.0 | \n",
+ " 0.000 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 250 | \n",
+ " 5.4547 | \n",
+ " -0.0008 | \n",
+ " 0.0 | \n",
+ " -0.2727 | \n",
+ " 0.0003 | \n",
+ " SPX920718P00250000 | \n",
+ " 1 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " underlying | \n",
+ " underlying_last | \n",
+ " optionroot | \n",
+ " type | \n",
+ " expiration | \n",
+ " quotedate | \n",
+ " strike | \n",
+ " last | \n",
+ " bid | \n",
+ " ask | \n",
+ " volume | \n",
+ " openinterest | \n",
+ " impliedvol | \n",
+ " delta | \n",
+ " gamma | \n",
+ " theta | \n",
+ " vega | \n",
+ " optionalias | \n",
+ " dte | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 1120981 | \n",
+ " SPX | \n",
+ " 1165.25 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-01-03 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 0 | \n",
+ " 0.1837 | \n",
+ " -0.7189 | \n",
+ " 0.0011 | \n",
+ " -4.9932 | \n",
+ " 550.1433 | \n",
+ " SXG031220P01450000 | \n",
+ " 716 | \n",
+ "
\n",
+ " \n",
+ " | 1121467 | \n",
+ " SPX | \n",
+ " 1172.50 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-01-04 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 200 | \n",
+ " 0.1780 | \n",
+ " -0.7198 | \n",
+ " 0.0012 | \n",
+ " -4.3687 | \n",
+ " 552.3557 | \n",
+ " SXG031220P01450000 | \n",
+ " 715 | \n",
+ "
\n",
+ " \n",
+ " | 1121957 | \n",
+ " SPX | \n",
+ " 1164.90 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-01-07 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 200 | \n",
+ " 0.1820 | \n",
+ " -0.7230 | \n",
+ " 0.0011 | \n",
+ " -4.5666 | \n",
+ " 544.5476 | \n",
+ " SXG031220P01450000 | \n",
+ " 712 | \n",
+ "
\n",
+ " \n",
+ " | 1122447 | \n",
+ " SPX | \n",
+ " 1160.70 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-01-08 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 200 | \n",
+ " 0.1830 | \n",
+ " -0.7265 | \n",
+ " 0.0011 | \n",
+ " -4.3912 | \n",
+ " 538.8742 | \n",
+ " SXG031220P01450000 | \n",
+ " 711 | \n",
+ "
\n",
+ " \n",
+ " | 1122940 | \n",
+ " SPX | \n",
+ " 1155.15 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-01-09 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 200 | \n",
+ " 0.1846 | \n",
+ " -0.7304 | \n",
+ " 0.0011 | \n",
+ " -4.2222 | \n",
+ " 532.0289 | \n",
+ " SXG031220P01450000 | \n",
+ " 710 | \n",
+ "
\n",
+ " \n",
+ " | ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " | 1265123 | \n",
+ " SPX | \n",
+ " 895.82 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-12-20 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 2421 | \n",
+ " 0.2241 | \n",
+ " -0.9648 | \n",
+ " 0.0002 | \n",
+ " 1.5314 | \n",
+ " 43.4461 | \n",
+ " SXG031220P01450000 | \n",
+ " 365 | \n",
+ "
\n",
+ " \n",
+ " | 1265633 | \n",
+ " SPX | \n",
+ " 897.38 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-12-23 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 2421 | \n",
+ " 0.2170 | \n",
+ " -0.9666 | \n",
+ " 0.0002 | \n",
+ " 0.5313 | \n",
+ " 36.1597 | \n",
+ " SXG031220P01450000 | \n",
+ " 362 | \n",
+ "
\n",
+ " \n",
+ " | 1266143 | \n",
+ " SPX | \n",
+ " 892.47 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-12-24 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 2419 | \n",
+ " 0.2175 | \n",
+ " -0.9667 | \n",
+ " 0.0002 | \n",
+ " -0.1834 | \n",
+ " 33.7203 | \n",
+ " SXG031220P01450000 | \n",
+ " 361 | \n",
+ "
\n",
+ " \n",
+ " | 1266653 | \n",
+ " SPX | \n",
+ " 889.66 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-12-26 | \n",
+ " 1450.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0.0 | \n",
+ " 0 | \n",
+ " 2419 | \n",
+ " 0.2145 | \n",
+ " -0.9651 | \n",
+ " 0.0002 | \n",
+ " -3.3717 | \n",
+ " 28.2564 | \n",
+ " SXG031220P01450000 | \n",
+ " 359 | \n",
+ "
\n",
+ " \n",
+ " | 1267163 | \n",
+ " SPX | \n",
+ " 875.40 | \n",
+ " SXG031220P01450000 | \n",
+ " put | \n",
+ " 2003-12-20 | \n",
+ " 2002-12-27 | \n",
+ " 1450.0 | \n",
+ " 550.0 | \n",
+ " 571.3 | \n",
+ " 574.3 | \n",
+ " 0 | \n",
+ " 2419 | \n",
+ " 0.2282 | \n",
+ " -0.9625 | \n",
+ " 0.0002 | \n",
+ " -3.8675 | \n",
+ " 32.5230 | \n",
+ " SXG031220P01450000 | \n",
+ " 358 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
249 rows × 19 columns
\n",
+ "