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Python for Finance

You're reading from   Python for Finance If your interest is finance and trading, then using Python to build a financial calculator makes absolute sense. As does this book which is a hands-on guide covering everything from option theory to time series.

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Product type Paperback
Published in Apr 2014
Publisher
ISBN-13 9781783284375
Length 408 pages
Edition 1st Edition
Languages
Tools
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Author (1):
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Yuxing Yan Yuxing Yan
Author Profile Icon Yuxing Yan
Yuxing Yan
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Toc

Table of Contents (14) Chapters Close

Preface 1. Introduction and Installation of Python FREE CHAPTER 2. Using Python as an Ordinary Calculator 3. Using Python as a Financial Calculator 4. 13 Lines of Python to Price a Call Option 5. Introduction to Modules 6. Introduction to NumPy and SciPy 7. Visual Finance via Matplotlib 8. Statistical Analysis of Time Series 9. The Black-Scholes-Merton Option Model 10. Python Loops and Implied Volatility 11. Monte Carlo Simulation and Options 12. Volatility Measures and GARCH Index

Retrieving option data from CBOE

The Chicago Board Options Exchange ( CBOE) trades options and futures. There is a lot of free data available on the CBOE web pages. For example, we could enter a ticker to download its related option data. To download IBM's option data, we perform the following two steps:

  1. Go to http://www.cboe.com/DelayedQuote/QuoteTableDownload.aspx.
  2. Enter IBM, then click on Download.

The first few lines are shown in the following table. According to the original design, the put data is arranged side by side with the call data. In order to have a clearer presentation, we move the put option data under the call:

IBM (International Business Machines)

172.8

-0.57

      

December 15, 2013 @ 10:30 ET

Bid

172.51

Ask

172.8

Size

2x6

Vol

4184836

Calls

Last Sale

Net

Bid

Ask

Vol

Open Int

  

13 December 125.00 (IBM1313L125)

0

0

46.75

50

0

0

  

13 December 125.00 (IBM1313L125-4)

0

0

46.45

50.45

0

0

 ...
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