# ─── FETCH & ENRICH RAW CHAIN def load_chain(expiry_str, spot): opt = yf.Ticker(TICKER).option_chain(expiry_str) raw = opt.puts if OPTION_TYPE=="put" else opt.calls raw = raw.dropna(subset=["bid","ask","strike","openInterest","volume","lastTradeDate"]).copy() # 1) filter for recent trading (UTC‐aware) raw["lastTradeDate"] = pd.to_datetime(raw["lastTradeDate"]) cutoff = pd.Timestamp.now(tz="UTC") - timedelta(days=LAST_N_DAYS) raw = raw[raw["lastTradeDate"] >= cutoff] # 2) filter out very low open interest / low volume raw = raw[(raw.openInterest >= MIN_OI) & (raw.volume >= MIN_VOL)] # midpoint for IV guess raw["mid"] = (raw.bid + raw.ask) / 2 T = (datetime.strptime(expiry_str, "%Y-%m-%d") - now).days / 365 raw["iv"] = raw["delta"] = raw["gamma"] = raw["theta"] = raw["vega"] = np.nan for i, row in raw.iterrows(): K, m = row.strike, row.mid iv = implied_vol(m, spot, K, T, RISK_FREE, OPTION_TYPE) Δ,Γ,Θ,V = greeks(spot, K, T, RISK_FREE, iv, OPTION_TYPE) raw.at[i,"iv"] = iv raw.at[i,"delta"] = Δ raw.at[i,"gamma"] = Γ raw.at[i,"theta"] = Θ raw.at[i,"vega"] = V raw["expiry"] = expiry_str raw["DTE"] = (datetime.strptime(expiry_str, "%Y-%m-%d") - now).days return raw.dropna(subset=["iv","delta","gamma"]) # ─── BUILD ALL CREDIT SPREADS def build_spreads(chain, spot, threshold): out = [] if OPTION_TYPE=="put": shorts = chain[chain.strike < spot] long_filter = lambda df,s: df[df.strike < s] pop_sign = 1 else: shorts = chain[chain.strike > spot] long_filter = lambda df,s: df[df.strike > s] pop_sign = -1 for _, sh in shorts.iterrows(): if (sh.ask - sh.bid)/sh.strike > MAX_SPREAD_PCT: continue d2 = _d2(spot, sh.strike, sh.DTE/365, RISK_FREE, sh.iv) # choose POP method if POP_METHOD == "delta": pop = (1 - abs(sh.delta)) if OPTION_TYPE=="put" else sh.delta else: # "d2" pop = norm.cdf(pop_sign * d2) # old POP via d2, left for reference: # pop = norm.cdf(pop_sign * d2) for _, lg in long_filter(chain, sh.strike).iterrows(): if (lg.ask - lg.bid)/lg.strike > MAX_SPREAD_PCT: continue # choose pricing method if PRICING_METHOD == "mid": short_price = sh.mid long_price = lg.mid else: # worst-case: sell at bid, buy at ask short_price = sh.bid if sh.bid>0 else sh.lastPrice long_price = lg.ask if lg.ask>0 else lg.lastPrice # old midpoint credit, left for reference: # credit = sh.mid - lg.mid credit = short_price - long_price width = abs(sh.strike - lg.strike) if credit<=0 or credit>width: continue max_loss = width - credit ev = pop*credit - (1-pop)*max_loss ev_risk = ev / max_loss be = (sh.strike - credit) if OPTION_TYPE=="put" else (sh.strike + credit) be_pct = abs(be - spot)/spot * 100 ev_std = ev / abs(be_pct) if be_pct else np.nan net_vega = -sh.vega + lg.vega net_theta = sh.theta - lg.theta out.append({ "expiry": sh.expiry, "DTE": sh.DTE, "short_strike": sh.strike, "short_price": round(short_price,3), "short_oi": int(sh.openInterest), "short_vol": int(sh.volume), "long_strike": lg.strike, "long_price": round(long_price,3), "long_oi": int(lg.openInterest), "long_vol": int(lg.volume), "width": round(width,2), "credit": round(credit,3), "max_loss": round(max_loss,3), "break_even": round(be,3), "break_even_%": round(be_pct,2), "return_on_risk": round(credit/max_loss,3), "short_iv": round(sh.iv,3), "long_iv": round(lg.iv,3), "iv_skew": round(sh.iv - lg.iv,3), "short_delta": round(sh.delta,3), "long_delta": round(lg.delta,3), "delta_diff": round(sh.delta - lg.delta,3), "short_gamma": round(sh.gamma,6), "long_gamma": round(lg.gamma,6), "short_theta": round(sh.theta,4), "long_theta": round(lg.theta,4), "net_theta": round(net_theta,4), "short_vega": round(-sh.vega,4), "long_vega": round(lg.vega,4), "net_vega": round(net_vega,4), "POP": round(pop,3), "EV": round(ev,3), "EV_per_risk": round(ev_risk,3), "EV_std": round(ev_std,3), "threshold": round(threshold,2), "below_threshold":"yes" if sh.strike < threshold else "no" }) return out

Scanning Optimal Credit Spreads

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