Cerbero-mcp/services/common/tests/test_options.py

"""Test puri per mcp_common.options (logiche option-flow indipendenti
dall'exchange).
"""
from __future__ import annotations

import pytest

from mcp_common.options import (
    atm_vs_wings_vol,
    dealer_gamma_profile,
    oi_weighted_skew,
    smile_asymmetry,
    vanna_charm_aggregate,
)


# ---------- oi_weighted_skew ----------

def test_oi_weighted_skew_balanced():
    """OI distribuito 50/50 calls/puts → skew vicino a 0."""
    legs = [
        {"iv": 0.5, "delta": 0.5, "oi": 100, "option_type": "call"},
        {"iv": 0.5, "delta": -0.5, "oi": 100, "option_type": "put"},
    ]
    out = oi_weighted_skew(legs)
    assert abs(out["skew"]) < 0.01


def test_oi_weighted_skew_put_heavy():
    """Put heavy → IV media puts > IV media calls → skew positivo (put > call)."""
    legs = [
        {"iv": 0.4, "delta": 0.5, "oi": 50, "option_type": "call"},
        {"iv": 0.7, "delta": -0.5, "oi": 500, "option_type": "put"},
    ]
    out = oi_weighted_skew(legs)
    assert out["skew"] > 0
    assert out["call_iv_weighted"] > 0
    assert out["put_iv_weighted"] > out["call_iv_weighted"]


def test_oi_weighted_skew_empty():
    out = oi_weighted_skew([])
    assert out == {"skew": None, "call_iv_weighted": None, "put_iv_weighted": None, "total_oi": 0}


# ---------- smile_asymmetry ----------

def test_smile_asymmetry_symmetric():
    """Smile simmetrico ATM → asymmetry ≈ 0."""
    legs = [
        {"strike": 80, "iv": 0.55, "option_type": "put"},
        {"strike": 90, "iv": 0.50, "option_type": "put"},
        {"strike": 100, "iv": 0.45, "option_type": "call"},
        {"strike": 110, "iv": 0.50, "option_type": "call"},
        {"strike": 120, "iv": 0.55, "option_type": "call"},
    ]
    out = smile_asymmetry(legs, spot=100.0)
    assert out["atm_iv"] is not None
    assert abs(out["asymmetry"]) < 0.05


def test_smile_asymmetry_put_skew():
    """OTM puts (low strike) IV >> OTM calls (high strike) IV → asymmetry > 0."""
    legs = [
        {"strike": 80, "iv": 0.80, "option_type": "put"},
        {"strike": 100, "iv": 0.50, "option_type": "call"},
        {"strike": 120, "iv": 0.45, "option_type": "call"},
    ]
    out = smile_asymmetry(legs, spot=100.0)
    assert out["asymmetry"] > 0.1


def test_smile_asymmetry_no_atm():
    legs = [{"strike": 200, "iv": 0.5, "option_type": "call"}]
    out = smile_asymmetry(legs, spot=100.0)
    assert out["atm_iv"] is None


# ---------- atm_vs_wings_vol ----------

def test_atm_vs_wings_vol_basic():
    legs = [
        {"strike": 90, "iv": 0.55, "delta": -0.25, "option_type": "put"},
        {"strike": 100, "iv": 0.45, "delta": 0.5, "option_type": "call"},
        {"strike": 110, "iv": 0.50, "delta": 0.25, "option_type": "call"},
    ]
    out = atm_vs_wings_vol(legs, spot=100.0)
    assert out["atm_iv"] == pytest.approx(0.45, rel=1e-3)
    assert out["wing_25d_call_iv"] == pytest.approx(0.50, rel=1e-3)
    assert out["wing_25d_put_iv"] == pytest.approx(0.55, rel=1e-3)
    # ATM<wings → richness positiva
    assert out["wing_richness"] > 0


def test_atm_vs_wings_vol_no_data():
    out = atm_vs_wings_vol([], spot=100.0)
    assert out["atm_iv"] is None


# ---------- dealer_gamma_profile ----------

def test_dealer_gamma_profile_assumes_dealer_short_calls():
    """Convention: dealer SHORT calls (sells calls to retail), LONG puts.
    Calls oi → negative dealer gamma, puts oi → positive dealer gamma.
    """
    legs = [
        {"strike": 100, "gamma": 0.01, "oi": 1000, "option_type": "call"},
        {"strike": 100, "gamma": 0.01, "oi": 500, "option_type": "put"},
    ]
    out = dealer_gamma_profile(legs, spot=100.0)
    # call gamma greater than put gamma at same strike → net dealer short gamma
    assert len(out["by_strike"]) == 1
    row = out["by_strike"][0]
    assert row["call_dealer_gamma"] < 0
    assert row["put_dealer_gamma"] > 0
    assert row["net_dealer_gamma"] < 0  # calls dominate
    assert out["total_net_dealer_gamma"] < 0


def test_dealer_gamma_profile_empty():
    out = dealer_gamma_profile([], spot=100.0)
    assert out["by_strike"] == []
    assert out["total_net_dealer_gamma"] == 0.0


# ---------- vanna_charm_aggregate ----------

def test_vanna_charm_aggregate_basic():
    legs = [
        {"strike": 100, "vanna": 0.05, "charm": -0.001, "oi": 1000, "option_type": "call"},
        {"strike": 100, "vanna": -0.05, "charm": 0.001, "oi": 500, "option_type": "put"},
    ]
    out = vanna_charm_aggregate(legs, spot=100.0)
    assert out["total_vanna"] != 0  # some net exposure
    assert "total_charm" in out
    assert out["legs_analyzed"] == 2


def test_vanna_charm_aggregate_skip_missing_greeks():
    legs = [
        {"strike": 100, "vanna": None, "charm": -0.001, "oi": 1000, "option_type": "call"},
        {"strike": 100, "vanna": 0.05, "charm": None, "oi": 500, "option_type": "put"},
    ]
    out = vanna_charm_aggregate(legs, spot=100.0)
    # entrambe le legs hanno almeno una greca None → skippate
    assert out["legs_analyzed"] == 0