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RV Python Script To Extract Stock Volatility

The document is a Python script that screens Nifty stocks based on their volatility relative to a benchmark index. It fetches historical close prices, calculates the volatility of each stock and the benchmark, and identifies stocks with a relative volatility (RV) greater than a specified threshold. The results are displayed in a sorted DataFrame format, highlighting stocks that meet the criteria.

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harxhk008
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99 views2 pages

RV Python Script To Extract Stock Volatility

The document is a Python script that screens Nifty stocks based on their volatility relative to a benchmark index. It fetches historical close prices, calculates the volatility of each stock and the benchmark, and identifies stocks with a relative volatility (RV) greater than a specified threshold. The results are displayed in a sorted DataFrame format, highlighting stocks that meet the criteria.

Uploaded by

harxhk008
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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import yfinance as yf

import pandas as pd
import datetime

# Stock symbols to screen


NIFTY_STOCKS = [
"RELIANCE.NS", "TCS.NS", "INFY.NS", "HDFCBANK.NS", "ICICIBANK.NS",
"HINDUNILVR.NS", "ITC.NS", "LT.NS", "SBIN.NS", "KOTAKBANK.NS"
]

BENCHMARK = "^NSEI"
LOOKBACK_DAYS = 20
RV_THRESHOLD = 1.0

def fetch_close_prices(symbol):
df = yf.download(symbol, period="30d", interval="1d", progress=False)
if df.empty or 'Close' not in df.columns:
raise ValueError(f"No close price data for {symbol}")
return df['Close'].dropna()

def calculate_volatility(series):
returns = series.pct_change().dropna()
if len(returns) < LOOKBACK_DAYS:
raise ValueError("Not enough return data to calculate volatility")
return float(returns[-LOOKBACK_DAYS:].std())

def calculate_rv(stock_vol, benchmark_vol):


if stock_vol is None or benchmark_vol is None or benchmark_vol == 0:
return None
return float(stock_vol) / float(benchmark_vol)

def run_screener():
print(f"\n🔄 Running Screener @ {datetime.datetime.now().strftime('%Y-%m-%d %H:
%M:%S')}")

try:
benchmark_prices = fetch_close_prices(BENCHMARK)
benchmark_vol = calculate_volatility(benchmark_prices)
except Exception as e:
print(f"❌ Benchmark error: {e}")
return

results = []

for symbol in NIFTY_STOCKS:


try:
stock_prices = fetch_close_prices(symbol)
stock_vol = calculate_volatility(stock_prices)
rv = calculate_rv(stock_vol, benchmark_vol)

# Ensure RV is a scalar float


if isinstance(rv, float) and rv > RV_THRESHOLD:
results.append({
"Symbol": symbol,
"Volatility": round(stock_vol, 5),
"RV": round(rv, 3)
})

except Exception as e:
print(f"⚠️ Skipping {symbol}: {e}")

if results:
df = pd.DataFrame(results).sort_values(by="RV", ascending=False)
print("\n📊 Top Stocks with RV > 1:\n")
print(df.to_string(index=False))
else:
print("⚠️ No stocks with RV above threshold.")

# Run once
run_screener()

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