em.py

import math
import click
import pandas
import pendulum
import yfinance
from rich.console import Console
from rich.table import Table

SPX   = "^SPX"
VIX   = "^VIX"
VIX1D = "^VIX1D"

def expected_move(s, iv, dte=1):
    return s * (iv/100) * math.sqrt(dte/365)

def all(data: pandas.DataFrame):
    table = Table(show_footer=True)
    columns = [
        {"name":"DATE", "style":"cyan"},
        {"name":"PRICE"},
        {"name":"CHANGE"},
        {"name":"VIX", "style":"magenta"},
        {"name":"EM AT OPEN"},
        {"name":"EM AT CLOSE"},
        {"name":"1.0X EM LOW", "style":"green"},
        {"name":"1.0X EM HIGH", "style":"green"},
        {"name":"1.5X EM LOW", "style":"yellow"},
        {"name":"1.5X EM HIGH", "style":"yellow"},
        {"name":"2.0X EM LOW", "style":"red"},
        {"name":"2.0X EM HIGH", "style":"red"},
    ]
    for column in columns:
        table.add_column(column.get("name"), column.get("name"), style=column.get("style"), justify="right")
    for _, row in data.iterrows():
        x = 0
        em_at_open = expected_move(row["Open"][SPX], row["Open"][VIX1D])
        em_at_close = expected_move(row["Close"][SPX], row["Close"][VIX1D])
        for i in range(0, 100):
            x = i / 10
            high = row["Open"][SPX] + x * em_at_open
            low = row["Open"][SPX] - x * em_at_open
            if high > row["High"][SPX] and row["Low"][SPX] > low:
                break
        price_style = "green"
        if row["Change"].item() < 0:
            price_style = "red"
        em_style = "yellow"
        if x <= 1.0:
            em_style = "green"
        elif x >= 2.0:
            em_style = "red"
        table.add_row(
            row.name.strftime("%Y-%m-%d"),
            "[%s]%.2f[/%s]" % (price_style, row["Close"][SPX], price_style),
            "[%s]%.2f%%[/%s]" % (price_style, row["Change"].item(), price_style),
            "%.2f" % row["Close"][VIX],
            "[%s]%.2f[/%s]" % (em_style, em_at_open, em_style),
            "[%s]%.2f[/%s]" % (em_style, em_at_close, em_style),
            "%.2f" % (row["Close"][SPX] - 1.0 * em_at_close),
            "%.2f" % (row["Close"][SPX] + 1.0 * em_at_close),
            "%.2f" % (row["Close"][SPX] - 1.5 * em_at_close),
            "%.2f" % (row["Close"][SPX] + 1.5 * em_at_close),
            "%.2f" % (row["Close"][SPX] - 2.0 * em_at_close),
            "%.2f" % (row["Close"][SPX] + 2.0 * em_at_close),
        )
    console = Console()
    console.print(table)

@click.command()
@click.option("--start", default=pendulum.now().subtract(months=1).to_date_string(), show_default=True)
@click.option("--end", default=pendulum.now().to_date_string(), show_default=True)
def main(start, end):
    s = pendulum.parse(start).subtract(months=1).to_date_string()
    data = yfinance.download([SPX, VIX, VIX1D], start=s, end=end, progress=False)
    data["Change"] = (data["Close"][SPX] - data["Close"][SPX].shift()) / data["Close"][SPX].shift() * 100
    data.drop(data[pandas.to_datetime(data.index) < pandas.to_datetime(start)].index, inplace=True)
    all(data)

if __name__ == "__main__":
    # pandas.set_option('display.max_columns', None)
    # pandas.set_option('display.max_rows', None)
    main()