Requires Python3.7 because of the use of @dataclass.
Realtime quote data obtained from CBOE, Update global variable g_csvfile in OptionSkew.py with the name of the file downloaded from CBOE that contains the option chain.
http://www.cboe.com/delayedquote/quote-table-download
Usage: python3 OptionSkew.py
- Download quote table from CBOE (link above)
- Set global variable in the code for the file name.
- Input the expiration date you're interested in.
Two plots will be displayed:
- Implied volatility skew
- Option price ploted against the strike.