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OptionGroup

OptionGroup#

class sigtech.framework.instruments.option_groups.OptionGroup

Baseclasses: ContractGroup

Subclasses: ExchangeTradedOptionGroup, OTCOptionGroup

Base option group class.

cash_settled: Optional[bool]
contract_size: Optional[float]
exchange_code: str
property holidays: str

List of holiday calendars for this instrument.

item_product_type: Optional[str]
settlement_ticker: str
underlying: str
property underlying_asset_description: str

Return a string representing the underlying asset.

property valuation_time

Valuation time for the instrument group Included so we can supply this to TradingManager.data_point_from_time

property valuation_tzinfo

Valuation time zone for the instrument group Included so we can supply this to TradingManager.data_point_from_time

convert_maturity_tenor_to_date(reference_date: date, maturity_tenor: str, **kwargs) → date

Convert a maturity tenor identifier to a date.

Parameters:

  • reference_date – Reference dats.

  • maturity_tenor – Maturity tenor identifier.

Returns:

datetime date.

exchange() → Exchange

Exchange object where options are traded.

get_option(option_type: str, strike: Union[float, str], start_date: date, maturity: Union[date, str], strike_type: str = 'Price', exercise_type: str = 'European', target_maturity_weekday: Optional[str] = None, is_imm_maturity: Optional[bool] = None, **kwargs)

The nearest option available for a given type of option, strike and start+maturity date.

Parameters:

  • option_type – 'Call' or 'Put'.

  • strike – Strike of option in either price or delta terms.

  • start_date – Strike of option in either price, delta terms or premium.

  • maturity – Maturity date of the option or maturity tenor key such as '3M'.

  • strike_type – 'Price', 'Delta' or 'Premium' (defaults to price).

  • exercise_type – 'European' or 'American' (defaults to ‘European’).

  • target_maturity_weekday – Weekday used for target maturity (optional).

  • is_imm_maturity – Flag for usage of IMM dates (optional).

Returns:

The nearest option available given the inputs.

get_option_dependencies(start_date: date, maturity: Union[date, str], data_points: Optional[list[sigtech.framework.infra.data_adapter.common.DataPoint]] = None, **kwargs) → list[sigtech.framework.internal.infra.mu.graph.registry.factory.Dependency]

Get Dependencies for the underlyings of an option with the given start and maturity dates

round_to_strike(strike: float) → float

Strike adjustment for display purposes.

Parameters:

strike – Input strike.

Returns:

Adjusted strike.

settlement_object() → Any

Object referenced by the settlement ticker.

spot_series(data_point=None)

Timeseries of the underlying.

Parameters:

data_point – Input data point (optional).

Returns:

pandas Series.

strike_from_delta(option_type: str, delta_strike: float, quote_date: date, maturity_date: date, **kwargs) → float

Option strike from delta.

Parameters:

  • option_type – Type of option.

  • delta_strike – Delta strike.

  • quote_date – Quote date.

  • maturity_date – Maturity date.

Returns:

Option strike.

valuation_dt(d: date) → datetime

Valuation dt - datetime for a given valuation date. Included so we can supply this to TradingManager.data_point_from_time