Get Calendar Spread Option Pricing In Python With yahoo_fin
Calendar option spreads are two or more options traded on the same instrument, at different expirations, but with the same strike price - here's how to calculate a calendar spread's price in Python.
All the code can be found here.
https://github.com/AdamGetbags/spread...
Long call calendar spreads are opened by buying a longer dated (more DTE) call option and selling a shorter dated (less DTE) call option.
Short call calendar spreads are opened by buying a shorter dated call option and selling a longer dated call option.
Long puts calendar spreads are opened by buying a longer dated put option and selling a shorter dated put option.
Short put calendar spreads are opened by buying a shorter dated put option and selling a longer dated put option.
Here's a quick way to calculate calendar spread pricing in python with yahoo_fin.
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