├── .gitignore ├── EDA ├── EDA_1.ipynb ├── EDA_2.ipynb ├── EDA_fun_graph.py └── EDA_fun_multithread.py ├── LICENSE ├── README.md ├── img ├── EDA1_voi_dividends_ts.svg ├── EDA1_volume_vs_interest.svg ├── EDA2_ACF.svg ├── EDA2_ACF2.svg ├── EDA2_ACF3.svg ├── EDA2_ACF4.svg ├── EDA2_tau_scatter.svg ├── EDA2_tau_violin.svg ├── baseline_bull_call_performance.png ├── baseline_sample_bull_call_spread.png └── baseline_train_pdf_heatmap.png ├── requirements.txt └── src ├── P1_adj_close_and_dividends.py ├── P2_treasury_yields.py ├── P3_preprocess_options.py ├── P4_model_features.py ├── P5-0_baseline_model.ipynb ├── P5-2_xgboost_model.ipynb ├── __init__.py ├── adj_close_and_dividend_functions ├── __init__.py ├── adj_close_fun.py └── dividends_fun.py ├── custom_features ├── __init__.py └── custom_inputs.py ├── greeks ├── __init__.py ├── delta.py ├── gamma.py ├── greeks_base_class.py └── vix.py ├── logger.py ├── models ├── __init__.py ├── baseline_model.py └── xgboost_model.py ├── option_strats ├── __init__.py └── bull_call_spread.py ├── preprocess_functions ├── __init__.py ├── preprocess_funs.py └── preprocess_funs_multithread.py └── xgboost_model.ipynb /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jacktan1/Options-Project/HEAD/.gitignore -------------------------------------------------------------------------------- /EDA/EDA_1.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jacktan1/Options-Project/HEAD/EDA/EDA_1.ipynb -------------------------------------------------------------------------------- /EDA/EDA_2.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jacktan1/Options-Project/HEAD/EDA/EDA_2.ipynb -------------------------------------------------------------------------------- /EDA/EDA_fun_graph.py: 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