April 15, 2025/
As options traders and learners, we often talk about the Greeks — delta, gamma, theta, vega, rho, and their second-order...
Viewing the options chain can be a useful exercise when determining the right options to consider for your strategy. The purpose of this post is to share how to pull the option chain using python + TD Ameritrade.
The code that is being shared is part of a larger project, which identifies potential arbitrage opportunities while looking at the option chain.
A link to the code and notebook can be found here: GitHub
First, we need to connect to TD Ameritrade via python and then briefly explore the data
Now that we have a sense of the data structure, let’s put the Call option chain into a dataframe.
Suppose we want to view the greeks for a particular expiration. We can create a dataframe for that DTE and graphically view how each of the greeks behave at that point in time
As mentioned in the beginning, this code is part of a larger process of mine that looks to find arbitrage opportunities looking at the option chain.
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