IVtws

IVtws 台灣期貨交易所報價爬蟲即時波動率計算與視覺化

• 資料來源 台灣期貨交易所報價

Requires

• python 2.7 or 3.x
• pandas >= 0.18
• numpy
• matplotlib
• selenium and PhantomJS
• requests
• plotly >= 1.9 (optional)
• ipywidgets (optional)
• bqplot (optional)
• colour (optional)

Quick start example

git clone https://github.com/Yvictor/IVtws.git
cd IVtws
jupyter Notebook

using jupyter notebook

from IVtws import IVstream
form IPython.display import display
import matplotlib.pyplot as plt

import plotly offline to build interactivate plot

#with plotly interactive plot
from plotly.tools import mpl_to_plotly
from plotly.offline import iplot,iplot_mpl,init_notebook_mode
init_notebook_mode()

%matplotlib inline

Initialize the IV table

IVtw = IVstream((8,45),(13,45))
IVtw.init_table(select_settled=0)#select_settled is the selectbox of option qoute's settlement date default is the first week option

update data and recalculate the Implied Volitity

IVtw.append_IV()

<div> <table border="1" class="dataframe"> <thead> <tr style="text-align: right;"> <th></th> <th>買進</th> <th>賣出</th> <th>成交</th> <th>成交價</th> <th>漲跌</th> <th>內含價值</th> <th>時間價值</th> <th>隱含波動率</th> <th>組合價</th> <th>總量</th> <th>時間</th> <th>TCUL</th> <th>履約價</th> </tr> </thead> <tbody> <tr> <th>15</th> <td>270.000</td> <td>272.000</td> <td>272.000</td> <td>272.0</td> <td>-37.000</td> <td>268.3</td> <td>3.7</td> <td>13.84</td> <td>9168.3</td> <td>300</td> <td>2016-10-14 13:44:29</td> <td>3.001722</td> <td>8900</td> </tr> <tr> <th>17</th> <td>178.000</td> <td>179.000</td> <td>178.000</td> <td>178.0</td> <td>-34.000</td> <td>167.5</td> <td>10.5</td> <td>13.51</td> <td>9167.5</td> <td>988</td> <td>2016-10-14 13:44:36</td> <td>3.001333</td> <td>9000</td> </tr> <tr> <th>18</th> <td>134.000</td> <td>136.000</td> <td>135.000</td> <td>135.0</td> <td>-36.000</td> <td>117.0</td> <td>18.0</td> <td>13.24</td> <td>9167.0</td> <td>1142</td> <td>2016-10-14 13:44:51</td> <td>3.000500</td> <td>9050</td> </tr> <tr> <th>19</th> <td>95.000</td> <td>96.000</td> <td>96.000</td> <td>96.0</td> <td>-34.000</td> <td>68.0</td> <td>28.0</td> <td>12.54</td> <td>9168.0</td> <td>8657</td> <td>2016-10-14 13:44:52</td> <td>3.000444</td> <td>9100</td> </tr> <tr> <th>20</th> <td>62.000</td> <td>63.000</td> <td>63.000</td> <td>63.0</td> <td>-33.000</td> <td>17.0</td> <td>46.0</td> <td>12.26</td> <td>9167.0</td> <td>16032</td> <td>2016-10-14 13:44:53</td> <td>3.000389</td> <td>9150</td> </tr> <tr> <th>21</th> <td>39.000</td> <td>39.500</td> <td>39.000</td> <td>39.0</td> <td>-26.000</td> <td>0.0</td> <td>39.0</td> <td>12.05</td> <td>9169.0</td> <td>49552</td> <td>2016-10-14 13:44:52</td> <td>3.000444</td> <td>9200</td> </tr> <tr> <th>22</th> <td>20.500</td> <td>21.000</td> <td>20.500</td> <td>20.5</td> <td>-20.500</td> <td>0.0</td> <td>20.5</td> <td>11.72</td> <td>9167.5</td> <td>47770</td> <td>2016-10-14 13:44:53</td> <td>3.000389</td> <td>9250</td> </tr> <tr> <th>23</th> <td>10.000</td> <td>10.500</td> <td>10.000</td> <td>10.0</td> <td>-13.000</td> <td>0.0</td> <td>10.0</td> <td>11.58</td> <td>9168.0</td> <td>43563</td> <td>2016-10-14 13:44:53</td> <td>3.000389</td> <td>9300</td> </tr> <tr> <th>24</th> <td>4.100</td> <td>4.200</td> <td>4.100</td> <td>4.1</td> <td>-7.400</td> <td>0.0</td> <td>4.1</td> <td>11.29</td> <td>9169.1</td> <td>21033</td> <td>2016-10-14 13:44:52</td> <td>3.000444</td> <td>9350</td> </tr> <tr> <th>25</th> <td>1.600</td> <td>1.700</td> <td>1.700</td> <td>1.7</td> <td>-2.800</td> <td>0.0</td> <td>1.7</td> <td>11.57</td> <td>9165.7</td> <td>21693</td> <td>2016-10-14 13:44:53</td> <td>3.000389</td> <td>9400</td> </tr> </tbody> </table> </div> <div> <table border="1" class="dataframe"> <thead> <tr style="text-align: right;"> <th></th> <th>履約價</th> <th>買進</th> <th>賣出</th> <th>成交價</th> <th>成交</th> <th>內含價值</th> <th>時間價值</th> <th>隱含波動率</th> <th>組合價</th> <th>漲跌</th> <th>總量</th> <th>TCUL</th> <th>時間</th> </tr> </thead> <tbody> <tr> <th>11</th> <td>8500</td> <td>0.500</td> <td>0.600</td> <td>0.6</td> <td>0.600</td> <td>0.0</td> <td>0.6</td> <td>29.08</td> <td>9189.4</td> <td>-0.300</td> <td>1926</td> <td>3.001111</td> <td>2016-10-14 13:44:40</td> </tr> <tr> <th>12</th> <td>8600</td> <td>0.800</td> <td>0.900</td> <td>0.8</td> <td>0.800</td> <td>0.0</td> <td>0.8</td> <td>26.08</td> <td>9189.2</td> <td>-0.400</td> <td>2605</td> <td>3.000778</td> <td>2016-10-14 13:44:46</td> </tr> <tr> <th>13</th> <td>8700</td> <td>1.300</td> <td>1.400</td> <td>1.4</td> <td>1.400</td> <td>0.0</td> <td>1.4</td> <td>23.51</td> <td>9181.6</td> <td>-0.800</td> <td>5801</td> <td>3.000944</td> <td>2016-10-14 13:44:43</td> </tr> <tr> <th>14</th> <td>8800</td> <td>2.100</td> <td>2.200</td> <td>2.1</td> <td>2.100</td> <td>0.0</td> <td>2.1</td> <td>19.87</td> <td>9167.9</td> <td>-0.900</td> <td>6778</td> <td>3.000389</td> <td>2016-10-14 13:44:53</td> </tr> <tr> <th>15</th> <td>8900</td> <td>3.700</td> <td>3.800</td> <td>3.7</td> <td>3.700</td> <td>0.0</td> <td>3.7</td> <td>17.00</td> <td>9168.3</td> <td>-1.400</td> <td>19534</td> <td>3.000389</td> <td>2016-10-14 13:44:53</td> </tr> <tr> <th>16</th> <td>8950</td> <td>6.000</td> <td>6.100</td> <td>6.0</td> <td>6.000</td> <td>0.0</td> <td>6.0</td> <td>16.88</td> <td>9182.0</td> <td>-2.400</td> <td>9207</td> <td>3.000722</td> <td>2016-10-14 13:44:47</td> </tr> <tr> <th>17</th> <td>9000</td> <td>10.000</td> <td>10.500</td> <td>10.5</td> <td>10.500</td> <td>0.0</td> <td>10.5</td> <td>15.57</td> <td>9167.5</td> <td>-3.000</td> <td>21161</td> <td>3.000389</td> <td>2016-10-14 13:44:53</td> </tr> <tr> <th>18</th> <td>9050</td> <td>17.500</td> <td>18.000</td> <td>18.0</td> <td>18.000</td> <td>0.0</td> <td>18.0</td> <td>15.05</td> <td>9167.0</td> <td>-2.000</td> <td>18981</td> <td>3.000444</td> <td>2016-10-14 13:44:52</td> </tr> <tr> <th>19</th> <td>9100</td> <td>27.500</td> <td>28.000</td> <td>28.0</td> <td>28.000</td> <td>0.0</td> <td>28.0</td> <td>14.17</td> <td>9168.0</td> <td>-1.000</td> <td>40078</td> <td>3.000444</td> <td>2016-10-14 13:44:52</td> </tr> <tr> <th>20</th> <td>9150</td> <td>45.500</td> <td>46.000</td> <td>46.0</td> <td>46.000</td> <td>0.0</td> <td>46.0</td> <td>13.81</td> <td>9167.0</td> <td>2.500</td> <td>37940</td> <td>3.000444</td> <td>2016-10-14 13:44:52</td> </tr> <tr> <th>21</th> <td>9200</td> <td>70.000</td> <td>71.000</td> <td>70.0</td> <td>70.000</td> <td>31.0</td> <td>39.0</td> <td>13.57</td> <td>9169.0</td> <td>7.000</td> <td>36969</td> <td>3.000389</td> <td>2016-10-14 13:44:53</td> </tr> <tr> <th>22</th> <td>9250</td> <td>103.000</td> <td>104.000</td> <td>103.0</td> <td>103.000</td> <td>82.5</td> <td>20.5</td> <td>13.28</td> <td>9167.5</td> <td>13.000</td> <td>12599</td> <td>3.000500</td> <td>2016-10-14 13:44:51</td> </tr> <tr> <th>23</th> <td>9300</td> <td>141.000</td> <td>142.000</td> <td>142.0</td> <td>142.000</td> <td>132.0</td> <td>10.0</td> <td>13.28</td> <td>9168.0</td> <td>21.000</td> <td>7654</td> <td>3.000611</td> <td>2016-10-14 13:44:49</td> </tr> <tr> <th>24</th> <td>9350</td> <td>181.000</td> <td>188.000</td> <td>185.0</td> <td>185.000</td> <td>180.9</td> <td>4.1</td> <td>13.33</td> <td>9169.1</td> <td>24.000</td> <td>1206</td> <td>3.000389</td> <td>2016-10-14 13:44:53</td> </tr> <tr> <th>25</th> <td>9400</td> <td>232.000</td> <td>239.000</td> <td>236.0</td> <td>236.000</td> <td>234.3</td> <td>1.7</td> <td>14.29</td> <td>9165.7</td> <td>36.000</td> <td>668</td> <td>3.001722</td>