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Options Module

Contains the classes and functions for scraping a yahoo finance option page.

ContractExpiration

Contract Expiration.

Attributes:

  • symbol str - Ticker symbol.
  • timestamp str - Timestamp of expiration date.
  • expiration_date DateTime - Datetime of expiration date.

Notes:

This class inherits from the pydantic BaseModel which allows for the use of .json() and .dict() for serialization to json strings and dictionaries.

  • .json() - Serialize to a JSON object.
  • .dict() - Serialize to a dictionary.

convert_to_datetime

 | def convert_to_datetime(cls, value: str) -> DateTime

Convert expiration timestamp to datetime.

__lt__

 | def __lt__(other: "ContractExpiration") -> Optional["ContractExpiration"]

Compare expiration_dates for sorting.

ContractExpirationList

Contains Multiple Expirations.

Attributes:

  • expiration_list List[ContractExpiration] - multiple expirations.

Notes:

This class inherits from the pydantic BaseModel which allows for the use of .json() and .dict() for serialization to json strings and dictionaries.

  • .json() - Serialize to a JSON object.
  • .dict() - Serialize to a dictionary.

sort_dates

 | def sort_dates(cls, values: List[ContractExpiration]) -> List[ContractExpiration]

Sort expiration_list by date.

filter_expirations_after

 | def filter_expirations_after(after: DateTime) -> None

Filter out any expiration dates prior to the after date.

Arguments:

  • after DateTime - datetime to filter.

Example:

Input Args Output
[01JAN19, 01FEB19, 01MAR19] after: 15JAN19 [01FEB19, 01MAR19]

filter_expirations_before

 | def filter_expirations_before(before: DateTime) -> None

Filter out any expiration dates post the before date.

Arguments:

  • before DateTime - datetime to filter.

Example:

Input Args Output
[01JAN19, 01FEB19, 01MAR19] before: 15JAN19 [01JAN19]

filter_expirations_between

 | def filter_expirations_between(after: DateTime, before: DateTime) -> None

Filter dates outside of a after and before range.

Arguments:

  • after DateTime - datetime to filter.
  • before DateTime - datetime to filter.

Example:

Input Args Output
[01JAN19, 01FEB19, 01MAR19] after: 15JAN19,before: 15JAN19 [01FEB19, 01MAR19]

filter_expirations_after_days

 | def filter_expirations_after_days(days: int) -> None

Filter expirations only allowing expirations after n days.

Arguments:

  • days int - Number of days to start filtering from. All expirations which expire prior to the days will be filtered out.

filter_expirations_before_days

 | def filter_expirations_before_days(days: int) -> None

Filter expiration only allowing expirations before n days.

Arguments:

  • days int - Number of days to start filtering from. All expirations which expire post days will be filtered out.

filter_expirations_between_days

 | def filter_expirations_between_days(after_days: Optional[int] = None, before_days: Optional[int] = None) -> None

Filter expiration only allowing expirations between a range of days.

Arguments:

  • after_days int - Number of days to start filtering from. All expirations which expire prior to the days will be filtered out.
  • before_days int - Number of days to start filtering from. All expirations which expire post days will be filtered out.

__len__

 | def __len__() -> int

Length of the expiration_list.

__iter__

 | def __iter__() -> Iterable

Iterate over the expirations_list.

__add__

 | def __add__(other: "ContractExpirationList") -> Optional["ContractExpirationList"]

Combine two ContractExpirationLists using the + operator.

OptionContractType

Enum for option contract types.

OptionContract

Represents an Option Contract.

Attributes:

  • symbol str - Ticker symbol.

  • contract_type OptionContractType - Call or Put type.

  • timestamp str - Raw timestamp scraped from yahoo finance. This string is left untouched to make sure there is no issues when building a URL.

  • expiration_date DateTime - Converted from the timestamp. This allows allows sorting and filtering.

  • in_the_money bool - True if strike price is ITM else False.

  • contract_name str - Contract Name.

  • last_trade_date DateTime - Date of last trade.
  • strike float - Contracts strike price.

  • last_price float - Last price of a transaction between a contract buyer and a seller.

  • bid float - Last bid price.

  • ask float - Last ask price.

  • change float - Price change in dollars.

  • percent_change float - Price change in percentage.
  • volume int - Volume.
  • open_interest int - Number of contracts opened.
  • implied_volatility float - Contract IV.

Notes:

This class inherits from the pydantic BaseModel which allows for the use of .json() and .dict() for serialization to json strings and dictionaries.

  • .json() - Serialize to a JSON object.
  • .dict() - Serialize to a dictionary.

OptionsChain

Chain of option contracts with the same expiration date.

Attributes:

  • symbol str - Company symbol.
  • expiration_date DateTime - Contracts expiration date.
  • chain List[OptionContract] - List of OptionContracts.

Notes:

This class inherits from the pydantic BaseModel which allows for the use of .json() and .dict() for serialization to json strings and dictionaries.

  • .json() - Serialize to a JSON object.
  • .dict() - Serialize to a dictionary.

dataframe

 | def dataframe() -> DataFrame

Return a dataframe of the option chain.

calls

 | def calls() -> "OptionsChain"

Return a OptionChain with only call contracts.

puts

 | def puts() -> "OptionsChain"

Return a OptionChain with only put contracts.

__len__

 | def __len__() -> int

Return the number of OptionContracts in the OptionChain.

MultipleOptionChains

Multiple Option Chains with multiple expiration dates.

Attributes:

  • option_chain_list List[OptionsChain] - List of option chains.
  • contract_expiration_list ContractExpirationList - List of expirations.

Notes:

This class inherits from the pydantic BaseModel which allows for the use of .json() and .dict() for serialization to json strings and dictionaries.

  • .json() - Serialize to a JSON object.
  • .dict() - Serialize to a dictionary.

dataframe

 | def dataframe() -> DataFrame

Return a dataframe of multiple option chains.

calls

 | def calls() -> "MultipleOptionChains"

Return a MultipleOptionChains object with only call contracts.

puts

 | def puts() -> "MultipleOptionChains"

Return a MultipleOptionChains object with only put contracts.

__len__

 | def __len__() -> int

Return the number of option chains.

__iter__

 | def __iter__() -> Iterable

Iterate over option chain list.

__add__

 | def __add__(other: "MultipleOptionChains") -> Optional["MultipleOptionChains"]

Concatenate MultipleOptionChains.

get_table_elements

def get_table_elements(html: HTML) -> Tuple[Optional[HTML], Optional[HTML]]

Parse call and put HTML table elements.

Arguments:

  • html HTML - HTML element with call and put data.

Returns:

Tuple of found call and put html elements.

parse_option_table

def parse_option_table(contract_expiration: ContractExpiration, contract_type: OptionContractType, options_table: HTML) -> List[OptionContract]

Parse and clean fields and rows of a options table HTML element.

Arguments:

  • contract_expiration ContractExpiration - Used to pass ContractExpiration data to the returned OptionContract object.
  • contract_type OptionContractType - Call or Put
  • options_table HTML - HTML element with raw options table data.

Returns:

A list of OptionContracts parsed from the html options_table.

get_option_expirations

def get_option_expirations(symbol: str, **kwargs) -> Optional[ContractExpirationList]

Get and parse option expiration data for the selected symbol.

Arguments:

  • symbol str - Ticker symbol.
  • kwargs - Pass (session, proxies, and timeout) to the requestor function.

Returns:

ContractExpirationList

OptionPageNotFound

Raised when options page data is not found.

get_options_page

def get_options_page(symbol: str, after_days: int = None, before_days: int = None, first_chain: bool = False, use_fuzzy_search: bool = True, page_not_found_ok: bool = False, **kwargs, ,) -> Optional[Union[OptionsChain, MultipleOptionChains]]

Get options data from yahoo finance options page.

Arguments:

  • symbol str - Ticker symbol.
  • after_days int - Number of days to start filtering from. All expirations which expire prior to the days will be filtered out.
  • before_days int - Number of days to start filtering from. All expirations which expire post days will be filtered out.
  • first_chain bool - If True returns first chain. Else returns all found chains within search range.
  • use_fuzzy_search bool - If True, does a symbol lookup validation prior to requesting options page data.
  • page_not_found_ok bool - If True, returns None when page is not found.
  • **kwargs - Pass (session, proxies, and timeout) to the requestor function.

Returns:

  • OptionsChain - If first_chain is set to True the first found OptionsChain within the after_days and before_days range is returned. This is all option contracts from a single expiration and symbol.
  • MultipleOptionChains - If first_chain is set to False all OptionsChains within the after_days and before_days range are returned. This can have multiple expirations. Even if one expiration date is found the MultipleOptionChains object is returned.
  • None - If no contracts are found and page_not_found_ok is True.

Raises:

  • OptionPageNotFound - If page_not_found_ok is False and the Options page is not found.