Comments (1)
Hi,
Options pandas df have the following columns:
['contractSymbol', 'lastTradeDate', 'strike', 'lastPrice', 'bid', 'ask', 'change', 'percentChange', 'volume', 'openInterest', 'impliedVolatility', 'inTheMoney', 'contractSize', 'currency', 'expirationDate', 'dte', 'CALL']
In total_loss_on_strike function changing the following lines 44, 45 and 52, 53 from openInterest to volume would work:
Line 44, 45 from:
in_money_calls = callChain[callChain['strike'] < expiry_price][["openInterest", "strike"]]
in_money_calls["CLoss"] = (expiry_price - in_money_calls['strike'])*in_money_calls["openInterest"]
To:
in_money_calls = callChain[callChain['strike'] < expiry_price][["volume", "strike"]]
in_money_calls["CLoss"] = (expiry_price - in_money_calls['strike'])*in_money_calls["volume"]
And line 52, 53 from:
in_money_puts = putChain[putChain['strike'] > expiry_price][["openInterest", "strike"]]
in_money_puts["PLoss"] = (in_money_puts['strike'] - expiry_price)*in_money_puts["openInterest"]
To
in_money_puts = putChain[putChain['strike'] > expiry_price][["volume", "strike"]]
in_money_puts["PLoss"] = (in_money_puts['strike'] - expiry_price)*in_money_puts["volume"]
Hope that helps!
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