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option-strategy.rkt
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#lang racket/base
(require gregor
racket/list
racket/string
"db-queries.rkt"
"pricing-risk.rkt"
"structs.rkt")
(provide get-updated-options
suitable-options)
(define (get-updated-options symbol date ref-price #:compute-all-greeks [compute-all-greeks? #t])
(map (λ (o)
(define divs (map (λ (div) (vector (/ (vector-ref div 0) 365) (vector-ref div 1)))
(get-dividend-estimates symbol
(iso8601->date date)
(parse-date (option-expiration o) "yy-MM-dd"))))
(define 1-month-rate (get-1-month-rate date))
(option (option-symbol o)
(option-expiration o)
(option-dte o)
(option-strike o)
(option-call-put o)
(option-date o)
(option-bid o)
(black-scholes ref-price
(/ (option-dte o) 365)
(option-strike o)
(string->symbol (option-call-put o))
1-month-rate
(option-vol o)
divs)
(option-ask o)
(option-vol o)
(black-scholes-delta ref-price
(/ (option-dte o) 365)
(option-strike o)
(string->symbol (option-call-put o))
1-month-rate
(option-vol o)
divs)
(if compute-all-greeks?
(black-scholes-gamma ref-price
(/ (option-dte o) 365)
(option-strike o)
(string->symbol (option-call-put o))
1-month-rate
(option-vol o)
divs)
#f)
(if compute-all-greeks?
(black-scholes-theta ref-price
(/ (option-dte o) 365)
(option-strike o)
(string->symbol (option-call-put o))
1-month-rate
(option-vol o)
divs)
#f)
(if compute-all-greeks?
(black-scholes-vega ref-price
(/ (option-dte o) 365)
(option-strike o)
(string->symbol (option-call-put o))
1-month-rate
(option-vol o)
divs)
#f)
(if compute-all-greeks?
(black-scholes-rho ref-price
(/ (option-dte o) 365)
(option-strike o)
(string->symbol (option-call-put o))
1-month-rate
(option-vol o)
divs)
#f)))
(get-options symbol date)))
(define (suitable-options options patterns)
(cond [(or (string-contains? patterns "BP")
(string-contains? patterns "HB")
(string-contains? patterns "AT")
(string-contains? patterns "IR"))
(hash "Long Call"
(let ([closest-dte (foldl (λ (o res) (if (< (abs (- 56 (option-dte o)))
(abs (- 56 (option-dte res))))
o
res))
(first options)
options)])
(list (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-delta o) 6/10)
(equal? (option-call-put o) "Call")))
options))))
"Bull Call Vertical Spread"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[long-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-delta o) 6/10)
(equal? (option-call-put o) "Call")))
options))]
[short-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-delta o) 3/10)
(equal? (option-call-put o) "Call")))
options))])
(list long-call short-call))
"Bull Put Vertical Spread"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[short-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-delta o) -6/10)
(equal? (option-call-put o) "Put")))
options))]
[long-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-delta o) -25/100)
(equal? (option-call-put o) "Put")))
options))])
(list short-put long-put))
"Call Horizontal Spread"
(let* ([closest-front-dte (foldl (λ (o res) (if (< (abs (- 14 (option-dte o)))
(abs (- 14 (option-dte res))))
o
res))
(first options)
options)]
[closest-back-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[short-call (foldl (λ (o res) (if (and (= (option-dte o) (option-dte closest-front-dte))
(<= (abs (- 5/10 (option-delta o)))
(abs (- 5/10 (option-delta res))))
(equal? (option-call-put o) "Call"))
o
res))
(first options)
options)]
[long-call (foldl (λ (o res) (if (and (= (option-dte o) (option-dte closest-back-dte))
(<= (abs (- 5/10 (option-delta o)))
(abs (- 5/10 (option-delta res))))
(equal? (option-call-put o) "Call"))
o
res))
(first options)
options)])
(list short-call long-call))
"Call Diagonal Spread"
(let* ([closest-front-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-back-dte (foldl (λ (o res) (if (< (abs (- 56 (option-dte o)))
(abs (- 56 (option-dte res))))
o
res))
(first options)
options)]
[long-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-back-dte))
(> (option-delta o) 55/100)
(equal? (option-call-put o) "Call")))
options))]
[short-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-front-dte))
(< (option-delta o) 4/10)
(equal? (option-call-put o) "Call")))
options))])
(list long-call short-call)))]
[(or (string-contains? patterns "BR")
(string-contains? patterns "LB")
(string-contains? patterns "DT")
(string-contains? patterns "DR"))
(hash "Long Put"
(let ([closest-dte (foldl (λ (o res) (if (< (abs (- 56 (option-dte o)))
(abs (- 56 (option-dte res))))
o
res))
(first options)
options)])
(list (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-delta o) -6/10)
(equal? (option-call-put o) "Put")))
options))))
"Bear Put Vertical Spread"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[long-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-delta o) -6/10)
(equal? (option-call-put o) "Put")))
options))]
[short-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-delta o) -3/10)
(equal? (option-call-put o) "Put")))
options))])
(list long-put short-put))
"Bear Call Vertical Spread"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[short-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-delta o) 6/10)
(equal? (option-call-put o) "Call")))
options))]
[long-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-delta o) 25/100)
(equal? (option-call-put o) "Call")))
options))])
(list short-call long-call))
"Put Horizontal Spread"
(let* ([closest-front-dte (foldl (λ (o res) (if (< (abs (- 14 (option-dte o)))
(abs (- 14 (option-dte res))))
o
res))
(first options)
options)]
[closest-back-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[short-put (foldl (λ (o res) (if (and (= (option-dte o) (option-dte closest-front-dte))
(<= (abs (- -5/10 (option-delta o)))
(abs (- -5/10 (option-delta res))))
(equal? (option-call-put o) "Put"))
o
res))
(first options)
options)]
[long-put (foldl (λ (o res) (if (and (= (option-dte o) (option-dte closest-back-dte))
(<= (abs (- -5/10 (option-delta o)))
(abs (- -5/10 (option-delta res))))
(equal? (option-call-put o) "Put"))
o
res))
(first options)
options)])
(list short-put long-put))
"Put Diagonal Spread"
(let* ([closest-front-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-back-dte (foldl (λ (o res) (if (< (abs (- 56 (option-dte o)))
(abs (- 56 (option-dte res))))
o
res))
(first options)
options)]
[long-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-back-dte))
(< (option-delta o) -55/100)
(equal? (option-call-put o) "Put")))
options))]
[short-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-front-dte))
(> (option-delta o) -4/10)
(equal? (option-call-put o) "Put")))
options))])
(list long-put short-put)))]
[(string-contains? patterns "IV")
(hash "Long Straddle"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-strike (foldl (λ (o res) (if (< (abs (- 5/10 (option-delta o)))
(abs (- 5/10 (option-delta res))))
o
res))
(first options)
(filter (λ (o) (= (option-dte o) (option-dte closest-dte))) options))]
[long-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(= (option-strike o) (option-strike closest-strike))
(equal? (option-call-put o) "Call")))
options))]
[long-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(= (option-strike o) (option-strike closest-strike))
(equal? (option-call-put o) "Put")))
options))])
(list long-call long-put))
"Long Strangle"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-strike (foldl (λ (o res) (if (< (abs (- 5/10 (option-delta o)))
(abs (- 5/10 (option-delta res))))
o
res))
(first options)
(filter (λ (o) (= (option-dte o) (option-dte closest-dte))) options))]
[long-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-strike o) (option-strike closest-strike))
(equal? (option-call-put o) "Call")))
options))]
[long-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-strike o) (option-strike closest-strike))
(equal? (option-call-put o) "Put")))
options))])
(list long-put long-call))
"Call Ratio Spread"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[short-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-delta o) 8/10)
(equal? (option-call-put o) "Call")))
options))]
[long-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-mid short-call) (* 3 (option-mid o)))
(equal? (option-call-put o) "Call")))
options))])
(list short-call long-call))
"Put Ratio Spread"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[short-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-delta o) -8/10)
(equal? (option-call-put o) "Put")))
options))]
[long-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-mid short-put) (* 3 (option-mid o)))
(equal? (option-call-put o) "Put")))
options))])
(list short-put long-put)))]
[(or (string-contains? patterns "RR")
(string-contains? patterns "RP")
(string-contains? patterns "DV"))
(hash "Call Butterfly"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 14 (option-dte o)))
(abs (- 14 (option-dte res))))
o
res))
(first options)
options)]
[short-call (foldl (λ (o res) (if (and (< (abs (- 5/10 (option-delta o)))
(abs (- 5/10 (option-delta res))))
(= (option-dte o) (option-dte closest-dte))
(equal? (option-call-put o) "Call"))
o
res))
(first options)
options)]
[first-long-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-strike o) (- (option-strike short-call) (option-mid short-call)))
(equal? (option-call-put o) "Call")))
options))]
[second-long-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-strike o) (+ (option-strike short-call) (option-mid short-call)))
(equal? (option-call-put o) "Call")))
options))])
(list first-long-call short-call second-long-call))
"Call Condor"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-strike (foldl (λ (o res) (if (< (abs (- 5/10 (option-delta o)))
(abs (- 5/10 (option-delta res))))
o
res))
(first options)
(filter (λ (o) (= (option-dte o) (option-dte closest-dte))) options))]
[first-short-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-strike o) (- (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Call")))
options))]
[second-short-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-strike o) (+ (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Call")))
options))]
[long-short-distance (* 1/2 (- (option-strike second-short-call) (option-strike first-short-call)))]
[first-long-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(<= (option-strike o) (- (option-strike first-short-call) long-short-distance))
(equal? (option-call-put o) "Call")))
options))]
[second-long-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(>= (option-strike o) (+ (option-strike second-short-call) long-short-distance))
(equal? (option-call-put o) "Call")))
options))])
(list first-long-call first-short-call second-short-call second-long-call))
"Put Butterfly"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 14 (option-dte o)))
(abs (- 14 (option-dte res))))
o
res))
(first options)
options)]
[short-put (foldl (λ (o res) (if (and (< (abs (- -5/10 (option-delta o)))
(abs (- -5/10 (option-delta res))))
(= (option-dte o) (option-dte closest-dte))
(equal? (option-call-put o) "Put"))
o
res))
(first options)
options)]
[first-long-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-strike o) (+ (option-strike short-put) (option-mid short-put)))
(equal? (option-call-put o) "Put")))
options))]
[second-long-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-strike o) (- (option-strike short-put) (option-mid short-put)))
(equal? (option-call-put o) "Put")))
options))])
(list first-long-put short-put second-long-put))
"Put Condor"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-strike (foldl (λ (o res) (if (< (abs (- -5/10 (option-delta o)))
(abs (- -5/10 (option-delta res))))
o
res))
(first options)
(filter (λ (o) (= (option-dte o) (option-dte closest-dte))) options))]
[first-short-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-strike o) (+ (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Put")))
options))]
[second-short-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-strike o) (- (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Put")))
options))]
[long-short-distance (* 1/2 (- (option-strike first-short-put) (option-strike second-short-put)))]
[first-long-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(>= (option-strike o) (+ (option-strike first-short-put) long-short-distance))
(equal? (option-call-put o) "Put")))
options))]
[second-long-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(<= (option-strike o) (- (option-strike second-short-put) long-short-distance))
(equal? (option-call-put o) "Put")))
options))])
(list first-long-put first-short-put second-short-put second-long-put)))]
[(or (string-contains? patterns "CC"))
(hash "Call Condor"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-strike (foldl (λ (o res) (if (< (abs (- 5/10 (option-delta o)))
(abs (- 5/10 (option-delta res))))
o
res))
(first options)
(filter (λ (o) (= (option-dte o) (option-dte closest-dte))) options))]
[first-short-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-strike o) (- (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Call")))
options))]
[second-short-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-strike o) (+ (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Call")))
options))]
[long-short-distance (* 1/2 (- (option-strike second-short-call) (option-strike first-short-call)))]
[first-long-call (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(<= (option-strike o) (- (option-strike first-short-call) long-short-distance))
(equal? (option-call-put o) "Call")))
options))]
[second-long-call (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(>= (option-strike o) (+ (option-strike second-short-call) long-short-distance))
(equal? (option-call-put o) "Call")))
options))])
(list first-long-call first-short-call second-short-call second-long-call)))]
[(or (string-contains? patterns "PC"))
(hash "Put Condor"
(let* ([closest-dte (foldl (λ (o res) (if (< (abs (- 28 (option-dte o)))
(abs (- 28 (option-dte res))))
o
res))
(first options)
options)]
[closest-strike (foldl (λ (o res) (if (< (abs (- -5/10 (option-delta o)))
(abs (- -5/10 (option-delta res))))
o
res))
(first options)
(filter (λ (o) (= (option-dte o) (option-dte closest-dte))) options))]
[first-short-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(> (option-strike o) (+ (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Put")))
options))]
[second-short-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(< (option-strike o) (- (option-strike closest-strike) (option-mid closest-strike)))
(equal? (option-call-put o) "Put")))
options))]
[long-short-distance (* 1/2 (- (option-strike first-short-put) (option-strike second-short-put)))]
[first-long-put (first (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(>= (option-strike o) (+ (option-strike first-short-put) long-short-distance))
(equal? (option-call-put o) "Put")))
options))]
[second-long-put (last (filter (λ (o) (and (= (option-dte o) (option-dte closest-dte))
(<= (option-strike o) (- (option-strike second-short-put) long-short-distance))
(equal? (option-call-put o) "Put")))
options))])
(list first-long-put first-short-put second-short-put second-long-put)))]
[else (hash)]))