API Reference

Standard Parameters

All functions defined in this page have the following common parameters:

• data (pandas.DataFrame, required): Pandas DataFrame containing the data to generate calls strategies for
• dte_interval (int, default: 7): An integer representing the amount of days to group by, used for "Days to Expiration"
• max_entry_dte (int, default: 90): An integer representing the max days to expiration on entry to consider
• exit_dte (int, default: 0): An integer representing the days to expiration on exit, defaults to exit on expiration date
• otm_pct_interval (float, default: 0.05): A percentage numeral representing the OTM percent to group generated strategies by. (formula: (strike - underlying price) / strike)
• max_otm_pct (float, default: 0.5): Maximum OTM percentage to consider when generating strategy
• min_bid_ask (float, default: 0.05): The smallest bid/ask price to consider on entry. This is generally the price at which the option is considered worthless
• drop_nan (bool, default: True): Remove rows where NaN were returned, likely due to insufficient data
• raw (bool, default: False): Return only generated trades for the specified option strategy without grouping by dte_interval and otm_pct_interval. It's not recommend to set this parameter to True, as large amounts of trades maybe generated depending on strategy

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Strategy Functions

All statistics generated from Optopsy functions below are for percentage change

Singles

optopsy.long_calls

Generates all combinations of long call strategies on the specified dataset.

optopsy.short_calls

Generates all combinations of short call strategies on the specified dataset.

optopsy.long_puts

Generates all combinations of long put strategies on the specified dataset.

optopsy.short_puts

Generates all combinations of short put strategies on the specified dataset.

Straddles

optopsy.long_straddles

Generates all valid combinations of long straddles on the specified dataset.

optopsy.short_straddles

Generates all valid combinations of short straddles on the specified dataset.

Strangles

optopsy.long_strangles

Generates all valid combinations of long strangles on the specified dataset.

optopsy.short_strangles

Generates all valid combinations of short strangles on the specified dataset.

Vertical Spreads

optopsy.long_call_spreads

Generates all valid combinations of long call spreads on the specified dataset.

optopsy.short_call_spreads

Generates all valid combinations of short call spreads on the specified dataset.

optopsy.long_put_spreads

Generates all valid combinations of long put spreads on the specified dataset.

optopsy.short_put_spreads

Generates all valid combinations of short put spreads on the specified dataset.