init

app.py

@@ -0,0 +1,148 @@
+from datetime import datetime, timedelta
+
+import gradio as gr
+import numpy as np
+import pandas as pd
+import yfinance as yf
+
+
+def conf_int_ind(symb: str, target_time: str | None = None) -> pd.DataFrame:
+    ticker = yf.Ticker(symb)
+    expirations = ticker.options
+    if not expirations:
+        raise ValueError(f"No option expirations found for {symb}.")
+
+    df_time = pd.to_datetime(expirations)
+    if target_time is None:
+        target_time_dt = df_time[0]
+    else:
+        target_time_dt = pd.to_datetime(target_time)
+        valid_times = df_time[df_time <= target_time_dt]
+        if valid_times.empty:
+            raise ValueError(
+                f"No expiration on or before {target_time_dt.strftime('%Y-%m-%d')} for {symb}."
+            )
+        target_time_dt = valid_times[-1]
+
+    target_time_r = target_time_dt.strftime("%Y-%m-%d")
+    time_now = datetime.now().strftime("%Y-%m-%d")
+    t_days = (pd.to_datetime(target_time_r) - pd.to_datetime(time_now)).days + 1
+
+    opt_chain = ticker.option_chain(target_time_r)
+    current_price = ticker.fast_info["lastPrice"]
+
+    lop = opt_chain.puts.strike[~opt_chain.puts.inTheMoney].iloc[-1]
+    hip = opt_chain.puts.strike[opt_chain.puts.inTheMoney].iloc[0]
+    iv1p = opt_chain.puts.loc[opt_chain.puts.strike == lop, "impliedVolatility"].item()
+    iv2p = opt_chain.puts.loc[opt_chain.puts.strike == hip, "impliedVolatility"].item()
+    ivp = (iv1p + iv2p) / 2
+    sdp = ivp * np.sqrt(t_days / 365)
+
+    loca = opt_chain.calls.strike[opt_chain.calls.inTheMoney].iloc[-1]
+    hica = opt_chain.calls.strike[~opt_chain.calls.inTheMoney].iloc[0]
+    iv1c = opt_chain.calls.loc[opt_chain.calls.strike == loca, "impliedVolatility"].item()
+    iv2c = opt_chain.calls.loc[opt_chain.calls.strike == hica, "impliedVolatility"].item()
+    ivc = (iv1c + iv2c) / 2
+    sdc = ivc * np.sqrt(t_days / 365)
+
+    row = {
+        "symbol": [ticker.info["symbol"]],
+        "days": [f"{target_time_r}: ({t_days}) days"],
+        "-2.5%(p)": [current_price * (1 - 2 * sdp)],
+        "-6.5%(p)": [current_price * (1 - 1.5 * sdp)],
+        "-16.5%(p)": [current_price * (1 - 1 * sdp)],
+        "current": [current_price],
+        "+16.5%(c)": [current_price * (1 + 1 * sdc)],
+        "+6.5%(c)": [current_price * (1 + 1.5 * sdc)],
+        "+2.5%(c)": [current_price * (1 + 2 * sdc)],
+    }
+
+    return pd.DataFrame(row).set_index("symbol")
+
+
+def conf_int_duo(symb: str, target_time: str | None = None) -> pd.DataFrame:
+    if target_time is None:
+        expirations = yf.Ticker(symb).options
+        df_time = pd.to_datetime(expirations)
+        recent_count = (df_time - datetime.now() <= timedelta(days=14)).sum()
+        dlist = expirations[:recent_count]
+        if not dlist:
+            return conf_int_ind(symb, None)
+        return pd.concat([conf_int_ind(symb, d) for d in dlist])
+
+    return conf_int_ind(symb, target_time)
+
+
+def conf_int(symblist: str | list[str], target_time: str | None = None) -> pd.DataFrame:
+    if isinstance(symblist, str):
+        return conf_int_duo(symblist, target_time)
+    if isinstance(symblist, list):
+        return pd.concat([conf_int_duo(symb, target_time) for symb in symblist])
+    raise TypeError("symblist must be a string or a list of strings.")
+
+
+def parse_symbols(symbs_text: str) -> list[str]:
+    symbs = [item.strip().upper() for item in symbs_text.replace("\n", ",").split(",")]
+    symbs = [item for item in symbs if item]
+    if not symbs:
+        raise gr.Error("Provide at least one symbol.")
+    return symbs
+
+
+def run_app(symbs_text: str, disable_target_time: bool, target_time: str) -> pd.DataFrame:
+    symbs = parse_symbols(symbs_text)
+    resolved_target_time = None if disable_target_time else (target_time or None)
+    if not disable_target_time and resolved_target_time is None:
+        raise gr.Error("Provide target_time in YYYY-MM-DD format, or disable it.")
+
+    try:
+        df = conf_int(symbs, resolved_target_time)
+    except Exception as exc:
+        raise gr.Error(str(exc)) from exc
+
+    return df.reset_index()
+
+
+def toggle_target_time(disable_target_time: bool):
+    return gr.update(interactive=not disable_target_time, value="" if disable_target_time else None)
+
+
+with gr.Blocks(title="Options Confidence Interval") as demo:
+    gr.Markdown("## Options Confidence Interval")
+    gr.Markdown("Enter one or more symbols. Use a comma or a new line to separate multiple symbols.")
+
+    with gr.Row():
+        symbs_input = gr.Textbox(
+            label="symbs",
+            lines=3,
+            value="SOXL, SPY",
+            placeholder="SOXL, SPY",
+        )
+        with gr.Column():
+            disable_target_time_input = gr.Checkbox(
+                label="Disable target_time to include all expiration dates within 14 days",
+                value=True,
+            )
+            target_time_input = gr.Textbox(
+                label="target_time",
+                placeholder="YYYY-MM-DD",
+                interactive=False,
+            )
+
+    submit_btn = gr.Button("Run")
+    output_df = gr.Dataframe(label="Result")
+
+    disable_target_time_input.change(
+        toggle_target_time,
+        inputs=disable_target_time_input,
+        outputs=target_time_input,
+    )
+    submit_btn.click(
+        run_app,
+        inputs=[symbs_input, disable_target_time_input, target_time_input],
+        outputs=output_df,
+    )
+
+
+if __name__ == "__main__":
+    demo.launch()

option.ipynb

@@ -0,0 +1,286 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "id": "b8cef1f0",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import yfinance as yf\n",
+    "from datetime import datetime, timedelta\n",
+    "\n",
+    "\n",
+    "def conf_int_ind(symb, target_time=None):\n",
+    "    ticker = yf.Ticker(symb)\n",
+    "    expirations = ticker.options\n",
+    "    df_time = pd.to_datetime(expirations)\n",
+    "    if target_time is None:\n",
+    "            target_time = df_time[0]\n",
+    "    target_time_r = df_time[df_time <= target_time][-1].strftime(\"%Y-%m-%d\")\n",
+    "\n",
+    "    time_now = datetime.now().strftime(\"%Y-%m-%d\")\n",
+    "    T = (pd.to_datetime(target_time_r) - pd.to_datetime(time_now)).days + 1\n",
+    "\n",
+    "    opt_chain = ticker.option_chain(target_time_r)\n",
+    "    current_price = ticker.fast_info[\"lastPrice\"]\n",
+    "\n",
+    "    lop = opt_chain.puts.strike[~opt_chain.puts.inTheMoney].iloc[-1]\n",
+    "    hip = opt_chain.puts.strike[opt_chain.puts.inTheMoney].iloc[0]\n",
+    "    iv1p = opt_chain.puts.loc[opt_chain.puts.strike == lop, \"impliedVolatility\"].item()\n",
+    "    iv2p = opt_chain.puts.loc[opt_chain.puts.strike == hip, \"impliedVolatility\"].item()\n",
+    "    ivp = (iv1p + iv2p) / 2\n",
+    "    sdp = ivp * np.sqrt(T / 365)\n",
+    "\n",
+    "    loca = opt_chain.calls.strike[opt_chain.calls.inTheMoney].iloc[-1]\n",
+    "    hica = opt_chain.calls.strike[~opt_chain.calls.inTheMoney].iloc[0]\n",
+    "    iv1c = opt_chain.calls.loc[opt_chain.calls.strike == loca, \"impliedVolatility\"].item()\n",
+    "    iv2c = opt_chain.calls.loc[opt_chain.calls.strike == hica, \"impliedVolatility\"].item()\n",
+    "    ivc = (iv1c + iv2c) / 2\n",
+    "    sdc = ivc * np.sqrt(T / 365)\n",
+    "\n",
+    "    row = {\n",
+    "        \"symbol\": [f\"{ticker.info['symbol']}\"],\n",
+    "        \"days\": [f\"{target_time_r}: ({T}) days\"],\n",
+    "        \"-2.5%(p)\": [current_price * (1 - 2 * sdp)],\n",
+    "        \"-6.5%(p)\": [current_price * (1 - 1.5 * sdp)],\n",
+    "        \"-16.5%(p)\": [current_price * (1 - 1 * sdp)],\n",
+    "        \"current\": [current_price],\n",
+    "        \"+16.5%(c)\": [current_price * (1 + 1 * sdc)],\n",
+    "        \"+6.5%(c)\": [current_price * (1 + 1.5 * sdc)],\n",
+    "        \"+2.5%(c)\": [current_price * (1 + 2 * sdc)],\n",
+    "    }\n",
+    "\n",
+    "    df = pd.DataFrame(row).set_index(\"symbol\")\n",
+    "    return df\n",
+    "\n",
+    "\n",
+    "def conf_int_duo(symb, target_time=None):\n",
+    "    if target_time is None:\n",
+    "        expirations = yf.Ticker(symb).options\n",
+    "        df_time = pd.to_datetime(expirations)\n",
+    "        dlist = expirations[: (df_time - datetime.now() <= timedelta(days=14)).sum()]\n",
+    "        df = pd.concat([conf_int_ind(symb, d) for d in dlist])\n",
+    "    else:\n",
+    "        df = conf_int_ind(symb, target_time)\n",
+    "    return df\n",
+    "\n",
+    "\n",
+    "def conf_int(symblist, target_time=None):\n",
+    "    if isinstance(symblist, str):\n",
+    "        df = conf_int_duo(symblist)\n",
+    "    elif isinstance(symblist, list):\n",
+    "        df = pd.concat([conf_int_duo(symb, target_time) for symb in symblist])\n",
+    "    return df\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "id": "587f982a",
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
+       "<div>\n",
+       "<style scoped>\n",
+       "    .dataframe tbody tr th:only-of-type {\n",
+       "        vertical-align: middle;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe tbody tr th {\n",
+       "        vertical-align: top;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe thead th {\n",
+       "        text-align: right;\n",
+       "    }\n",
+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>days</th>\n",
+       "      <th>-2.5%(p)</th>\n",
+       "      <th>-6.5%(p)</th>\n",
+       "      <th>-16.5%(p)</th>\n",
+       "      <th>current</th>\n",
+       "      <th>+16.5%(c)</th>\n",
+       "      <th>+6.5%(c)</th>\n",
+       "      <th>+2.5%(c)</th>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>symbol</th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "      <th></th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "    <tr>\n",
+       "      <th>SOXL</th>\n",
+       "      <td>2026-03-13: (5) days</td>\n",
+       "      <td>53.222366</td>\n",
+       "      <td>53.246774</td>\n",
+       "      <td>53.271183</td>\n",
+       "      <td>53.320000</td>\n",
+       "      <td>53.368817</td>\n",
+       "      <td>53.393225</td>\n",
+       "      <td>53.417633</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>SOXL</th>\n",
+       "      <td>2026-03-20: (12) days</td>\n",
+       "      <td>53.168746</td>\n",
+       "      <td>53.206560</td>\n",
+       "      <td>53.244373</td>\n",
+       "      <td>53.320000</td>\n",
+       "      <td>53.471157</td>\n",
+       "      <td>53.546735</td>\n",
+       "      <td>53.622313</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>MSFT</th>\n",
+       "      <td>2026-03-11: (3) days</td>\n",
+       "      <td>408.829314</td>\n",
+       "      <td>408.974487</td>\n",
+       "      <td>409.119659</td>\n",
+       "      <td>409.410004</td>\n",
+       "      <td>409.555362</td>\n",
+       "      <td>409.628041</td>\n",
+       "      <td>409.700720</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>MSFT</th>\n",
+       "      <td>2026-03-13: (5) days</td>\n",
+       "      <td>408.660337</td>\n",
+       "      <td>408.847754</td>\n",
+       "      <td>409.035170</td>\n",
+       "      <td>409.410004</td>\n",
+       "      <td>409.504071</td>\n",
+       "      <td>409.551105</td>\n",
+       "      <td>409.598139</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>MSFT</th>\n",
+       "      <td>2026-03-16: (8) days</td>\n",
+       "      <td>408.935267</td>\n",
+       "      <td>409.053951</td>\n",
+       "      <td>409.172635</td>\n",
+       "      <td>409.410004</td>\n",
+       "      <td>409.528991</td>\n",
+       "      <td>409.588485</td>\n",
+       "      <td>409.647978</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>MSFT</th>\n",
+       "      <td>2026-03-18: (10) days</td>\n",
+       "      <td>408.879232</td>\n",
+       "      <td>409.011925</td>\n",
+       "      <td>409.144618</td>\n",
+       "      <td>409.410004</td>\n",
+       "      <td>409.543036</td>\n",
+       "      <td>409.609551</td>\n",
+       "      <td>409.676067</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>MSFT</th>\n",
+       "      <td>2026-03-20: (12) days</td>\n",
+       "      <td>408.828572</td>\n",
+       "      <td>408.973930</td>\n",
+       "      <td>409.119288</td>\n",
+       "      <td>409.410004</td>\n",
+       "      <td>409.483239</td>\n",
+       "      <td>409.519857</td>\n",
+       "      <td>409.556475</td>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "                         days    -2.5%(p)    -6.5%(p)   -16.5%(p)     current  \\\n",
+       "symbol                                                                          \n",
+       "SOXL     2026-03-13: (5) days   53.222366   53.246774   53.271183   53.320000   \n",
+       "SOXL    2026-03-20: (12) days   53.168746   53.206560   53.244373   53.320000   \n",
+       "MSFT     2026-03-11: (3) days  408.829314  408.974487  409.119659  409.410004   \n",
+       "MSFT     2026-03-13: (5) days  408.660337  408.847754  409.035170  409.410004   \n",
+       "MSFT     2026-03-16: (8) days  408.935267  409.053951  409.172635  409.410004   \n",
+       "MSFT    2026-03-18: (10) days  408.879232  409.011925  409.144618  409.410004   \n",
+       "MSFT    2026-03-20: (12) days  408.828572  408.973930  409.119288  409.410004   \n",
+       "\n",
+       "         +16.5%(c)    +6.5%(c)    +2.5%(c)  \n",
+       "symbol                                      \n",
+       "SOXL     53.368817   53.393225   53.417633  \n",
+       "SOXL     53.471157   53.546735   53.622313  \n",
+       "MSFT    409.555362  409.628041  409.700720  \n",
+       "MSFT    409.504071  409.551105  409.598139  \n",
+       "MSFT    409.528991  409.588485  409.647978  \n",
+       "MSFT    409.543036  409.609551  409.676067  \n",
+       "MSFT    409.483239  409.519857  409.556475  "
+      ]
+     },
+     "execution_count": 2,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "symbs = [\"SOXL\", \"MSFT\"]\n",
+    "\n",
+    "df = conf_int(symbs)\n",
+    "df"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "428526cd",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# symb = \"SOXL\"\n",
+    "\n",
+    "# ticker = yf.Ticker(symb)\n",
+    "# expirations = ticker.options\n",
+    "# target_time = expirations[0]\n",
+    "\n",
+    "\n",
+    "# time_now = datetime.now().strftime(\"%Y-%m-%d\")\n",
+    "# T = (pd.to_datetime(target_time) - pd.to_datetime(time_now)).days + 1\n",
+    "\n",
+    "# opt_chain = ticker.option_chain(target_time)\n",
+    "# current_price = ticker.fast_info[\"lastPrice\"]\n"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "env",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.13.9"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}

requirements.txt

@@ -0,0 +1,4 @@
+gradio>=5.0.0
+numpy>=1.26.0
+pandas>=2.2.0
+yfinance>=0.2.54