550 lines
18 KiB
Svelte
550 lines
18 KiB
Svelte
<script lang="ts">
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import { removeCompanyStrings, abbreviateNumber } from "$lib/utils";
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import { displayCompanyName } from "$lib/store";
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import { onMount } from "svelte";
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import TableHeader from "$lib/components/Table/TableHeader.svelte";
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import UpgradeToPro from "$lib/components/UpgradeToPro.svelte";
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import highcharts from "$lib/highcharts.ts";
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import { mode } from "mode-watcher";
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export let data;
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let rawData = data?.getData || [];
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rawData = rawData?.map((item) => ({
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...item,
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volatilitySpread:
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item?.rv !== null ? (item?.iv - item?.rv)?.toFixed(2) : null,
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}));
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const avgIV =
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rawData?.reduce((acc, entry) => acc + entry.iv, 0) / rawData?.length;
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const avgRV =
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rawData?.reduce((acc, entry) => acc + entry.rv, 0) / rawData?.length;
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let displayList = rawData?.slice(0, 150);
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let timePeriod = "3M";
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let config = null;
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function filterDataByPeriod(historicalData, period = "3M") {
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const currentDate = new Date();
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let startDate = new Date();
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// Calculate the start date based on the period input
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switch (period) {
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case "3M":
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startDate.setMonth(currentDate.getMonth() - 3);
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break;
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case "6M":
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startDate.setMonth(currentDate.getMonth() - 6);
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break;
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case "1Y":
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startDate.setFullYear(currentDate.getFullYear() - 1);
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break;
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default:
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throw new Error(`Unsupported period: ${period}`);
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}
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// Filter the data based on the calculated start date
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let filteredData = historicalData?.filter((item) => {
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if (!item?.date) return false;
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const itemDate = new Date(item.date);
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return itemDate >= startDate && itemDate <= currentDate;
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});
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filteredData?.forEach((entry) => {
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const matchingData = data?.getHistoricalPrice?.find(
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(d) => d?.time === entry?.date,
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);
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if (matchingData) {
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entry.price = matchingData?.close;
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}
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});
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// Extract the dates and gamma values from the filtered data
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const dateList = filteredData?.map((item) => item.date);
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const impliedVolatility = filteredData?.map((item) => item?.iv);
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const realizedVolatility = filteredData?.map((item) => item?.rv);
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const volatilitySpread = filteredData?.map((item) =>
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item?.volatilitySpread ? Number(item?.volatilitySpread) : null,
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);
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const priceList = filteredData?.map((item) => item.price);
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return {
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dateList,
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impliedVolatility,
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realizedVolatility,
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volatilitySpread,
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priceList,
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};
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}
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function plotData() {
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// Sort and filter the raw data as before
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const data = rawData?.sort((a, b) => new Date(a?.date) - new Date(b?.date));
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const {
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dateList,
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impliedVolatility,
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realizedVolatility,
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volatilitySpread,
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priceList,
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} = filterDataByPeriod(data, timePeriod);
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const options = {
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chart: {
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backgroundColor: $mode === "light" ? "#fff" : "#09090B",
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animation: false,
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height: 360,
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},
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credits: { enabled: false },
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legend: { enabled: false },
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title: {
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text: `<h3 class="mt-3 mb-1 text-[1rem] sm:text-lg">Volatiltiy Exposure</h3>`,
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useHTML: true,
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style: { color: $mode === "light" ? "black" : "white" },
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},
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// Disable markers globally on hover for all series
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xAxis: {
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type: "datetime",
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endOnTick: false,
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categories: dateList,
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crosshair: {
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color: $mode === "light" ? "black" : "white", // Set the color of the crosshair line
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width: 1, // Adjust the line width as needed
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dashStyle: "Solid",
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},
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labels: {
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style: {
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color: $mode === "light" ? "black" : "white",
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},
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distance: 20, // Increases space between label and axis
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formatter: function () {
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const date = new Date(this.value);
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return date.toLocaleDateString("en-US", {
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month: "short",
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year: "numeric",
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});
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},
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},
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tickPositioner: function () {
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// Create custom tick positions with wider spacing
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const positions = [];
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const info = this.getExtremes();
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const tickCount = 5; // Reduce number of ticks displayed
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const interval = Math?.floor((info?.max - info?.min) / tickCount);
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for (let i = 0; i <= tickCount; i++) {
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positions?.push(info?.min + i * interval);
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}
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return positions;
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},
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},
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yAxis: [
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{
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gridLineWidth: 1,
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gridLineColor: $mode === "light" ? "#d1d5dc" : "#111827",
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labels: {
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style: { color: $mode === "light" ? "black" : "white" },
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},
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title: { text: null },
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opposite: true,
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},
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{
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// Primary yAxis (left) – for volatility series
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labels: { enabled: false },
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title: { text: null },
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gridLineWidth: 0,
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},
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{
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// Primary yAxis (left) – for volatility series
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labels: { enabled: false },
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title: { text: null },
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gridLineWidth: 0,
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},
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],
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tooltip: {
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shared: true,
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useHTML: true,
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backgroundColor: "rgba(0, 0, 0, 0.8)", // Semi-transparent black
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borderColor: "rgba(255, 255, 255, 0.2)", // Slightly visible white border
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borderWidth: 1,
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style: {
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color: "#fff",
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fontSize: "16px",
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padding: "10px",
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},
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borderRadius: 4,
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formatter: function () {
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// Format the x value to display time in a custom format
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let tooltipContent = `<span class="m-auto text-[1rem] font-[501]">${new Date(
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this?.x,
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).toLocaleDateString("en-US", {
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year: "numeric",
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month: "short",
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day: "numeric",
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})}</span><br>`;
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// Loop through each point in the shared tooltip
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this.points.forEach((point) => {
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tooltipContent += `
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<span style="display:inline-block; width:10px; height:10px; background-color:${point.color}; border-radius:50%; margin-right:5px;"></span>
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<span class="font-semibold text-sm">${point.series.name}:</span>
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<span class="font-normal text-sm">${abbreviateNumber(point.y)}</span><br>`;
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});
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return tooltipContent;
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},
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},
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plotOptions: {
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series: {
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marker: {
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enabled: false,
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states: {
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hover: {
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enabled: false,
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},
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},
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},
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color: $mode === "light" ? "black" : "white",
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animation: false, // Disable series animation
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states: {
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hover: {
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enabled: false, // Disable hover effect globally
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},
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},
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},
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},
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series: [
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{
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name: "Stock Price",
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type: "spline", // smooth line
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data: priceList,
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yAxis: 1,
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lineWidth: 2,
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color: $mode === "light" ? "black" : "white",
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animation: false,
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},
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{
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name: "Implied Volatility",
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type: "spline",
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data: impliedVolatility,
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lineWidth: 2,
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yAxis: 0,
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color: $mode === "light" ? "#C69307" : "#FAD776",
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animation: false,
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},
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{
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name: "Realized Volatility",
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type: "spline",
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data: realizedVolatility,
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lineWidth: 2,
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yAxis: 0,
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color: "#007BFF",
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animation: false,
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},
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{
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name: "Vol. Spread",
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type: "column", // Highcharts column chart for bars
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yaxis: 2,
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data: volatilitySpread,
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color: "#9B5DC4",
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borderColor: "#9B5DC4",
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borderRadius: "1px",
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animation: false,
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},
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],
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};
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return options;
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}
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function formatDate(dateStr) {
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// Convert the input date string to a Date object in New York time
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let date = new Date(dateStr + "T00:00:00Z"); // Assume input is in UTC
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// Convert to New York Time Zone
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let options = {
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timeZone: "Europe/Berlin",
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month: "2-digit",
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day: "2-digit",
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year: "2-digit",
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};
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let formatter = new Intl.DateTimeFormat("en-US", options);
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return formatter.format(date);
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}
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async function handleScroll() {
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const scrollThreshold = document.body.offsetHeight * 0.8; // 80% of the website height
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const isBottom = window.innerHeight + window.scrollY >= scrollThreshold;
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if (isBottom && displayList?.length !== rawData?.length) {
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const nextIndex = displayList?.length;
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const filteredNewResults = rawData?.slice(nextIndex, nextIndex + 50);
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displayList = [...displayList, ...filteredNewResults];
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}
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}
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onMount(() => {
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window.addEventListener("scroll", handleScroll);
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return () => {
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window.removeEventListener("scroll", handleScroll);
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};
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});
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$: columns = [
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{ key: "date", label: "Date", align: "left" },
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{
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key: "changesPercentage",
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label: "% Change",
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align: "right",
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},
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{
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key: "putCallRatio",
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label: "P/C",
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align: "right",
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},
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{
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key: "total_open_interest",
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label: "Total OI",
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align: "right",
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},
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{
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key: "changesPercentageOI",
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label: "% OI Change",
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align: "right",
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},
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{
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key: "iv",
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label: "Implied Volatility",
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align: "right",
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},
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{
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key: "rv",
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label: "Realized Vol.",
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align: "right",
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},
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{ key: "volatilitySpread", label: "Vol. Spread", align: "right" },
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];
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$: sortOrders = {
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date: { order: "none", type: "date" },
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changesPercentage: { order: "none", type: "number" },
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putCallRatio: { order: "none", type: "number" },
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iv: { order: "none", type: "number" },
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rv: { order: "none", type: "number" },
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volatilitySpread: { order: "none", type: "number" },
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total_open_interest: { order: "none", type: "number" },
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changesPercentageOI: { order: "none", type: "number" },
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};
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const sortData = (key) => {
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// Reset all other keys to 'none' except the current key
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for (const k in sortOrders) {
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if (k !== key) {
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sortOrders[k].order = "none";
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}
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}
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// Cycle through 'none', 'asc', 'desc' for the clicked key
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const orderCycle = ["none", "asc", "desc"];
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let originalData = rawData?.sort(
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(a, b) => new Date(b?.date) - new Date(a?.date),
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);
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const currentOrderIndex = orderCycle.indexOf(sortOrders[key].order);
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sortOrders[key].order =
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orderCycle[(currentOrderIndex + 1) % orderCycle.length];
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const sortOrder = sortOrders[key].order;
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// Reset to original data when 'none' and stop further sorting
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if (sortOrder === "none") {
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originalData = [...rawData]; // Reset originalData to rawDataVolume
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displayList = originalData;
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return;
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}
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// Define a generic comparison function
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const compareValues = (a, b) => {
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const { type } = sortOrders[key];
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let valueA, valueB;
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switch (type) {
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case "date":
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valueA = new Date(a[key]);
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valueB = new Date(b[key]);
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break;
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case "string":
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valueA = a[key].toUpperCase();
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valueB = b[key].toUpperCase();
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return sortOrder === "asc"
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? valueA.localeCompare(valueB)
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: valueB.localeCompare(valueA);
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case "number":
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default:
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valueA = parseFloat(a[key]);
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valueB = parseFloat(b[key]);
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break;
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}
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if (sortOrder === "asc") {
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return valueA < valueB ? -1 : valueA > valueB ? 1 : 0;
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} else {
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return valueA > valueB ? -1 : valueA < valueB ? 1 : 0;
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}
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};
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// Sort using the generic comparison function
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displayList = [...originalData].sort(compareValues);
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};
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$: {
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if (timePeriod || $mode) {
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config = plotData();
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}
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}
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</script>
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<div class="sm:pl-7 sm:pb-7 sm:pt-7 w-full m-auto mt-2 sm:mt-0">
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<h2 class=" flex flex-row items-center text-xl sm:text-2xl font-bold w-fit">
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Volatility Exposure
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</h2>
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<div class="w-full mt-2">
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{removeCompanyStrings($displayCompanyName)} has experienced an average implied
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volatility of {avgIV?.toFixed(2)} and an average realized volatility of {avgRV?.toFixed(
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2,
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)}.
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</div>
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<div class="w-full overflow-hidden m-auto">
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{#if config !== null}
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<div class="flex justify-end pt-5 pb-2 space-x-2 ml-auto z-10">
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{#each ["3M", "6M", "1Y"] as item, index}
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{#if data?.user?.tier === "Pro" || index === 0}
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<label
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on:click={() => (timePeriod = item)}
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class="px-3 py-1 text-sm shadow-sm border-gray-300 {timePeriod ===
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item
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? 'bg-gray-300 dark:bg-white text-black '
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: ' bg-gray-100 dark:bg-table text-opacity-[0.6]'} transition ease-out duration-100 rounded-md cursor-pointer"
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>
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{item}
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</label>
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{:else if data?.user?.tier !== "Pro"}
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<a
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href="/pricing"
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class="px-3 py-1 text-sm flex flex-row items-center border border-gray-300 {timePeriod ===
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item
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? 'bg-gray-300 dark:bg-white text-black '
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: ' bg-gray-100 dark:bg-table text-opacity-[0.6]'} transition ease-out duration-100 rounded-md cursor-pointer"
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>
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{item}
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<svg
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class="ml-1 -mt-w-3.5 h-3.5 inline-block"
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xmlns="http://www.w3.org/2000/svg"
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viewBox="0 0 24 24"
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><path
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fill="currentColor"
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d="M17 9V7c0-2.8-2.2-5-5-5S7 4.2 7 7v2c-1.7 0-3 1.3-3 3v7c0 1.7 1.3 3 3 3h10c1.7 0 3-1.3 3-3v-7c0-1.7-1.3-3-3-3M9 7c0-1.7 1.3-3 3-3s3 1.3 3 3v2H9z"
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/></svg
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>
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</a>
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{/if}
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{/each}
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</div>
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<div
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class="border border-gray-300 dark:border-gray-800 rounded w-full"
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use:highcharts={config}
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></div>
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{/if}
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</div>
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<h3 class="mt-5 text-xl sm:text-2xl font-bold mb-2 sm:mb-0">
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Volatility History
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</h3>
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<div class="w-full overflow-x-auto mt-5">
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<table
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class="table table-sm table-compact no-scrollbar rounded-none sm:rounded-md w-full bg-white dark:bg-table border border-gray-300 dark:border-gray-800 m-auto mt-4"
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>
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<thead>
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<TableHeader {columns} {sortOrders} {sortData} />
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</thead>
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<tbody>
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{#each data?.user?.tier === "Pro" ? displayList : displayList?.slice(0, 3) as item, index}
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<tr
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class="dark:sm:hover:bg-[#245073]/10 odd:bg-[#F6F7F8] dark:odd:bg-odd {index +
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1 ===
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displayList?.slice(0, 3)?.length &&
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!['Pro']?.includes(data?.user?.tier)
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? 'opacity-[0.1]'
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: ''}"
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>
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<td class=" text-sm sm:text-[1rem] text-start whitespace-nowrap">
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{formatDate(item?.date)}
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</td>
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<td class=" text-sm sm:text-[1rem] text-end">
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{#if item?.changesPercentage >= 0 && item?.changesPercentage !== null}
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<span class="text-green-600 dark:text-[#00FC50]"
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>+{item?.changesPercentage >= 1000
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? abbreviateNumber(item?.changesPercentage)
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: item?.changesPercentage?.toFixed(2)}%</span
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>
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{:else if item?.changesPercentage < 0 && item?.changesPercentage !== null}
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<span class="text-red-600 dark:text-[#FF2F1F]"
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>{item?.changesPercentage <= -1000
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? abbreviateNumber(item?.changesPercentage)
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: item?.changesPercentage?.toFixed(2)}%
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</span>
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{:else}
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n/a
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{/if}
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</td>
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<td class="text-sm sm:text-[1rem] text-end">
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{item?.putCallRatio}
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</td>
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<td class="text-sm sm:text-[1rem] text-end">
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{@html abbreviateNumber(item?.total_open_interest, false, true)}
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</td>
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<td class=" text-sm sm:text-[1rem] text-end">
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{#if item?.changesPercentageOI >= 0 && item?.changesPercentageOI !== null}
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<span class="text-green-600 dark:text-[#00FC50]"
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>+{item?.changesPercentageOI >= 1000
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? abbreviateNumber(item?.changesPercentageOI)
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: item?.changesPercentageOI?.toFixed(2)}%</span
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>
|
||
{:else if item?.changesPercentageOI < 0 && item?.changesPercentageOI !== null}
|
||
<span class="text-red-600 dark:text-[#FF2F1F]"
|
||
>{item?.changesPercentageOI <= -1000
|
||
? abbreviateNumber(item?.changesPercentageOI)
|
||
: item?.changesPercentageOI?.toFixed(2)}%
|
||
</span>
|
||
{:else}
|
||
<span class=""> n/a </span>
|
||
{/if}
|
||
</td>
|
||
|
||
<td class=" text-sm sm:text-[1rem] text-end whitespace-nowrap">
|
||
{item?.iv}
|
||
</td>
|
||
<td class=" text-sm sm:text-[1rem] text-end whitespace-nowrap">
|
||
{item?.rv ?? "n/a"}
|
||
</td>
|
||
|
||
<td class=" text-sm sm:text-[1rem] text-end whitespace-nowrap">
|
||
{item?.volatilitySpread ?? "n/a"}
|
||
</td>
|
||
</tr>
|
||
{/each}
|
||
</tbody>
|
||
</table>
|
||
</div>
|
||
|
||
<UpgradeToPro {data} display={true} />
|
||
</div>
|