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<h1 class="post-title-main">Option-Chains</h1>
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<div class="bs-callout bs-callout-info">
To use the features described below, include the <em>ib-extensions</em> Gem in the Gemfile and use
<pre>
require 'ib-api'
require 'ib/verify'
require 'ib/market-price'
require 'ib/eod'
require 'ib/option-chain'
</pre>
in your scripts.
</div>
<p>Its a most common request: <br />
Display five in-the-money- and five out-of-the-money options and their properties.</p>
<h2 id="procedure">Procedure</h2>
<ul>
<li>Define an underlying and verify it</li>
<li>Get the <em>at-the-money</em> option for all expiries</li>
<li>Get <em>in-the-money</em> options for all expiries</li>
<li>Get <em>out-of-the-money</em> options for all expiries</li>
<li>Show Option-Greeks</li>
</ul>
<p>_</p>
<h2 id="define-the-underlying">Define the Underlying</h2>
<p>We use a liquid US-Stock: General Electric</p>
<div class="language-ruby highlighter-rouge"><div class="highlight"><pre class="highlight"><code><span class="o">></span> <span class="n">ge</span> <span class="o">=</span> <span class="no">IB</span><span class="o">::</span><span class="no">Stock</span><span class="p">.</span><span class="nf">new</span><span class="p">(</span><span class="ss">symbol: </span><span class="s1">'GE'</span><span class="p">).</span><span class="nf">verify</span><span class="p">.</span><span class="nf">first</span>
<span class="o">></span> <span class="n">ge</span><span class="p">.</span><span class="nf">con_id</span> <span class="o">=></span> <span class="mi">7516</span>
</code></pre></div></div>
<h2 id="centerpiece-ibcontractoption_chain">Centerpiece: IB::Contract.option_chain</h2>
<p>The method <code class="language-plaintext highlighter-rouge">:option_chain</code> fires a <code class="language-plaintext highlighter-rouge">:RequestOptionChainDefinition</code>-message, waits for a
<code class="language-plaintext highlighter-rouge">:OptionChainDefinition</code>-Response and returns it as hash, which is easily explored by:</p>
<div class="language-ruby highlighter-rouge"><div class="highlight"><pre class="highlight"><code><span class="o">></span> <span class="n">z</span><span class="o">=</span> <span class="n">ge</span><span class="p">.</span><span class="nf">option_chain</span>
<span class="o">></span> <span class="n">z</span><span class="p">.</span><span class="nf">keys</span><span class="p">.</span><span class="nf">to_f</span>
<span class="o">=></span> <span class="p">[</span><span class="mf">0.5</span><span class="p">,</span> <span class="mf">1.0</span><span class="p">,</span> <span class="mf">1.5</span><span class="p">,</span> <span class="mf">2.0</span><span class="p">,</span> <span class="mf">2.5</span><span class="p">,</span> <span class="mf">3.0</span><span class="p">,</span> <span class="mf">3.5</span><span class="p">,</span> <span class="mf">4.0</span><span class="p">,</span> <span class="mf">4.5</span><span class="p">,</span> <span class="mf">5.0</span><span class="p">,</span> <span class="mf">5.5</span><span class="p">,</span> <span class="mf">6.0</span><span class="p">,</span> <span class="mf">6.5</span><span class="p">,</span> <span class="mf">7.0</span><span class="p">,</span> <span class="mf">7.5</span><span class="p">,</span> <span class="mf">8.0</span><span class="p">,</span> <span class="mf">8.5</span><span class="p">,</span> <span class="mf">9.0</span><span class="p">,</span> <span class="mf">9.5</span><span class="p">,</span> <span class="mf">10.0</span><span class="p">,</span> <span class="mf">10.5</span><span class="p">,</span> <span class="mf">11.0</span><span class="p">,</span> <span class="mf">11.5</span><span class="p">,</span> <span class="mf">12.0</span><span class="p">,</span> <span class="mf">12.5</span><span class="p">,</span> <span class="mf">13.0</span><span class="p">,</span> <span class="mf">13.5</span><span class="p">,</span> <span class="mf">14.0</span><span class="p">,</span> <span class="mf">14.5</span><span class="p">,</span> <span class="mf">15.0</span><span class="p">,</span> <span class="mf">16.0</span><span class="p">,</span> <span class="mf">17.0</span><span class="p">,</span> <span class="mf">18.0</span><span class="p">,</span> <span class="mf">19.0</span><span class="p">,</span> <span class="mf">20.0</span><span class="p">,</span> <span class="mf">21.0</span><span class="p">,</span> <span class="mf">22.0</span><span class="p">,</span> <span class="mf">25.0</span><span class="p">]</span> <span class="c1"># ==> possible strikes </span>
<span class="o">></span> <span class="nb">puts</span> <span class="n">z</span><span class="p">[</span><span class="mi">7</span><span class="p">.</span><span class="nf">to_d</span><span class="p">].</span><span class="nf">to_human</span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">7.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201218</span> <span class="n">put</span> <span class="mf">7.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20210115</span> <span class="n">put</span> <span class="mf">7.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20210319</span> <span class="n">put</span> <span class="mf">7.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20210618</span> <span class="n">put</span> <span class="mf">7.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20220121</span> <span class="n">put</span> <span class="mf">7.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20230120</span> <span class="n">put</span> <span class="mf">7.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o">></span> <span class="n">z</span><span class="o">=</span> <span class="n">ge</span><span class="p">.</span><span class="nf">option_chain</span> <span class="ss">sort: :expiry</span>
<span class="o">></span> <span class="n">z</span><span class="p">.</span><span class="nf">keys</span>
<span class="o">=></span> <span class="p">[</span><span class="mi">2011</span><span class="p">,</span> <span class="mi">2012</span><span class="p">,</span> <span class="mi">2101</span><span class="p">,</span> <span class="mi">2103</span><span class="p">,</span> <span class="mi">2106</span><span class="p">,</span> <span class="mi">2201</span><span class="p">,</span> <span class="mi">2301</span><span class="p">]</span> <span class="c1">## => Expiry in Year/Month notation</span>
<span class="o">></span> <span class="nb">puts</span> <span class="n">z</span><span class="p">[</span><span class="mi">2012</span><span class="p">].</span><span class="nf">to_human</span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201218</span> <span class="n">put</span> <span class="mf">0.5</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201218</span> <span class="n">put</span> <span class="mf">1.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="p">(</span><span class="o">...</span><span class="p">)</span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201218</span> <span class="n">put</span> <span class="mf">25.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
</code></pre></div></div>
<p>Call and Put Options are available through the <code class="language-plaintext highlighter-rouge">:right</code>- parameter: {:put, :call, :straddle}.</p>
<p>To fetch ATM, ITM and OTM Options depending on the current market-price, parts of the result set
have to be erased.</p>
<h2 id="get-at-the-money-options">Get at-the-money Options</h2>
<p>Lets start simple: Get <em>At The Money</em>-Options and their properties.</p>
<p><code class="language-plaintext highlighter-rouge">IB::Contract.atm_options</code> takes two optional parameters:</p>
<ul>
<li>
<p><code class="language-plaintext highlighter-rouge">:ref_price</code> – if set it selects the options with strike next to the specified value. Otherwise it
performs a <code class="language-plaintext highlighter-rouge">IB::Contract.market_price</code>-request and sets the <code class="language-plaintext highlighter-rouge">:ref_price</code> accordingly.</p>
</li>
<li>
<p><code class="language-plaintext highlighter-rouge">:right</code> – :specify <code class="language-plaintext highlighter-rouge">:call</code> or <code class="language-plaintext highlighter-rouge">straddle</code>. <code class="language-plaintext highlighter-rouge">:put</code> is the default value.</p>
</li>
</ul>
<div class="language-ruby highlighter-rouge"><div class="highlight"><pre class="highlight"><code><span class="o">></span> <span class="n">ge_options</span><span class="o">=</span> <span class="n">ge</span><span class="p">.</span><span class="nf">atm_options</span> <span class="ss">ref_price: </span><span class="mf">7.3</span>
<span class="o">></span> <span class="n">ge_options</span><span class="p">.</span><span class="nf">keys</span>
<span class="o">=></span> <span class="p">[</span><span class="mi">2011</span><span class="p">,</span> <span class="mi">2012</span><span class="p">,</span> <span class="mi">2101</span><span class="p">,</span> <span class="mi">2103</span><span class="p">,</span> <span class="mi">2106</span><span class="p">,</span> <span class="mi">2201</span><span class="p">,</span> <span class="mi">2301</span><span class="p">]</span>
<span class="o">></span> <span class="n">ge_options</span><span class="p">[</span><span class="mi">2011</span><span class="p">].</span><span class="nf">to_human</span>
<span class="o">=></span> <span class="p">[</span><span class="s2">"<Option: GE 20201120 put 7.5 SMART USD>"</span><span class="p">]</span>
</code></pre></div></div>
<div class="alert alert-info" role="alert"><i class="fa fa-info-circle"></i> <b>::</b> <code class="language-plaintext highlighter-rouge">:RequestOptionChainDefinition</code> fetches any possible option.
<code class="language-plaintext highlighter-rouge">atm_options</code>, <code class="language-plaintext highlighter-rouge">otm_options</code> and <code class="language-plaintext highlighter-rouge">itm_options</code> return only valid options.</div>
<h2 id="in-the-money-and-out-of-the-money-options">In-the-Money and Out-of-the-Money Options</h2>
<p>If the strike of a Put-Option is above the market-price, the option is characterized as »In-the-Money«
Therefore</p>
<div class="language-ruby highlighter-rouge"><div class="highlight"><pre class="highlight"><code><span class="o">></span> <span class="n">ge_options</span><span class="o">=</span> <span class="n">ge</span><span class="p">.</span><span class="nf">itm_options</span><span class="p">(</span><span class="ss">sort: :expiry</span><span class="p">)</span>
<span class="o">></span> <span class="nb">puts</span> <span class="n">ge_options</span><span class="p">[</span><span class="mi">2011</span><span class="p">].</span><span class="nf">to_human</span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">7.5</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">8.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">8.5</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">9.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">9.5</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">10.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o">></span> <span class="n">ge_options</span><span class="p">[</span><span class="mi">2011</span><span class="p">].</span><span class="nf">map</span><span class="p">{</span><span class="o">|</span><span class="n">o</span><span class="o">|</span> <span class="n">o</span><span class="p">.</span><span class="nf">request_greeks</span><span class="p">(</span> <span class="ss">thread: </span><span class="kp">true</span> <span class="p">)</span> <span class="p">}.</span><span class="nf">join</span>
<span class="o">></span> <span class="nb">puts</span> <span class="n">ge_options</span><span class="p">[</span><span class="mi">2011</span><span class="p">].</span><span class="nf">greek</span><span class="p">.</span><span class="nf">implied_volatility</span><span class="p">.</span><span class="nf">round</span><span class="p">(</span><span class="mf">6.4</span><span class="p">)</span>
<span class="mf">0.5574</span>
<span class="mf">0.5700</span>
<span class="mf">0.5928</span>
<span class="mf">0.6208</span>
<span class="mf">0.6208</span>
<span class="mf">0.6208</span>
</code></pre></div></div>
<p>Out-of-the-money Options work too:</p>
<div class="language-ruby highlighter-rouge"><div class="highlight"><pre class="highlight"><code><span class="o">></span> <span class="n">ge_options</span><span class="o">=</span> <span class="n">ge</span><span class="p">.</span><span class="nf">otm_options</span><span class="p">(</span><span class="ss">sort: :expiry</span><span class="p">)</span>
<span class="o">></span> <span class="nb">puts</span> <span class="n">ge_options</span><span class="p">[</span><span class="mi">2011</span><span class="p">].</span><span class="nf">to_human</span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">12.5</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">12.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">11.5</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">11.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">10.5</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
<span class="o"><</span><span class="no">Option</span><span class="p">:</span> <span class="no">GE</span> <span class="mi">20201120</span> <span class="n">put</span> <span class="mf">10.0</span> <span class="no">SMART</span> <span class="no">USD</span><span class="o">></span>
</code></pre></div></div>
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