JUKUAN/Lib/Options/Jiabailie/06_50ETF期权备兑认购策略.py

# 50ETF-期权-备兑看涨策略
# 参考资料：
# - 原始策略来源: https://www.joinquant.com/view/community/detail/2b40f724dcea54aaa06419a46517f3db
# - 研究网址: https://www.joinquant.com/research?target=research&url=/user/75474983526/notebooks/Options/50ETF-%E6%9C%9F%E6%9D%83-%E5%A4%87%E5%85%91%E7%9C%8B%E6%B6%A8%E7%AD%96%E7%95%A5.ipynb

# TODO: 添加50ETF期权备兑看涨策略相关代码

import jqdata
from   jqdata import *
import pandas as pd
import numpy as np
import datetime
import matplotlib.pyplot as plt

plt.rcParams['font.sans-serif']=['SimHei']
plt.rcParams['axes.unicode_minus'] = False

#获取交易时间和时间间隔（频率：月）
trade_days = pd.Series(index=jqdata.get_trade_days('2025-03-01','2025-06-10'))
trade_days.index = pd.to_datetime(trade_days.index)

month_split = list(trade_days.resample('M',label='left').mean().index) + [pd.to_datetime('20250610')]

month_split

##传统备兑开仓策略
holding_contract2 = pd.Series(index=trade_days.index)

#获取首个持仓合约
q_contract_info = query(opt.OPT_CONTRACT_INFO.code, 
                        opt.OPT_CONTRACT_INFO.trading_code, 
                        opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称
          opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date, 
          opt.OPT_CONTRACT_INFO.list_date
         ).filter(opt.OPT_CONTRACT_INFO.contract_type == 'CO',     #看涨期权
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                 opt.OPT_CONTRACT_INFO.last_trade_date > month_split[0],   #时间-到期月开始
                 opt.OPT_CONTRACT_INFO.last_trade_date < month_split[1],   #时间-到期月结束
                 opt.OPT_CONTRACT_INFO.list_date < trade_days.index[0])    #在交易前上市

# 对应的期权列表
contract_info = opt.run_query(q_contract_info)

# 要先使用trading_code前6位为'510050'过滤
contract_info = contract_info[contract_info['trading_code'].str[:6] == '510050']

# 获取etf第一个交易日的收盘价etf_cls，price_spread是行权价exercise_price和etf价格的差
etf_cls = get_price('510050.XSHG',trade_days.index[0],trade_days.index[0],fields=['close']).values[0][0]
contract_info['price_spread'] = contract_info['exercise_price'] - etf_cls

if contract_info['price_spread'].max() > 0:
    
    #选出认购虚值期权
    contract_info = contract_info[contract_info['price_spread'] > 0]  
    contract_info = contract_info.sort_values('exercise_price')
    
else:  #全是认购实值期权
    contract_info = contract_info.sort_values('exercise_price',ascending=False)    

holding_contract2[trade_days.index[0]] = contract_info['code'].iloc[0]

newest_exercise_price = contract_info['exercise_price'].iloc[0]
newest_expire_date = contract_info['last_trade_date'].iloc[0]

print(f"newest_exercise_price:{newest_exercise_price}")
print(f"newest_expire_date: {newest_expire_date}")
print(f"first trading day: {trade_days.index[0]}")
print(f"etf_cls: {etf_cls}")

# 循环访问每一个交易日，判断交易情况
# 规则:持有略虚值看涨期权，待行权价低于现价的 95% 时，平仓原期权合约
# 重新开仓略虚值看涨期权；到期前1天移仓换月至次月合约

for t in trade_days.index[1:]:
    the_date = pd.to_datetime(get_trade_days(end_date=pd.to_datetime(newest_expire_date),count=2)[0])
    print(f"processing day: {t} data, newest_expire_date: {newest_expire_date}, the_date: {the_date}")
    
    #到期前一天
    if t >= the_date:
        print(f"{t} 晚于 the_date: {the_date} 日期")
        
        #寻找month_idx
        for month_idx in range(len(month_split)):
            if month_split[month_idx] >= t:
                break  
                
        q_contract_info = query(opt.OPT_CONTRACT_INFO.code, opt.OPT_CONTRACT_INFO.trading_code, opt.OPT_CONTRACT_INFO.name, 
                  opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date,  
                  opt.OPT_CONTRACT_INFO.list_date
                 ).filter(opt.OPT_CONTRACT_INFO.contract_type == 'CO',  #看涨期权
                          opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                         opt.OPT_CONTRACT_INFO.last_trade_date > month_split[month_idx],  #时间-到期月开始
                         opt.OPT_CONTRACT_INFO.last_trade_date <= month_split[month_idx+1],  #时间-到期月结束
                         opt.OPT_CONTRACT_INFO.list_date < t)    #在交易前上市
        
        contract_info = opt.run_query(q_contract_info)
        print(f"contract_info in the 1st step: {contract_info.head()}")
        
        etf_cls = get_price('510050.XSHG',t,t,fields=['close']).values[0][0]   #现货收盘价
        contract_info['price_spread'] = contract_info['exercise_price'] - etf_cls
        print(f"contract_info in the 2nd step: {contract_info.head()}")
        
        if contract_info['price_spread'].max() > 0:
            contract_info = contract_info[contract_info['price_spread'] > 0]  #选出虚值期权
            contract_info = contract_info.sort_values('exercise_price')
        else:  #全是实值期权
            contract_info = contract_info.sort_values('exercise_price',ascending=False) 
            
        print(f"contract_info in the 3rd step: {contract_info.head()}")    
        if contract_info['last_trade_date'].iloc[0] >= newest_expire_date:
            holding_contract2[t] = contract_info['code'].iloc[0]
            newest_exercise_price = contract_info['exercise_price'].iloc[0]
            newest_expire_date = contract_info['last_trade_date'].iloc[0]
    else:
        print(f"{t} 早于 newest_expire_date: {newest_expire_date} 日期")
        #获取昨日50etf收盘价
        pre_cls = get_price('510050.XSHG',t,t,fields=['pre_close']).values[0][0]
        
        if pre_cls*0.95 >= newest_exercise_price:  #原虚值变为实值,重新开仓略虚值期权
            
            #寻找 month_idx
            for month_idx in range(len(month_split)):
                if month_split[month_idx] >= t:
                    break
                    
            q_contract_info = query(opt.OPT_CONTRACT_INFO.code, opt.OPT_CONTRACT_INFO.trading_code, opt.OPT_CONTRACT_INFO.name, 
                      opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date,  #行权价格,最后交易日
                      opt.OPT_CONTRACT_INFO.list_date
                     ).filter(opt.OPT_CONTRACT_INFO.contract_type == 'CO',  #看涨期权
                              opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                             opt.OPT_CONTRACT_INFO.last_trade_date > month_split[month_idx-1],  #时间-到期月开始
                             opt.OPT_CONTRACT_INFO.last_trade_date <= month_split[month_idx],  #时间-到期月结束
                             opt.OPT_CONTRACT_INFO.list_date < t)    #在交易前上市
            
            contract_info = opt.run_query(q_contract_info)
            etf_cls = get_price('510050.XSHG',t,t,fields=['close']).values[0][0]
            contract_info['price_spread'] = contract_info['exercise_price'] - etf_cls
            
            
            if contract_info['price_spread'].max() > 0: 
                contract_info = contract_info[contract_info['price_spread'] > 0]  #选出虚值期权
                contract_info = contract_info.sort_values('exercise_price')
            else:  #全是实值期权
                contract_info = contract_info.sort_values('exercise_price',ascending=False) 
                 
            if contract_info['last_trade_date'].iloc[0] >= newest_expire_date:
                holding_contract2[t] = contract_info['code'].iloc[0]
                newest_exercise_price = contract_info['exercise_price'].iloc[0]  
                newest_expire_date = contract_info['last_trade_date'].iloc[0]

holding_contract2 = holding_contract2.fillna(method='ffill')
holding_contract2

data2 = pd.DataFrame(holding_contract2)
data2.columns = ['holding_contract']
data2 = data2.reindex(columns=['holding_contract','close','last_close'])

last_contract = holding_contract2.iloc[0]   #记录上个持仓

for t in data2.index:
    
    if last_contract == data2.loc[t,'holding_contract']:  #期权未换仓
        
        #收盘价
        q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close,
                 ).filter(opt.OPT_DAILY_PRICE.code==last_contract,
                         opt.OPT_DAILY_PRICE.date==t)
        price = opt.run_query(q_price)['close'][0]
        data2.loc[t,'close'] = price
        
    else:
        
        #收盘价,新
        q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close,
                 ).filter(opt.OPT_DAILY_PRICE.code==data2.loc[t,'holding_contract'],
                         opt.OPT_DAILY_PRICE.date==t)
        price = opt.run_query(q_price)['close'][0]
        data2.loc[t,'close'] = price
        #收盘价,旧
        q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close,
                 ).filter(opt.OPT_DAILY_PRICE.code==last_contract,
                         opt.OPT_DAILY_PRICE.date==t)
        price = opt.run_query(q_price)['close'][0]
        data2.loc[t,'last_close'] = price

        last_contract = data2.loc[t,'holding_contract']
        
data2

#计算卖出期权的收益

opt_ret2 = pd.Series(0,index=data2.index)

pre_close2 = data2['close'].iloc[0]

for t in data2.index[1:]:
    
    if data2.isna().loc[t,'last_close']:   #未换仓,last为空
        opt_ret2[t] = -10000*(data2.loc[t,'close'] - pre_close2)
    else:
        opt_ret2[t] = -10000*(data2.loc[t,'last_close'] - pre_close2) - 5  #手续费5元
    pre_close2 = data2.loc[t,'close']
    
opt_ret2

#计算持仓收益
etf_price = get_price('510050.XSHG',trade_days.index[0],trade_days.index[-1],fields=['close'])['close']
etf_ret = 10000*etf_price.diff(1).fillna(0)
etf_ret

#计算净值
init_asset2 = etf_price.iloc[0]*10000
ass2 = init_asset2 + (etf_ret + opt_ret2).cumsum()
pfl_ret2 = (ass2/ass2.shift(1) - 1).fillna(0)
pfl_nv2 = (1 + pfl_ret2).cumprod()
pfl_nv2

#绘制净值图
plt.figure(figsize=(8, 5))
plt.plot(etf_price/etf_price.iloc[0], label='50ETF现货净值')
plt.plot(pfl_nv2, label='备兑看涨策略净值')
plt.legend(loc='upper left', fontsize='large')
plt.xlabel('时间',size=12)
plt.ylabel('净值',size=12)
plt.show()