flipsideR: flipsideR

library(flipsideR)

AAPL = getOptionChain("AAPL")

library(ggplot2)
library(gridExtra)

png(file.path("fig", "open-interest-strike-price-AAPL.png"), width = 800, height = 1200)
ggplot(AAPL, aes(x = strike)) +
  geom_linerange(aes(ymin = 0, ymax = open.interest, col = type)) +
  geom_vline(xintercept = AAPL$underlying.price[1], lty = "dotted") +
  scale_colour_manual(values = c("red", "blue")) +
  xlab("Strike Price") + ylab("Open Interest") +
  facet_grid(expiry ~ type) +
  theme_classic() + theme(legend.position = "none")
dev.off()

next.expiry = min(AAPL$expiry)

g1 <- ggplot(subset(AAPL, expiry == next.expiry), aes(x = strike)) +
  geom_point(aes(y = premium, col = type)) +
  geom_vline(xintercept = AAPL$underlying.price[1], lty = "dotted") +
  xlab("") + ylab("Option Premium") +
  scale_colour_manual(values = c("red", "blue")) +
  facet_wrap(~ type) +
  theme_classic() + theme(legend.position = "none")

g2 <- ggplot(subset(AAPL, expiry == next.expiry), aes(x = strike)) +
  geom_linerange(aes(ymin = 0, ymax = open.interest / 10000, col = type)) +
  geom_vline(xintercept = AAPL$underlying.price[1], lty = "dotted") +
  xlab("Strike Price") + ylab("Open Interest (10 000)") +
  scale_colour_manual(values = c("red", "blue")) +
  facet_wrap(~ type) +
  theme_classic() + theme(legend.position = "none")

png(file.path("fig", "open-interest-premium-strike-price-AAPL.png"), width = 800, height = 800)
grid.arrange(g1, g2, ncol = 1)
dev.off()

# ---------------------------------------------------------------------------------------------------------------------
# PLOTLY
# ---------------------------------------------------------------------------------------------------------------------

library(plotly)

OZL = getOptionChain("OZL", "ASX")

OZL = subset(OZL, expiry == min(expiry))

p <- subplot(
  plot_ly(subset(OZL, type == "Call"), x = strike, y = premium, mode = "markers", name = "Call"),
  plot_ly(subset(OZL, type == "Put"), x = strike, y = premium, mode = "markers", name = "Put"
          # , text = sprintf("%.3f/%.3f", bid, ask)
  ),
  margin = 0.05
) %>% layout(
  title= sprintf("OZL Options (expiring %s)", min(OZL$expiry)),
  showlegend = FALSE,
  xaxis = list(range = range(OZL$strike) + c(-0.1, 0.1), title = "Strike Price"),
  yaxis = list(range = range(OZL$premium) + c(-0.1, 0.1), title = "Premium"),
  xaxis2 = list(range = range(OZL$strike) + c(-0.1, 0.1), title = "Strike Price"),
  yaxis2 = list(range = range(OZL$premium) + c(-0.1, 0.1), title = ""),
  margin = list(t = 40, b = 40)
)
plotly_POST(p, filename="Sundry/ozl-option-put-call")