Select Option Contracts Based on Greeks

QuantConnect / Lean

Lean Algorithmic Trading Engine by QuantConnect (Python, C#)

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Select Option Contracts Based on Greeks #1518

Open jaredbroad opened 6 years ago

jaredbroad commented 6 years ago

Option universe selection selects on price, strikes etc now but Valery requests Option Contracts selected on Greeks / Implied Volatility. Currently these are calculated in inline -- so we don't have them available at universe selection time.

isobretatel commented 6 years ago

Select option contracts by Open Interest, Volume.

nkabram commented 3 years ago

I'd also like to see support for this. Any update?

ikamanu commented 3 years ago

+1 to this. Any progress?

kbsaravana commented 3 years ago

+1 on this

kfeldspar commented 3 years ago

+1 on this too

YukaLangbuana commented 2 years ago

+1 on this also. How's the progress?

mattmcwaters commented 2 years ago

+1!

rjmig88 commented 2 years ago

Any update on this? Running option strategies on many securities is quite slow as I want to trade a specific delta, or a specific premium, which OptionChainProvider doesn't easily allow for.

For instance, the strikes can expand greatly in high vol/high vix eras, for instance today the $0.50 SPX put expiring in two days was the 3,500 strike with SPX trading around 4155. The market was selling these deep puts for that much premium and there would be no way I'd guess I'd have to go that deep for a $0.50 put were I to use OptionChainProvider to optimize and speed things up.

rafael-trevisan commented 2 years ago

Looking forward to seeing this :)

jaredbroad commented 1 year ago

Plan is:

Standardize options and futures to use universe data files like the rest of LEAN(https://github.com/QuantConnect/Lean/issues/6861)
Create the options universe files with the greeks precalculated and passed in as part of their filtering options.
Calculation of daily options universe as a LEAN Data stack job.

It's a heavy project and will require gutting thousands of lines of code but will dramatically standardize the internals of LEAN universes which is very exciting.

jaredbroad commented 1 year ago

Side effects of the plan:

Filtering will be every day instead of every minute, but it's too much churn and noise for most people so we don't think people will care really. Anyone impacted can just set a wider strike range.
Much faster options backtesting.

dennis-yemelyanov commented 4 days ago

With daily refresh will it be possible to say "at 11AM, buy the option contract that currently has delta = 0.2"?

I think it's a common scenario to find an option by delta at current moment. Delta can change dramatically intraday, especially if the option is approaching expiration, so the delta value from the beginning of the day might not be very useful in such cases