FinanceToolkit v1.8.0
It's time for another major release which consists of a full blown Options menu including all First, Second and Third Order Greeks such as Delta, Vega, Gamma, Theta and Ultima. Find the entire list of Greeks here. Update your Finance Toolkit now with:
pip install financetoolkit -UBased on the Black Scholes formula, it is now possible to get theoretical option prices and greeks for a range of stocks being able to plot charts such as the following:
For example, the following code gets you all Greeks for Tesla.
from financetoolkit import Toolkit
toolkit = Toolkit(["TSLA", "MU"], api_key="FINANCIAL_MODELING_PREP_KEY")
all_greeks = toolkit.options.collect_all_greeks(start_date='2024-01-03')
all_greeks.loc['TSLA', '2024-01-04']Which returns (Stock Price: 238.45, Volatility: 55.4%, Dividend Yield: 0.0% and Risk Free Rate: 3.91%):
| Strike Price | Delta | Dual Delta | Vega | Theta | Rho | Epsilon | Lambda | Gamma | Dual Gamma | Vanna | Charm | Vomma | Vera | Veta | PD | Speed | Zomma | Color | Ultima |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 180 | 1 | -0.9999 | 0 | -0.0193 | 0.4931 | -0.6533 | 4.0782 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | 0 |
| 185 | 1 | -0.9999 | 0 | -0.0198 | 0.5068 | -0.6533 | 4.4595 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | 0 |
| 190 | 1 | -0.9999 | 0 | -0.0204 | 0.5205 | -0.6533 | 4.9195 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | 0 |
| 195 | 1 | -0.9999 | 0 | -0.0209 | 0.5342 | -0.6533 | 5.4853 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | -0 | 0 | 0 | 0 |
| 200 | 1 | -0.9999 | 0 | -0.0214 | 0.5479 | -0.6533 | 6.1981 | 0 | 0 | -0 | 0 | 0 | -0 | 0.0012 | 0 | -0 | 0 | 0 | 0 |
| 205 | 1 | -0.9999 | 0 | -0.022 | 0.5616 | -0.6533 | 7.1239 | 0 | 0 | -0 | 0.0004 | 0.0003 | -0 | 0.1071 | 0 | -0 | 0 | 0.0003 | 0.0001 |
| 210 | 1 | -0.9999 | 0 | -0.0226 | 0.5753 | -0.6533 | 8.3747 | 0 | 0 | -0.0002 | 0.0199 | 0.0108 | -0.0001 | 4.1973 | 0 | -0 | 0.0001 | 0.012 | 0.0032 |
| 215 | 0.9998 | -0.9997 | 0.0001 | -0.0252 | 0.5889 | -0.6532 | 10.1567 | 0.0001 | 0.0001 | -0.0041 | 0.414 | 0.1838 | -0.0027 | 72.9841 | 0.0001 | -0 | 0.002 | 0.198 | 0.0324 |
| 220 | 0.9974 | -0.9971 | 0.001 | -0.0512 | 0.601 | -0.6516 | 12.8704 | 0.0012 | 0.0014 | -0.04 | 4.0384 | 1.3972 | -0.0264 | 580.934 | 0.0014 | -0.0005 | 0.0141 | 1.4208 | 0.1193 |
| 225 | 0.9783 | -0.9767 | 0.0065 | -0.2027 | 0.6021 | -0.6391 | 17.2415 | 0.0075 | 0.0084 | -0.1863 | 18.7659 | 4.6975 | -0.1235 | 2158.08 | 0.0084 | -0.0022 | 0.0409 | 4.115 | 0.0867 |
| 230 | 0.8966 | -0.8912 | 0.0224 | -0.6437 | 0.5616 | -0.5857 | 24.2406 | 0.026 | 0.028 | -0.4003 | 40.2357 | 6.3078 | -0.2677 | 3809 | 0.028 | -0.0049 | 0.0261 | 2.5995 | -0.1644 |
| 235 | 0.6987 | -0.6885 | 0.0435 | -1.2217 | 0.4433 | -0.4565 | 34.5702 | 0.0504 | 0.0519 | -0.3092 | 30.7944 | 2.0098 | -0.2139 | 3626.75 | 0.0519 | -0.004 | -0.0676 | -6.8748 | -0.0997 |
| 240 | 0.4187 | -0.4074 | 0.0488 | -1.361 | 0.2679 | -0.2735 | 48.191 | 0.0565 | 0.0558 | 0.1652 | -17.2254 | 0.4231 | 0.0945 | 3408.71 | 0.0558 | 0.0014 | -0.0971 | -9.7985 | -0.0227 |
| 245 | 0.1798 | -0.1722 | 0.0327 | -0.911 | 0.1156 | -0.1174 | 64.4551 | 0.0379 | 0.0359 | 0.4473 | -45.5831 | 5.1158 | 0.2833 | 4082.47 | 0.0359 | 0.0049 | -0.0092 | -0.8794 | -0.1971 |
| 250 | 0.0534 | -0.0503 | 0.0136 | -0.3769 | 0.0344 | -0.0349 | 82.5525 | 0.0157 | 0.0143 | 0.322 | -32.7 | 6.4816 | 0.2066 | 3305.97 | 0.0143 | 0.0036 | 0.0467 | 4.7605 | -0.0412 |
| 255 | 0.0108 | -0.01 | 0.0036 | -0.0992 | 0.007 | -0.0071 | 101.798 | 0.0041 | 0.0036 | 0.12 | -12.1728 | 3.4389 | 0.0774 | 1510.91 | 0.0036 | 0.0014 | 0.0324 | 3.2868 | 0.1451 |
| 260 | 0.0015 | -0.0014 | 0.0006 | -0.017 | 0.001 | -0.001 | 121.702 | 0.0007 | 0.0006 | 0.0266 | -2.6915 | 0.9828 | 0.0172 | 404.445 | 0.0006 | 0.0003 | 0.0101 | 1.0246 | 0.1043 |
| 265 | 0.0001 | -0.0001 | 0.0001 | -0.002 | 0.0001 | -0.0001 | 141.935 | 0.0001 | 0.0001 | 0.0037 | -0.3769 | 0.1682 | 0.0024 | 66.8956 | 0.0001 | 0 | 0.0018 | 0.1826 | 0.031 |
| 270 | 0 | -0 | 0 | -0.0002 | 0 | -0 | 162.286 | 0 | 0 | 0.0003 | -0.0349 | 0.0183 | 0.0002 | 7.148 | 0 | 0 | 0.0002 | 0.0203 | 0.0051 |
| 275 | 0 | -0 | 0 | -0 | 0 | -0 | 182.618 | 0 | 0 | 0 | -0.0022 | 0.0013 | 0 | 0.5115 | 0 | 0 | 0 | 0.0015 | 0.0005 |
| 280 | 0 | -0 | 0 | -0 | 0 | -0 | 202.841 | 0 | 0 | 0 | -0.0001 | 0.0001 | 0 | 0.0253 | 0 | 0 | 0 | 0.0001 | 0 |
| 285 | 0 | -0 | 0 | -0 | 0 | -0 | 222.899 | 0 | 0 | 0 | -0 | 0 | 0 | 0.0009 | 0 | 0 | 0 | 0 | 0 |
| 290 | 0 | -0 | 0 | -0 | 0 | -0 | 242.753 | 0 | 0 | 0 | -0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 295 | 0 | -0 | 0 | -0 | 0 | -0 | 262.382 | 0 | 0 | 0 | -0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Here, it automatically creates Strike Prices around the current stock price (or any price in the past if you change the start_date) parameter as well as plots forward for the time to expiration. Things that you can change with ease yourself if you like. For example:
from financetoolkit import Toolkit
toolkit = Toolkit(["MSFT", "ASML"], api_key="FINANCIAL_MODELING_PREP_KEY")
rho = toolkit.options.get_rho(
start_date="2020-01-02",
strike_price_range=0.15,
expiration_time_range=20,
put_option=True,
show_input_info=True
)
rho.loc['MSFT']Which returns:
Based on the period 2013-01-22 to 2024-01-17 the following parameters were used:
Stock Price: ASML (291.79), Benchmark (305.06), MSFT (154.78)
Volatility: ASML (34.77%), Benchmark (17.46%), MSFT (26.99%)
Dividend Yield: MSFT (0.96%), ASML (0.6%)
Risk Free Rate: 1.88%
| Strike Price | 2020-01-03 | 2020-01-04 | 2020-01-05 | 2020-01-06 | 2020-01-07 | 2020-01-08 | 2020-01-09 | 2020-01-10 | 2020-01-11 | 2020-01-12 | 2020-01-13 | 2020-01-14 | 2020-01-15 | 2020-01-16 | 2020-01-17 | 2020-01-18 | 2020-01-19 | 2020-01-20 | 2020-01-21 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 130 | -0 | -0 | -0 | -0 | -0 | -0 | -0 | -0 | -0.0001 | -0.0002 | -0.0004 | -0.0008 | -0.0015 | -0.0026 | -0.0041 | -0.0062 | -0.0089 | -0.0124 | -0.0167 |
| 135 | -0 | -0 | -0 | -0 | -0 | -0.0001 | -0.0003 | -0.001 | -0.0022 | -0.0043 | -0.0076 | -0.0122 | -0.0185 | -0.0265 | -0.0365 | -0.0486 | -0.0629 | -0.0794 | -0.0982 |
| 140 | -0 | -0 | -0 | -0.0003 | -0.0015 | -0.0045 | -0.0101 | -0.0192 | -0.0322 | -0.0493 | -0.0709 | -0.0968 | -0.1271 | -0.1616 | -0.2003 | -0.2429 | -0.2895 | -0.3397 | -0.3934 |
| 145 | -0 | -0.0004 | -0.0047 | -0.017 | -0.0396 | -0.0727 | -0.1156 | -0.1676 | -0.2277 | -0.295 | -0.3689 | -0.4486 | -0.5335 | -0.6233 | -0.7174 | -0.8154 | -0.917 | -1.022 | -1.13 |
| 150 | -0.0055 | -0.0485 | -0.1251 | -0.223 | -0.3353 | -0.4579 | -0.5883 | -0.7249 | -0.8666 | -1.0125 | -1.162 | -1.3145 | -1.4698 | -1.6275 | -1.7873 | -1.949 | -2.1125 | -2.2776 | -2.4442 |
| 155 | -0.2302 | -0.4512 | -0.671 | -0.8903 | -1.1094 | -1.3284 | -1.5474 | -1.7663 | -1.9853 | -2.2043 | -2.4234 | -2.6425 | -2.8617 | -3.081 | -3.3004 | -3.5198 | -3.7393 | -3.9589 | -4.1785 |
| 160 | -0.4343 | -0.8348 | -1.2016 | -1.5461 | -1.8754 | -2.1938 | -2.504 | -2.8078 | -3.1063 | -3.4006 | -3.6912 | -3.9787 | -4.2636 | -4.5461 | -4.8265 | -5.1051 | -5.382 | -5.6574 | -5.9314 |
| 165 | -0.452 | -0.9034 | -1.35 | -1.7871 | -2.2125 | -2.6264 | -3.0295 | -3.4229 | -3.8077 | -4.1848 | -4.5552 | -4.9194 | -5.2782 | -5.6322 | -5.9817 | -6.3272 | -6.6691 | -7.0076 | -7.3431 |
| 170 | -0.4657 | -0.9314 | -1.397 | -1.8618 | -2.3248 | -2.7846 | -3.2402 | -3.6907 | -4.1358 | -4.5753 | -5.0092 | -5.4376 | -5.8608 | -6.2788 | -6.6921 | -7.1007 | -7.5049 | -7.9051 | -8.3013 |
Furthermore, each module now has it's own dedicated Jupyter Notebook. Find all of them below or on my website here.