Chain and roll queries

Once reconstructed, a SlicesChain exposes its maturity map and each ExpirySlice exposes strike and volatility queries.

from option_chain_analytics import (
    NearestStrikeOnGrid,
    create_chain_at_time,
    generate_simulated_options_data,
)

options_data = generate_simulated_options_data()
value_time = options_data.get_timeindex()[0]
chain = create_chain_at_time(options_data, value_time)
front = chain.get_expiry_slice(next(iter(chain.expiry_slices)))

atm_strike = front.get_atm_option_strike(NearestStrikeOnGrid.NEAREST)
atm_vol = front.get_atm_vol(NearestStrikeOnGrid.NEAREST)
assert atm_strike == 100.0
assert atm_vol > 0.0

NearestStrikeOnGrid.BELOW means the grid strike below the target and ABOVE means the grid strike above the target. Tests lock this convention because the legacy implementation once inverted it.

For calendar selection, use the roll helper:

from option_chain_analytics.utils.roll_maturities import (
    RollMaturitySelection,
    get_roll_maturity_slices_at_value_time,
)

roll_ids = get_roll_maturity_slices_at_value_time(
    options_data,
    value_time,
    maturity_selection=RollMaturitySelection.WEEKLY_FRIDAY,
    is_apply_open_interest_filter=False,
    hour_offset=8,
)
assert roll_ids == ['12Jan2024']

The open-interest filter removes thin newly listed slices when enabled. Its threshold is a library policy, not a universal market convention; empirical work should report whether it was applied.