From 6c65ed23fea91aace80c4b66e9759a701c789d44 Mon Sep 17 00:00:00 2001 From: Joanes Espanol Date: Tue, 19 Nov 2024 07:57:19 -0800 Subject: [PATCH] Feature/svi notebook (#47) --- .../amberdata_logo_bug_color_100p.png | Bin 0 -> 4840 bytes jupyter_notebooks/svi_curves.ipynb | 74736 ++++++++++++++++ 2 files changed, 74736 insertions(+) create mode 100644 jupyter_notebooks/amberdata_logo_bug_color_100p.png create mode 100644 jupyter_notebooks/svi_curves.ipynb diff --git a/jupyter_notebooks/amberdata_logo_bug_color_100p.png b/jupyter_notebooks/amberdata_logo_bug_color_100p.png new file mode 100644 index 0000000000000000000000000000000000000000..42c085d3b0629696c423f16bc0d831e766eeae8f GIT binary patch literal 4840 zcmVP)M{3~jU($O2zSjs8r?0H^|f4!jGT zX_rz~A=q{l9dar zwn&z3_(vz?cNWXL1i02>nU=!gPIlTNSePcgPA`V;0@EChh`GRd7OMryN_#QeMpAR& zNknmXH-YA`K`jMGr@zDou>wPLkk{FOFIq>^Uq;N6hbDWo5puf?iUG_5&IWd8a>HZpf?;S;M9o0>YHkj+x8*XJ5sk zvh%q9^`(?FZY3V9AmIw2N#kVA3s4@oT{!DxKbiq|*F8qJw~%1V zF4W>>SJ$$K)O38YRy^@`HqN_?$8T7LE_*3#--mgcbUiI*uM|4oWCx`!AF*}nEv#6y zmb!7DBqw?R%`^t<=nXcEPth?Nb-=(5>r;Gi@qzX@b$>LkSVj^DE&6FZz`eL45_%PmhguJeX^gTxvqaIvLkJjSIUbapC3=iM( z0@2_Yf{}el&9MWOn6d(4sp&VnQa$*?``I?*cAj3i0#7`Ozo+%IZ{9;;)CqxO7FbEk zF7{Vm#LAmrB$_vlU}P^+b1VmbG{Rf7N=;wji?w!m5>Z~g;wP-R@&QH0@%z@OLo8dL zQH;$hxHuNv3!sV+jsV+HIdC+Yq9uOmO?X^VnC!opHov0kSE6aPXmzsW? 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currencydaysToExpirationexpirationTimestampforwardDifferenceindexPricesviAsviBsviMsviRhosviSigmatimestampatmIvunderlyingPrice
0BTC1.132024-11-2071.46875091483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.27516091555.398750
3BTC10.132024-11-29525.07031291483.93-0.4195793.154503-0.167105-0.4397510.2727632024-11-19 04:50:0059.80618592009.000312
4BTC17.132024-12-06790.10156291483.93-0.7556523.945145-0.370972-0.6591420.3691132024-11-19 04:50:0058.67242892274.031562
5BTC38.132024-12-271596.63281291483.93-1.7267282.195435-0.208575-0.2130650.9575622024-11-19 04:50:0057.20713393080.562812
6BTC73.132025-01-312745.36718891483.93-0.0175980.866943-0.341216-0.4924300.4421942024-11-19 04:50:0056.65276894229.297187
7BTC129.132025-03-284592.57812591483.93-0.2863810.755752-0.317493-0.2945390.8229362024-11-19 04:50:0055.63838296076.508125
8BTC220.132025-06-277401.36718891483.93-0.1802110.508398-0.354522-0.2737141.0030302024-11-19 04:50:0055.79511398885.297187
9BTC311.132025-09-269885.84375091483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.819520101369.773750
1BTC2.132024-11-21136.63281291483.93-1.22857716.827271-0.188760-0.7537130.1449732024-11-19 04:50:0061.83908191620.562812
2BTC3.132024-11-22205.59375091483.93-0.7278827.008953-0.129213-0.4929250.1817372024-11-19 04:50:0062.33999591689.523750
\n", + "
" + ], + "text/plain": [ + " currency daysToExpiration expirationTimestamp forwardDifference \\\n", + "0 BTC 1.13 2024-11-20 71.468750 \n", + "3 BTC 10.13 2024-11-29 525.070312 \n", + "4 BTC 17.13 2024-12-06 790.101562 \n", + "5 BTC 38.13 2024-12-27 1596.632812 \n", + "6 BTC 73.13 2025-01-31 2745.367188 \n", + "7 BTC 129.13 2025-03-28 4592.578125 \n", + "8 BTC 220.13 2025-06-27 7401.367188 \n", + "9 BTC 311.13 2025-09-26 9885.843750 \n", + "1 BTC 2.13 2024-11-21 136.632812 \n", + "2 BTC 3.13 2024-11-22 205.593750 \n", + "\n", + " indexPrice sviA sviB sviM sviRho sviSigma \\\n", + "0 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n", + "3 91483.93 -0.419579 3.154503 -0.167105 -0.439751 0.272763 \n", + "4 91483.93 -0.755652 3.945145 -0.370972 -0.659142 0.369113 \n", + "5 91483.93 -1.726728 2.195435 -0.208575 -0.213065 0.957562 \n", + "6 91483.93 -0.017598 0.866943 -0.341216 -0.492430 0.442194 \n", + "7 91483.93 -0.286381 0.755752 -0.317493 -0.294539 0.822936 \n", + "8 91483.93 -0.180211 0.508398 -0.354522 -0.273714 1.003030 \n", + "9 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n", + "1 91483.93 -1.228577 16.827271 -0.188760 -0.753713 0.144973 \n", + "2 91483.93 -0.727882 7.008953 -0.129213 -0.492925 0.181737 \n", + "\n", + " timestamp atmIv underlyingPrice \n", + "0 2024-11-19 04:50:00 60.275160 91555.398750 \n", + "3 2024-11-19 04:50:00 59.806185 92009.000312 \n", + "4 2024-11-19 04:50:00 58.672428 92274.031562 \n", + "5 2024-11-19 04:50:00 57.207133 93080.562812 \n", + "6 2024-11-19 04:50:00 56.652768 94229.297187 \n", + "7 2024-11-19 04:50:00 55.638382 96076.508125 \n", + "8 2024-11-19 04:50:00 55.795113 98885.297187 \n", + "9 2024-11-19 04:50:00 55.819520 101369.773750 \n", + "1 2024-11-19 04:50:00 61.839081 91620.562812 \n", + "2 2024-11-19 04:50:00 62.339995 91689.523750 " + ] + }, + "execution_count": 8, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "svi = fecth_svi(exchange, currency)\n", + "svi['timestamp'] = pd.to_datetime(svi['timestamp'], unit='ms')\n", + "svi['expirationTimestamp'] = pd.to_datetime(svi['expirationTimestamp']).dt.tz_localize(None)\n", + "svi['underlyingPrice'] = svi['indexPrice'] + svi['forwardDifference']\n", + "svi.sort_values('timestamp', ascending=False, inplace=True)\n", + "\n", + "svi_ts = svi[svi['timestamp'] == svi['timestamp'].max()-timedelta(hours=0)]\n", + "\n", + "svi_ts" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "# Retrieve Level-1-Quotes" + ] + }, + { + "cell_type": "code", + "execution_count": 9, + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
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askaskIvaskVolumebidbidIvbidVolumecurrency_quotesdeltaexchangeexchangeTimestamp...forwardDifferenceindexPrice_svisviAsviBsviMsviRhosviSigmatimestamp_sviatmIvunderlyingPrice_svi
00.0003117.063.70.00000.000.0BTC0.00290deribit2024-11-19T04:50:04.174Z...71.4687591483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875
10.000298.530.10.00000.000.0BTC0.00515deribit2024-11-19T04:50:00.146Z...71.4687591483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875
20.000285.411.00.00000.000.0BTC0.00888deribit2024-11-19T04:50:01.153Z...71.4687591483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875
30.000479.440.10.000271.7418.9BTC0.01987deribit2024-11-19T04:50:02.160Z...71.4687591483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875
40.001075.947.50.000668.7219.2BTC0.04766deribit2024-11-19T04:50:04.174Z...71.4687591483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875
..................................................................
4050.026559.582.50.023057.0220.7BTC-0.08040deribit2024-11-19T04:50:02.262Z...9885.8437591483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.77375
4060.020061.646.80.016558.4728.2BTC-0.06037deribit2024-11-19T04:50:02.262Z...9885.8437591483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.77375
4070.011067.1125.50.009564.940.1BTC-0.03324deribit2024-11-19T04:50:02.262Z...9885.8437591483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.77375
4080.006075.7341.10.004070.340.2BTC-0.01559deribit2024-11-19T04:50:02.262Z...9885.8437591483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.77375
4090.002183.761.00.001075.5755.8BTC-0.00532deribit2024-11-19T04:50:02.262Z...9885.8437591483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.77375
\n", + "

410 rows × 47 columns

\n", + "
" + ], + "text/plain": [ + " ask askIv askVolume bid bidIv bidVolume currency_quotes \\\n", + "0 0.0003 117.06 3.7 0.0000 0.00 0.0 BTC \n", + "1 0.0002 98.53 0.1 0.0000 0.00 0.0 BTC \n", + "2 0.0002 85.41 1.0 0.0000 0.00 0.0 BTC \n", + "3 0.0004 79.44 0.1 0.0002 71.74 18.9 BTC \n", + "4 0.0010 75.94 7.5 0.0006 68.72 19.2 BTC \n", + ".. ... ... ... ... ... ... ... \n", + "405 0.0265 59.58 2.5 0.0230 57.02 20.7 BTC \n", + "406 0.0200 61.64 6.8 0.0165 58.47 28.2 BTC \n", + "407 0.0110 67.11 25.5 0.0095 64.94 0.1 BTC \n", + "408 0.0060 75.73 41.1 0.0040 70.34 0.2 BTC \n", + "409 0.0021 83.76 1.0 0.0010 75.57 55.8 BTC \n", + "\n", + " delta exchange exchangeTimestamp ... forwardDifference \\\n", + "0 0.00290 deribit 2024-11-19T04:50:04.174Z ... 71.46875 \n", + "1 0.00515 deribit 2024-11-19T04:50:00.146Z ... 71.46875 \n", + "2 0.00888 deribit 2024-11-19T04:50:01.153Z ... 71.46875 \n", + "3 0.01987 deribit 2024-11-19T04:50:02.160Z ... 71.46875 \n", + "4 0.04766 deribit 2024-11-19T04:50:04.174Z ... 71.46875 \n", + ".. ... ... ... ... ... \n", + "405 -0.08040 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n", + "406 -0.06037 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n", + "407 -0.03324 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n", + "408 -0.01559 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n", + "409 -0.00532 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n", + "\n", + " indexPrice_svi sviA sviB sviM sviRho sviSigma \\\n", + "0 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n", + "1 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n", + "2 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n", + "3 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n", + "4 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n", + ".. ... ... ... ... ... ... \n", + "405 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n", + "406 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n", + "407 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n", + "408 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n", + "409 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n", + "\n", + " timestamp_svi atmIv underlyingPrice_svi \n", + "0 2024-11-19 04:50:00 60.27516 91555.39875 \n", + "1 2024-11-19 04:50:00 60.27516 91555.39875 \n", + "2 2024-11-19 04:50:00 60.27516 91555.39875 \n", + "3 2024-11-19 04:50:00 60.27516 91555.39875 \n", + "4 2024-11-19 04:50:00 60.27516 91555.39875 \n", + ".. ... ... ... \n", + "405 2024-11-19 04:50:00 55.81952 101369.77375 \n", + "406 2024-11-19 04:50:00 55.81952 101369.77375 \n", + "407 2024-11-19 04:50:00 55.81952 101369.77375 \n", + "408 2024-11-19 04:50:00 55.81952 101369.77375 \n", + "409 2024-11-19 04:50:00 55.81952 101369.77375 \n", + "\n", + "[410 rows x 47 columns]" + ] + }, + "execution_count": 9, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "quotes = fetch_level_1_quotes(exchange, currency, hours_ago=0)\n", + "quotes_and_svi = quotes.merge(svi_ts, left_on='expirationTimestampDate', right_on='expirationTimestamp', suffixes=('_quotes','_svi'))\n", + "\n", + "quotes_and_svi" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "# Generate Strikes" + ] + }, + { + "cell_type": "code", + "execution_count": 10, + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
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strikeexpirationTimestamp
0800002024-11-20 08:00:00
1800502024-11-20 08:00:00
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4802002024-11-20 08:00:00
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30930 rows × 2 columns

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strikeexpirationTimestampaskaskIvaskVolumebidbidIvbidVolumecurrency_quotesdelta...indexPrice_svisviAsviBsviMsviRhosviSigmatimestamp_sviatmIvunderlyingPrice_svisviIv
0800002024-11-20 08:00:000.0003111.1811.90.000196.793.9BTC-0.00963...91483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875104.509988
1800502024-11-20 08:00:000.0003111.1811.90.000196.793.9BTC-0.00963...91483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875104.110275
2801002024-11-20 08:00:000.0003111.1811.90.000196.793.9BTC-0.00963...91483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875103.710938
3801502024-11-20 08:00:000.0003111.1811.90.000196.793.9BTC-0.00963...91483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875103.311993
4802002024-11-20 08:00:000.0003111.1811.90.000196.793.9BTC-0.00963...91483.93-0.42320111.782528-0.083799-0.6103200.0829292024-11-19 04:50:0060.2751691555.39875102.913460
..................................................................
309252798002025-09-26 08:00:000.026066.6422.20.022564.5611.9BTC0.10533...91483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.7737566.117225
309262798502025-09-26 08:00:000.026066.6422.20.022564.5611.9BTC0.10533...91483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.7737566.119311
309272799002025-09-26 08:00:000.026066.6422.20.022564.5611.9BTC0.10533...91483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.7737566.121396
309282799502025-09-26 08:00:000.026066.6422.20.022564.5611.9BTC0.10533...91483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.7737566.123481
309292800002025-09-26 08:00:000.022568.0723.80.019065.7515.0BTC0.09027...91483.930.1551090.278608-0.413718-0.3718030.5836932024-11-19 04:50:0055.81952101369.7737566.125565
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30930 rows × 49 columns

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" + ], + "text/plain": [ + " strike expirationTimestamp ask askIv askVolume bid bidIv \\\n", + "0 80000 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n", + "1 80050 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n", + "2 80100 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n", + "3 80150 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n", + "4 80200 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n", + "... ... ... ... ... ... ... ... \n", + "30925 279800 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n", + "30926 279850 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n", + "30927 279900 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n", + "30928 279950 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n", + "30929 280000 2025-09-26 08:00:00 0.0225 68.07 23.8 0.0190 65.75 \n", + "\n", + " bidVolume currency_quotes delta ... indexPrice_svi sviA \\\n", + "0 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n", + "1 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n", + "2 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n", + "3 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n", + "4 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n", + "... ... ... ... ... ... ... \n", + "30925 11.9 BTC 0.10533 ... 91483.93 0.155109 \n", + "30926 11.9 BTC 0.10533 ... 91483.93 0.155109 \n", + "30927 11.9 BTC 0.10533 ... 91483.93 0.155109 \n", + "30928 11.9 BTC 0.10533 ... 91483.93 0.155109 \n", + "30929 15.0 BTC 0.09027 ... 91483.93 0.155109 \n", + "\n", + " sviB sviM sviRho sviSigma timestamp_svi atmIv \\\n", + "0 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n", + "1 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n", + "2 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n", + "3 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n", + "4 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n", + "... ... ... ... ... ... ... \n", + "30925 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n", + "30926 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n", + "30927 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n", + "30928 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n", + "30929 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n", + "\n", + " underlyingPrice_svi sviIv \n", + "0 91555.39875 104.509988 \n", + "1 91555.39875 104.110275 \n", + "2 91555.39875 103.710938 \n", + "3 91555.39875 103.311993 \n", + "4 91555.39875 102.913460 \n", + "... ... ... \n", + "30925 101369.77375 66.117225 \n", + "30926 101369.77375 66.119311 \n", + "30927 101369.77375 66.121396 \n", + "30928 101369.77375 66.123481 \n", + "30929 101369.77375 66.125565 \n", + "\n", + "[30930 rows x 49 columns]" + ] + }, + "execution_count": 11, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "curves = strikes.merge(quotes_and_svi, left_on=['strike','expirationTimestamp'], right_on=['strike','expirationTimestamp_quotes'],how='left').ffill() \n", + "\n", + "curves['moneyness'] = np.log(curves['strike'] / curves['underlyingPrice_svi'])\n", + "curves['sviIv'] = curves.apply(apply_svi, axis=1)\n", + "\n", + "curves" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "# Plot Curves" + ] + }, + { + "cell_type": "code", + "execution_count": 12, + "metadata": { + "scrolled": false + }, + "outputs": [ + { + "data": { + "text/html": [ + " \n", + " " + ] + }, + "metadata": {}, + "output_type": "display_data" + }, + { + "data": { + "application/vnd.plotly.v1+json": { + "config": { + "plotlyServerURL": "https://plot.ly" + }, + "data": [ + { + "legendrank": 1, + "line": { + "color": "green" + }, + "name": "SVI current", + "type": "scatter", + "x": [ + 80000, + 80050, + 80100, + 80150, + 80200, + 80250, + 80300, + 80350, + 80400, + 80450, + 80500, + 80550, + 80600, + 80650, + 80700, + 80750, + 80800, + 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