Mastering Python for Finance - Second Edition

Finding near-term and next-term options

The VIX Index measures the 30-day expected volatility of the SPX using the market quotes of call and put options expiring between 24 days and 36 days. In between these dates, there will be two SPX option contract maturity dates. Options expiring the nearest are referred to as near-term options, while the options expiring later are referred to as next-term options. Happening once per week, when the option maturities are out of the 24 to 36 days range, new contract maturities will be chosen as the new near-term and next-term options.

To help us in finding the near-term and next-term options, let's organize our puts and calls options data indexed by maturity dates, each having a pandas DataFrame indexed ...