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Yahoo Finance Webscraping
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| import pandas as pd | |
| import numpy as np | |
| import yfinance as yf | |
| def options_chain(symbol): | |
| tk = yf.Ticker(symbol) | |
| # Expiration dates | |
| exps = tk.options | |
| # Get options for each expiration | |
| options = pd.DataFrame() | |
| for e in exps: | |
| opt = tk.option_chain(e) | |
| opt = pd.DataFrame().append(opt.calls).append(opt.puts) | |
| opt['expirationDate'] = e | |
| options = options.append(opt, ignore_index=True) | |
| # Bizarre error in yfinance that gives the wrong expiration date | |
| # Add 1 day to get the correct expiration date | |
| options['expirationDate'] = pd.to_datetime(options['expirationDate']) + datetime.timedelta(days = 1) | |
| options['dte'] = (options['expirationDate'] - datetime.datetime.today()).dt.days / 365 | |
| # Boolean column if the option is a CALL | |
| options['CALL'] = options['contractSymbol'].str[4:].apply( | |
| lambda x: "C" in x) | |
| options[['bid', 'ask', 'strike']] = options[['bid', 'ask', 'strike']].apply(pd.to_numeric) | |
| options['mark'] = (options['bid'] + options['ask']) / 2 # Calculate the midpoint of the bid-ask | |
| # Drop unnecessary and meaningless columns | |
| options = options.drop(columns = ['contractSize', 'currency', 'change', 'percentChange', 'lastTradeDate', 'lastPrice']) | |
| return options |
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