Option Indicators

[AlexCatarino]

Expected Behavior

Option indicators: https://github.com/QuantConnect/Lean/pull/7680 https://github.com/QuantConnect/Lean/pull/7704 etc... has it's own page since they are a special indicator type.

Actual Behavior

Undocumented.

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

[AlexCatarino]

Under Reality Models: Pricing has three sections

• Key Concepts
• Indicators Under Key Concepts
• Introduction
• What are Greeks?
• What Is Implied Volatility?
• QuantConnect Implementation
• Difference from Third-Party Calculations
  • Show one IV Smile as an example (2D or 3D)
  • Show table with statistical errors Under Indicators
• Introduction
• "Naming Convention"
  • Table with Greek name, indicator class name, and helper method;
• Create Automatic Indicators
  • Single contract example

var call = AddOptionContract(symbol)
call.IV = IV([call, put], ...)    // use duck typing
call.Delta = D(...)

• • Multiple contracts
    • Use OnSecuritiesChanged

foreach (var removed in changes.RemovedSecurities)
    DeregisterIndicator(removed.IV)
foreach (var added in changes.AddedSecurities)
    added.IV = IV(added.Symbol, ...)

• Example

Under Securities > Requesting Data:

• In Create Subscriptions, remove

  To override the default pricing model of the Option, set a pricing model.

and option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein().

• Before Properties: Adds Price Modeling

  • Link to new Reality Modeling page, add code snippet adding greeks to a option object.

• Example:

  • Fix the example to add the greeks indicators.

Under Universes > Equity Option

• Add Price Modeling at the end
  • Link to new Reality Modeling page, add full example adding greeks to a option object in OnSecuritiesChanged

Same for Index Option case.

[AlexCatarino]

In Get Price Model Data use indicators instead.

[ghost]

Not yet please

On Wed, Mar 6, 2024 at 5:28 PM Alexandre Catarino @.***> wrote:

In Get Price Model Data https://www.quantconnect.com/docs/v2/research-environment/datasets/equity-options#10-Get-Price-Model-Data use indicators instead.

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