FinanceToolkit v1.8.0

[JerBouma]

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 -U

Based 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.

• Getting Started
• Discovery Module
• Ratios Module
• Models Module
• Options Module
• Technicals Module
• Risk Module
• Performance Module
• Economics Module
• External Datasets

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This discussion was created from the release FinanceToolkit v1.80.