binomialOptions2018
Project motivation
The idea for this project can be sourced from a 20 second clip in the movie The Big Short. Which, for legal reasons I can’t embed here so here is a link:
https://youtu.be/Qo1OSqBQYmk?t=218
The clip explains a very simplified version of the investment strategy for a firm known in the movie as Brownfield Fund known as Cornwall Capital in real life. Betting on unlikely events using cheap options. The list of stocks came from a zacks.com screen. It had broad requirements aimed at any stock with a liquid enough option chain.
As for the strategy, I was hoping to find out what events the market thinks will never happen based off of the abnormal option pricing. Abnormal in this case just means that its expecting a move that doesn’t match its past performance since volatility data is what the algorithm has to go off of.
https://www.youtube.com/watch?v=PZrmOh2nZus
Technical notes
The code itself began as messy at best and later became somewhat understandable. It was written before I knew the best practices with respect to variable naming & program organization. The bulk of the data was initially sourced from Barchart’s API before they required a subscription service. Then it was converted to TDAmeritrade’s API in 2022. Stock volatility & dividend info is from yahoo finance.