tidyoptions creates tidy option chain data from iVolatility.com. It's the starting point to performing quantatative options trading analysis and research. Utilities to create the data and utility functions to run studies are included in the package.
It has three main goals:
Provide tidy option data that is in a standardized complete format to allow for easy analysis
Allow the data to be quickly loaded using the data() function
Provide data packaged to be portable and easily shared
The tidy_options function performs the following actions to produce tidy data:
gathers list of files from folder ie. "data/raw_files/options".
reads in files from list and combine with bind_rows
from dplyr.
reads in IV data from file ie. "data/volatility/vx.xle.daily.prices.RData" data can be retrieved from http://www.cboe.com/micro/equityvix/introduction.aspx
uses mrkt_closed()
dates to remove entries that can not be used in backtests.
uses third_friday()
to calculate monthly expiration dates.
moves weekend dates from raw files to adjusted weekday (date, expiration)
.
calculates DTE
(days to expiration) for each option contract.
calcualtes rsi_14, iv_rank_90, iv_rank_252
for each date in dataset.
returns complete cases of tidy data (missing data is removed rather than adjusted)
To learn more about tidyoptions, start with the vignettes:
browseVignettes(package = "tidyoptions")
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