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danwagnerco/option_volume_chart.ipynb

Last active September 29, 2024 20:39
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Visualize daily option flow by strike across all expiries
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option_volume_chart.ipynb
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
" <div id=\"5Zt7mu\"></div>\n",
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" if(!window.letsPlotCallQueue) {\n",
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" }; \n",
" window.letsPlotCall = function(f) {\n",
" window.letsPlotCallQueue.push(f);\n",
" };\n",
" (function() {\n",
" var script = document.createElement(\"script\");\n",
" script.type = \"text/javascript\";\n",
" script.src = \"https://cdn.jsdelivr.net/gh/JetBrains/[email protected]/js-package/distr/lets-plot.min.js\";\n",
" script.onload = function() {\n",
" window.letsPlotCall = function(f) {f();};\n",
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" \n",
" };\n",
" script.onerror = function(event) {\n",
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" })()\n",
" </script>\n",
" "
]
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"metadata": {},
"output_type": "display_data"
}
],
"source": [
"import os\n",
"import requests\n",
"import polars as pl\n",
"from lets_plot import *\n",
"LetsPlot.setup_html()\n",
"\n",
"uw_token = os.environ['UW_TOKEN']\n",
"headers = {'Accept': 'application/json, text/plain', 'Authorization': uw_token}"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"def theme_dark():\n",
" darkest_black = '#0d1117'\n",
" darker_black = '#161b22'\n",
" dark_black = '#21262d'\n",
" darkest_gray = '#89929b'\n",
" darker_gray = '#c6cdd5'\n",
" dark_gray = '#ecf2f8'\n",
" white = '#ffffff'\n",
" red = '#fa7970'\n",
" orange = '#faa356'\n",
" green = '#7ce38b'\n",
" sky_blue = 'a2d2fb'\n",
" blue = '#77bdfb'\n",
" purple = '#cea5fb'\n",
" return theme_none() + theme(\n",
" line=element_line(color=dark_gray, size=1),\n",
" rect=element_rect(color=darkest_gray, fill=darkest_black, size=2),\n",
" text=element_text(color=darker_gray),\n",
" axis_ontop=True,\n",
" axis_ticks=element_line(color=darker_gray),\n",
" legend_background=element_rect(size=2, fill=darker_black),\n",
" legend_position='bottom',\n",
" panel_grid_major=element_line(color=darker_gray, size=1, linetype='dashed'),\n",
" panel_grid_minor=element_blank(),\n",
" plot_background=element_rect(fill=darkest_black),\n",
" plot_title=element_text(hjust=0.5, color=dark_gray),\n",
" tooltip=element_rect(fill=darkest_black, color=dark_gray),\n",
" axis_tooltip=element_rect(color=darker_gray)\n",
" )\n",
"\n",
"\n",
"def theme_light():\n",
" darkest_black = '#0d1117'\n",
" darker_black = '#161b22'\n",
" dark_black = '#21262d'\n",
" darkest_gray = '#89929b'\n",
" darker_gray = '#c6cdd5'\n",
" dark_gray = '#ecf2f8'\n",
" white = '#ffffff'\n",
" red = '#fa7970'\n",
" orange = '#faa356'\n",
" green = '#7ce38b'\n",
" sky_blue = 'a2d2fb'\n",
" blue = '#77bdfb'\n",
" purple = '#cea5fb'\n",
" return theme_none() + theme(\n",
" line=element_line(color=darkest_black, size=1),\n",
" rect=element_rect(color=darkest_black, fill=white, size=2),\n",
" text=element_text(color=darkest_black),\n",
" axis_ontop=True,\n",
" axis_ticks=element_line(color=darker_black),\n",
" legend_background=element_rect(size=2),\n",
" legend_position='bottom',\n",
" panel_grid_major=element_line(color=dark_black, size=1, linetype='dashed'),\n",
" panel_grid_minor=element_blank(),\n",
" # plot_background=element_rect(fill=dark_gray),\n",
" plot_title=element_text(hjust=0.5, color=darkest_black),\n",
" tooltip=element_rect(color=dark_black),\n",
" axis_tooltip=element_rect(color=darker_black)\n",
" )\n",
"\n",
"\n",
"dark_theme = {\n",
" 'darkest_black': '#0d1117',\n",
" 'darker_black': '#161b22',\n",
" 'dark_black': '#21262d',\n",
" 'darkest_gray': '#89929b',\n",
" 'darker_gray': '#c6cdd5',\n",
" 'dark_gray': '#ecf2f8',\n",
" 'white': '#ffffff',\n",
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" 'sky_blue': '#a2d2fb',\n",
" 'blue': '#77bdfb',\n",
" 'purple': '#cea5fb'\n",
"}\n",
"\n",
"\n",
"def create_uw_option_df(ticker: str,\n",
" dates_to_exclude: list[str] = [],\n",
" dates_to_include: list[str] = []) -> pl.DataFrame:\n",
" \"\"\"\n",
" Return a Polars DataFrame containing option transaction data\n",
" by strike for the entire montage for the passed-in ticker.\n",
" \"\"\"\n",
" # Collect json data from the Unusual Whales API\n",
" base_url = ('https://api.unusualwhales.com/api/stock/'\n",
" '{}/option-contracts')\n",
" full_url = base_url.format(ticker)\n",
" r = requests.get(full_url, headers=headers)\n",
"\n",
" # Create DataFrame then format columns andcalculate strike price\n",
" # before returning to DataFrame the caller\n",
" df = pl.DataFrame(r.json()['data'])\n",
" df = (\n",
" df\n",
" .with_columns(\n",
" [\n",
" pl.col('high_price').cast(pl.Float64),\n",
" pl.col('implied_volatility').cast(pl.Float64),\n",
" pl.col('last_price').cast(pl.Float64),\n",
" pl.col('low_price').cast(pl.Float64),\n",
" pl.col('nbbo_ask').cast(pl.Float64),\n",
" pl.col('nbbo_bid').cast(pl.Float64),\n",
" pl.col('total_premium').cast(pl.Float64)\n",
" ]\n",
" )\n",
" .with_columns(\n",
" [\n",
" (\n",
" pl.col('option_symbol').str.slice(-9, 1).alias('option_type')\n",
" ),\n",
" (\n",
" pl.col('option_symbol').str.slice(-8).cast(pl.Float64) / 1000\n",
" ).alias('strike_price'),\n",
" ]\n",
" )\n",
" .with_columns(\n",
" pl.col('strike_price').cast(pl.Utf8).alias('strike_price_str')\n",
" )\n",
" .with_columns(\n",
" pl.concat_str(\n",
" [pl.col('strike_price').cast(pl.Utf8), pl.col('option_type')], separator=''\n",
" ).alias('strike')\n",
" )\n",
" .with_columns(\n",
" pl.concat_str(\n",
" [\n",
" (pl.lit('20') + pl.col('option_symbol').str.slice(len(ticker), 2)),\n",
" pl.col('option_symbol').str.slice(len(ticker) + 2, 2),\n",
" pl.col('option_symbol').str.slice(len(ticker) + 4, 2)\n",
" ],\n",
" separator='-'\n",
" ).alias('expiration_date_str')\n",
" )\n",
" )\n",
"\n",
" # Filter out any dates that are in the dates_to_ignore list\n",
" # (if not empty) and return the final results\n",
" if dates_to_exclude:\n",
" df = df.filter(~pl.col('expiration_date_str').is_in(dates_to_exclude))\n",
" elif dates_to_include:\n",
" df = df.filter(pl.col('expiration_date_str').is_in(dates_to_include))\n",
" return df\n",
"\n",
"\n",
"def aggregate_uw_option_df_by_strike_price(df: pl.DataFrame) -> pl.DataFrame:\n",
" \"\"\"\n",
" Aggregate volume and open interest by strike price across\n",
" the option montage included in the passed-in DataFrame.\n",
" \"\"\"\n",
" new_df = (\n",
" df\n",
" .group_by('strike')\n",
" .agg(\n",
" [\n",
" pl.sum('ask_volume').alias('total_ask_volume'),\n",
" pl.sum('bid_volume').alias('total_bid_volume'),\n",
" pl.sum('mid_volume').alias('total_mid_volume'),\n",
" pl.sum('no_side_volume').alias('total_no_side_volume'),\n",
" pl.sum('open_interest').alias('total_open_interest'),\n",
" pl.sum('volume').alias('total_volume'),\n",
" pl.min('strike_price'),\n",
" pl.min('strike_price_str'),\n",
" pl.min('option_type')\n",
" ]\n",
" )\n",
" )\n",
" return new_df.sort('strike_price', descending=False)\n",
"\n",
"\n",
"def configure_agg_df_for_plotting(df: pl.DataFrame) -> pl.DataFrame:\n",
" \"\"\"\n",
" Create a \"vertical\" DataFrame that plots much more easily\n",
" with Lets-Plot than the \"horizontal\" condensed DataFrame\n",
" \"\"\"\n",
" # Create an ask-specific DataFrame\n",
" ask_side_columns = [\n",
" 'strike',\n",
" 'strike_price',\n",
" 'strike_price_str',\n",
" 'option_type',\n",
" 'total_ask_volume',\n",
" ]\n",
" ask_side_df = df.select(ask_side_columns)\n",
" ask_side_df = ask_side_df.rename({'total_ask_volume': 'volume'})\n",
" ask_side_df = (\n",
" ask_side_df\n",
" .with_columns(\n",
" pl.lit('ask').alias('side')\n",
" )\n",
" .with_columns(\n",
" pl.when(pl.col('option_type') == 'P')\n",
" .then(pl.col('volume') * -1)\n",
" .otherwise(pl.col('volume'))\n",
" )\n",
" )\n",
"\n",
" # Create a bid-specific DataFrame\n",
" bid_side_columns = [\n",
" 'strike',\n",
" 'strike_price',\n",
" 'strike_price_str',\n",
" 'option_type',\n",
" 'total_bid_volume',\n",
" ]\n",
" bid_side_df = df.select(bid_side_columns)\n",
" bid_side_df = bid_side_df.rename({'total_bid_volume': 'volume'})\n",
" bid_side_df = (\n",
" bid_side_df\n",
" .with_columns(\n",
" pl.lit('bid').alias('side')\n",
" )\n",
" .with_columns(\n",
" pl.when(pl.col('option_type') == 'P')\n",
" .then(pl.col('volume') * -1)\n",
" .otherwise(pl.col('volume'))\n",
" )\n",
" )\n",
"\n",
" # Create a mid-specific DataFrame\n",
" mid_side_columns = [\n",
" 'strike',\n",
" 'strike_price',\n",
" 'strike_price_str',\n",
" 'option_type',\n",
" 'total_mid_volume',\n",
" ]\n",
" mid_side_df = df.select(mid_side_columns)\n",
" mid_side_df = mid_side_df.rename({'total_mid_volume': 'volume'})\n",
" mid_side_df = (\n",
" mid_side_df\n",
" .with_columns(\n",
" pl.lit('mid').alias('side')\n",
" )\n",
" .with_columns(\n",
" pl.when(pl.col('option_type') == 'P')\n",
" .then(pl.col('volume') * -1)\n",
" .otherwise(pl.col('volume'))\n",
" )\n",
" )\n",
"\n",
" # Create a no-side-specific DataFrame\n",
" no_side_columns = [\n",
" 'strike',\n",
" 'strike_price',\n",
" 'strike_price_str',\n",
" 'option_type',\n",
" 'total_no_side_volume',\n",
" ]\n",
" no_side_df = df.select(no_side_columns)\n",
" no_side_df = no_side_df.rename({'total_no_side_volume': 'volume'})\n",
" no_side_df = (\n",
" no_side_df\n",
" .with_columns(\n",
" pl.lit('no_side').alias('side')\n",
" )\n",
" .with_columns(\n",
" pl.when(pl.col('option_type') == 'P')\n",
" .then(pl.col('volume') * -1)\n",
" .otherwise(pl.col('volume'))\n",
" )\n",
" )\n",
" return (\n",
" ask_side_df\n",
" .vstack(bid_side_df)\n",
" .vstack(mid_side_df)\n",
" .vstack(no_side_df)\n",
" )\n",
"\n",
"\n",
"def plot_option_volume_by_strike_price(ticker: str,\n",
" df: pl.DataFrame,\n",
" dark_color: bool = True) -> ggplot:\n",
" \"\"\"\n",
" Plot the volume of option contracts by strike price\n",
" \"\"\"\n",
" tooltip_content = layer_tooltips().line('@volume')\n",
" light_color_values = [\n",
" dark_theme['green'],\n",
" dark_theme['red'],\n",
" dark_theme['blue'],\n",
" dark_theme['darker_gray']\n",
" ]\n",
" if dark_color:\n",
" p = ggplot(df, aes(x='volume', y='strike_price_str')) + \\\n",
" geom_bar(aes(fill='side'), stat='identity', color='white', size=0.5, tooltips=tooltip_content) + \\\n",
" ggsize(800, 700) + \\\n",
" ggtitle(f'{ticker} Option Volume') + \\\n",
" theme_dark() + \\\n",
" scale_fill_manual(values=light_color_values)\n",
" else:\n",
" p = ggplot(df, aes(x='volume', y='strike_price_str')) + \\\n",
" geom_bar(aes(fill='side'), stat='identity', color='black', size=0.5, tooltips=tooltip_content) + \\\n",
" ggsize(800, 700) + \\\n",
" ggtitle(f'{ticker} Option Volume') + \\\n",
" theme_light() + \\\n",
" scale_fill_manual(values=light_color_values)\n",
" return p"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [
{
"data": {
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"ticker = 'BA'\n",
"expiry_dates_to_remove = ['2024-09-27']\n",
"raw_df = create_uw_option_df(ticker, dates_to_exclude=expiry_dates_to_remove)\n",
"agg_df = aggregate_uw_option_df_by_strike_price(raw_df)\n",
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{
"cell_type": "markdown",
"metadata": {},
"source": [
"**BA option volume chart (above)**\n",
"- I recently saw some interesting trades in BA (including 10_000x total volume (screen trades and `FLOOR` broker-executed) Nov24 185C marked closer to the bid) so I want to keep tabs on any new developments in BA options\n",
"- Removed 0dte transactions since this is something I am studying longer-term\n",
"- **BIG** volume (12_000 up) on the 170C/180C strikes, leads me to believe a call spread buyer has stepped in as well\n",
"- Quick investigation reveals that yes, a Nov24 170C/180C position traded about 4650x via `FLOOR` broker at 09:59:36 Chicago time, very interesting"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
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{
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"source": [
"ticker = 'OXY'\n",
"expiry_dates_to_include = ['2025-01-17', '2025-02-21', '2025-03-21']\n",
"raw_df = create_uw_option_df(ticker, dates_to_include=expiry_dates_to_include)\n",
"agg_df = aggregate_uw_option_df_by_strike_price(raw_df)\n",
"plot_df = configure_agg_df_for_plotting(agg_df)\n",
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{
"cell_type": "markdown",
"metadata": {},
"source": [
"**OXY option volume chart (above)**\n",
"- An avid Buffett fan let me know that OXY was trading well below Warren's latest add in June at $59.62\n",
"- He was forecasting a +10% to +25% move up in OXY price due to a number of oil-specific factors that went way over my head lol\n",
"- I adjusted the expiries on this one to only look at Jan'25, Feb'25, and Mar'25 since that was his predicted time needed for the rally\n",
"- Certainly some longer-dated trading going on, but OXY is heavily traded and nothing really jumped out at me so in the next graph I decided to get rid of the filters and take a wider look"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [
{
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],
"source": [
"ticker = 'OXY'\n",
"raw_df = create_uw_option_df(ticker)\n",
"agg_df = aggregate_uw_option_df_by_strike_price(raw_df)\n",
"plot_df = configure_agg_df_for_plotting(agg_df)\n",
"p = plot_option_volume_by_strike_price(ticker, plot_df, dark_color=False)\n",
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]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"**OXY option volume chart above (above but this time showing all expirations)**\n",
"- Now this looks a lot more interesting, the 50C and 55C both saw 20_000+ contracts trade\n",
"- Quick review at [https://unusualwhales.com/stock/OXY/overview?](https://unusualwhales.com/stock/OXY/overview?) and I see 14_000+ Nov'24 50Cs traded primarily on the ask (which aligns nicely with the chart), very interesting indeed"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {},
"outputs": [
{
"data": {
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],
"source": [
"ticker = 'SPXW'\n",
"expiry_dates_to_remove = ['2024-09-27']\n",
"raw_df = create_uw_option_df(ticker, dates_to_exclude=expiry_dates_to_remove)\n",
"agg_df = aggregate_uw_option_df_by_strike_price(raw_df)\n",
"plot_df = configure_agg_df_for_plotting(agg_df)\n",
"p = plot_option_volume_by_strike_price(ticker, plot_df, dark_color=False)\n",
"p.show()"
]
},
{
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"metadata": {},
"source": [
"**SPXW option volume chart above**\n",
"- Remove 0dte trades since the volumes are enormous and will obscure longer-dated positions\n",
"- Looks very much like \"twin\" 10_000 bars at 5900C/5925C, could be a call spread worth looking for\n",
"- Big (13_000+) ask-side activity on the 4900P, yeesh that's quite a ways down from here I will add that one to my list for investigation over the weekend too"
]
}
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