In 2018, I got interest in investing in calls and puts, but I was not sure which was the amount of money I should be offering for them. That is how I came with the Black Scholes equation. I made a script that:

  • Connects with a broker API and gets information about calls and puts.
  • Gets info of the current stock market situation.
  • Webscraps daily reports of volatility.
  • Creates a database containing all the info gatherer above and uses the BS formula to calculate the theorethical value of calls.
  • Displays thos calls being offered below the BS calculation.

I made several changes to this script trouth the years, making it better, faster and more reliable.

Lets look at the data

I ussually use bullmarketbrokers as my main broker, but due to some problems with their API, I started to use invertironline’s API, which turned to be more reliable. The key point is that the data gathered is the same and makes no difference.

In a normal day we can see a table like this one for the stock market

Figure 1-1

and like this for puts and calls

Figure 1-2

So at the end we have almost all the data required to perform the calculations using the BS formula, with exception of the stock’s volatility.

Volatility

The volatility of each stock is not something that you can obtain from the broker. There are some websites that continously publish reports about stocks. So I included functions that downloads the report (.pdf) and extracts the volatility of the last 52 weeks for all the main stocks and appends them to the data we already got.

Figure 1-3

The scripts

I made use of pandas,numpy, math for data analysis, and request,BeautifulSoup for webscrapping.

All the data is gathered and stored locally by simply running Data_opciones.py.

Later, by running Opciones.py the output is like follows for Calls.

Accion    P_A Tipo_opcion  Target       Vencmt.  Opcion_cotizacion         Vol  Teorico    %VT
0     ALUA   67.4        Call    31.0  1.639710e+09              33.70  0.3358    38.45  87.65 
1     ALUA   67.4        Call    61.0  1.639710e+09              10.00  0.3358    11.05  90.50 
4     ALUA   67.4        Call    69.0  1.639710e+09               5.00  0.3358     5.61  89.13 
5     ALUA   67.4        Call    71.0  1.639710e+09               4.00  0.3358     4.59  87.15 
6     ALUA   67.4        Call    73.0  1.639710e+09               2.45  0.3358     3.70  66.22 
..     ...    ...         ...     ...           ...                ...     ...      ...    ... 
275   YPFD  895.5        Call   880.0  1.639710e+09              92.00  0.4222   108.16  85.06 
279   YPFD  895.5        Call   960.0  1.639710e+09              65.00  0.4222    67.10  96.87 
282   YPFD  895.5        Call  1000.0  1.639710e+09              45.00  0.4222    51.51  87.36 
287   YPFD  895.5        Call  1150.0  1.639710e+09              15.50  0.4222    16.66  93.04 
290   YPFD  895.5        Call  1200.0  1.639710e+09              10.00  0.4222    10.96  91.24

All these options are currently at prices below BS formula. Nice!!

To Do

I am thinking on expanding this project, as there are some calls and puts strategies that can be done in the stock market that guarantees profit with high probability.