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Accessing Strike Price on Options Reseasrch Notebook

Hi All, 

I want to access put options that has strike in some range. Is there any way to slice and dice this multiindex dataframe?

It's quite new to me on pandas multi index. 

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Cheers

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Hey Welly,

One way you could do this is a code snippet like the following.

df.loc[([True if x in range(800, 820) else False for x in df.index.get_level_values(1)]) & (df.index.get_level_values(2) == 'Put')]

The first index level is the expiration, followed by the strike, type, and then symbol. This will get you a DataFrame with all the put options with a strike between 800 and 820 available in the data. You can find an example in the research notebook in the backtest I've attached below.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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