A reproducible Python project that tests put-call parity using live option chains from yfinance.
The tool checks whether the law of one price holds, accounting for dividends and execution costs.

• Downloads live option chains (calls and puts) via yfinance.
• Adjusts for dividends and risk-free rate discounting.
• Computes two parity gap metrics:
  • Δ_mid: Theoretical mispricing using mid-prices.
  • Δ_exec: Executable gap after crossing bid-ask spreads.
• Generates CSV summaries and visual plots (histograms, scatter by strike).
• CLI interface for reproducibility (main_parity.py).

OptionsParityChecker_yfinance/
│
├── src/                    # Core project code
│   ├── main_parity.py      # CLI entry point
│   ├── parity/             # Parity calculation module
│   │   ├── parity.py       # Core parity calculations
│   │   └── data.py         # yfinance data fetching
│
├── outputs/                # Generated CSVs and plots (ignored in .gitignore)
├── requirements.txt        # Python dependencies
├── README.md               # Project documentation
└── .gitignore              # Git ignore file

• Python 3.8+ (tested with 3.10)
• Recommended packages (install in a virtual environment):

python -m venv .venv
source .venv/bin/activate  # On Windows: .venv\Scripts\activate
pip install -r requirements.txt

If requirements.txt is not available, install minimum dependencies:

pip install yfinance pandas numpy matplotlib

Clone the repository and install dependencies:

git clone https://github.com/mcravi8/OptionsParityChecker_yfinance.git
cd OptionsParityChecker_yfinance
python -m venv .venv
source .venv/bin/activate  # On Windows: .venv\Scripts\activate
pip install -r requirements.txt

Run the parity checker with the CLI. Example for SPY with expiries between 7 and 120 days, including dividends and plots:

python src/main_parity.py --ticker SPY --min_dte 7 --max_dte 120 --use_dividends --plots

• --ticker: Ticker symbol (e.g., SPY)
• --min_dte: Minimum days to expiration (e.g., 7)
• --max_dte: Maximum days to expiration (e.g., 120)
• --use_dividends: Include dividend adjustments (flag, no value)
• --plots: Generate histograms and scatter plots (flag, no value)

Results are saved in the outputs/ directory:

• summary_SPY.csv: Per-expiry summary table.
• parity_results_<TICKER>.csv: Strike-level results (Δ_mid, Δ_exec, etc.).
• Plots:
  • parity_histogram_<TICKER>.png: Histogram of parity gaps.
  • parity_scatter_<TICKER>.png: Scatter plot of gaps by strike.

Sample run on SPY (September 2025):

Summary (from summary_SPY.csv):

expiry,n_strikes,pct_|Δ_mid|>1c,pct_|Δ_mid|>5c,pct_Δ_exec>0,avg_|Δ_mid|,max_|Δ_mid|
2025-09-19,182,100.0,97.8,0.0,2.35,34.9
2025-09-26,95,100.0,98.9,0.0,3.07,9.4
2025-10-17,128,100.0,100.0,0.0,4.88,52.2

• Nearly all strikes show a Δ_mid deviation from parity greater than 1¢, indicating theoretical mispricing.
• After accounting for execution costs (bid-ask spreads), pct_Δ_exec>0 = 0%, suggesting no arbitrage opportunities exist under realistic trading conditions.
• This aligns with the textbook principle: apparent arbitrage opportunities vanish when frictions like bid-ask spreads are included.

• Data Source: Option chains are fetched via yfinance, which provides live market data.
• Parity Calculation: Adjusts for dividends and risk-free rate using standard put-call parity formulas.
• Execution Costs: Δ_exec accounts for bid-ask spreads, reflecting realistic trading frictions.
• Look-Ahead Bias: Uses only current market data to avoid look-ahead issues.

• yfinance data may have occasional gaps or inconsistencies (e.g., missing strikes or delayed updates).
• Dividend estimates rely on yfinance’s reported values, which may not reflect ex-dividend dates accurately.
• Risk-free rate is assumed constant; actual rates may vary over time.