This Python script calculates the implied volatility of both call and put options for a given stock using the Black-Scholes model. It also calculates the expected high and low price movement of the stock.
This script requires the following Python libraries:
math pandas yfinance datetime.
You can install these libraries using pip:
pip install pandas yfinance
To run the script, simply execute it with Python:
python3 main.py
When prompted, enter the symbol of the stock you want to analyze:
Stock symbol: AAPL
The script will then fetch the latest options data for the stock, calculate the implied volatility of the closest in-the-money call and put options, and calculate the expected high and low price movement of the stock.
The script includes the following functions:
black_scholes_volatility(S, K, T, option_price, option_type): Calculates the implied volatility using the Black-Scholes formula.
norm_cdf(x): Calculates the cumulative distribution function of the standard normal distribution.
norm_pdf(x): Calculates the probability density function of the standard normal distribution.
This script is for educational purposes only. It should not be used for making real-world investment decisions. Always do your own research before investing in the stock market.