tidy_options: Tidy iVolatility options .csv files

In themechanicalbear/tidyoptions: Tidy options data from iVolatility.com used to perform backtesting of common option trade strategies

Description

tidy_options produces a tidy dataset from downloaded iVolatility.com files. Download data from http://www.ivolatility.com/data_download.j

• Individual contracts (Raw IV) data

• include greeks in file download

• place files in folder under the working directory

• ensure that market closed dates are current

Usage

tidy_options(ticker, opt_path, iv_file)

Arguments

opt_path	Character string of path to iVolatility files When files are downloaded from iVolatility they are limited in size to 50Mb. Place all the files in the "opt_path" folder under your working directory.
iv_file	Character string of volatility file for symbol chosen IVRank data from http://www.cboe.com/micro/equityvix/introduction.aspx make sure to remove the disclaimer at the top of the file from this site. IV can also be calculated outside this process and used if the file format is the same.
symbol	Character string for symbol you would like to process Value will be used to name the output .RData file

Value

tidy_options returns tidy options chain data with (rsi_14, iv_rank_252, and iv_rank_90) added.

Output can then be used in options.shiny and options.studies for backtesting.

Examples

tidy_options("XLE", "data/raw_files/options", "data/volatility/vx.xle.daily.prices.RData")

themechanicalbear/tidyoptions documentation built on May 31, 2019, 9:49 a.m.