Supported Indicators
Implied Volatility
Introduction
Implied Volatility indicator that calculate the IV of an option using Black-Scholes Model
To view the implementation of this indicator, see the LEAN GitHub repository.
Using IV Indicator
To create an automatic indicators for ImpliedVolatility
, call the IV
helper method from the QCAlgorithm
class. The IV
method creates a ImpliedVolatility
object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize
initialize
method.
public class ImpliedVolatilityAlgorithm : QCAlgorithm { private Symbol _symbol; private Symbol _option, _mirrorOption; private ImpliedVolatility _iv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _option = QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 450m, new DateTime(2023, 12, 22)); AddOptionContract(_option, Resolution.Daily); _mirrorOption = QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450m, new DateTime(2023, 12, 22)); AddOptionContract(_mirrorOption, Resolution.Daily); _iv = IV(_option, _mirrorOption); } public override void OnData(Slice data) { if (_iv.IsReady) { // The current value of _iv is represented by itself (_iv) // or _iv.Current.Value Plot("ImpliedVolatility", "iv", _iv); // Plot all properties of iv Plot("ImpliedVolatility", "historicalvolatility", _iv.HistoricalVolatility); Plot("ImpliedVolatility", "riskfreerate", _iv.RiskFreeRate); Plot("ImpliedVolatility", "dividendyield", _iv.DividendYield); Plot("ImpliedVolatility", "price", _iv.Price); Plot("ImpliedVolatility", "oppositeprice", _iv.OppositePrice); Plot("ImpliedVolatility", "underlyingprice", _iv.UnderlyingPrice); } } }
class ImpliedVolatilityAlgorithm(QCAlgorithm): def Initialize(self) -> None: self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.option = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 450, datetime(2023, 12, 22)) self.AddOptionContract(self.option, Resolution.Daily) self.mirrorOption = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450, datetime(2023, 12, 22)) self.AddOptionContract(self.mirrorOption, Resolution.Daily) self.iv = self.IV(self.option, self.mirrorOption) def on_data(self, slice: Slice) -> None: if self.iv.IsReady: # The current value of self.iv is represented by self.iv.Current.Value self.plot("ImpliedVolatility", "iv", self.iv.Current.Value) # Plot all attributes of self.iv self.plot("ImpliedVolatility", "historicalvolatility", self.iv.HistoricalVolatility.Current.Value) self.plot("ImpliedVolatility", "riskfreerate", self.iv.RiskFreeRate.Current.Value) self.plot("ImpliedVolatility", "dividendyield", self.iv.DividendYield.Current.Value) self.plot("ImpliedVolatility", "price", self.iv.Price.Current.Value) self.plot("ImpliedVolatility", "oppositeprice", self.iv.OppositePrice.Current.Value) self.plot("ImpliedVolatility", "underlyingprice", self.iv.UnderlyingPrice.Current.Value)
The following reference table describes the IV
method:
IV()1/1
ImpliedVolatility QuantConnect.Algorithm.QCAlgorithm.IV (Symbol
symbol,*Symbol
mirrorOption,*Nullable<Decimal>
riskFreeRate,*Nullable<Decimal>
dividendYield,*OptionPricingModelType
optionModel,*Int32
period,*Nullable<Resolution>
resolution )
Creates a new ImpliedVolatility indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution.
If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.
For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a ImpliedVolatility
indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update
update
method with time/number pair or an IndicatorDataPoint
. The indicator will only be ready after you prime it with enough data.
public class ImpliedVolatilityAlgorithm : QCAlgorithm { private Symbol _symbol; private Symbol _option, _mirrorOption; private ImpliedVolatility _iv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _option = QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 450m, new DateTime(2023, 12, 22)); AddOptionContract(_option, Resolution.Daily); _mirrorOption = QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450m, new DateTime(2023, 12, 22)); AddOptionContract(_mirrorOption, Resolution.Daily); _iv = new ImpliedVolatility(_option, interest_rate_model, dividend_yield_model, _mirrorOption); } public override void OnData(Slice data) { if (data.Bars.TryGetValue(_symbol, out var bar)) { _iv.Update(new IndicatorDataPoint(_symbol, bar.EndTime, bar.Close)); } if (data.QuoteBars.TryGetValue(_option, out bar)) { _iv.Update(new IndicatorDataPoint(_option, bar.EndTime, bar.Close)); } if (data.QuoteBars.TryGetValue(_mirrorOption, out bar)) { _iv.Update(new IndicatorDataPoint(_mirrorOption, bar.EndTime, bar.Close)); } if (_iv.IsReady) { // The current value of _iv is represented by itself (_iv) // or _iv.Current.Value Plot("ImpliedVolatility", "iv", _iv); // Plot all properties of iv Plot("ImpliedVolatility", "historicalvolatility", _iv.HistoricalVolatility); Plot("ImpliedVolatility", "riskfreerate", _iv.RiskFreeRate); Plot("ImpliedVolatility", "dividendyield", _iv.DividendYield); Plot("ImpliedVolatility", "price", _iv.Price); Plot("ImpliedVolatility", "oppositeprice", _iv.OppositePrice); Plot("ImpliedVolatility", "underlyingprice", _iv.UnderlyingPrice); } } }
class ImpliedVolatilityAlgorithm(QCAlgorithm): def Initialize(self) -> None: self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.option = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 450, datetime(2023, 12, 22)) self.AddOptionContract(self.option, Resolution.Daily) self.mirrorOption = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450, datetime(2023, 12, 22)) self.AddOptionContract(self.mirrorOption, Resolution.Daily) self.iv = ImpliedVolatility(self.option, interest_rate_model, dividend_yield_model, self.mirrorOption) def on_data(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.iv.Update(IndicatorDataPoint(self.symbol, bar.EndTime, bar.Close)) bar = slice.QuoteBars.get(self.option) if bar: self.iv.Update(IndicatorDataPoint(self.option, bar.EndTime, bar.Close)) bar = slice.QuoteBars.get(self.mirrorOption) if bar: self.iv.Update(IndicatorDataPoint(self.mirrorOption, bar.EndTime, bar.Close)) if self.iv.IsReady: # The current value of self.iv is represented by self.iv.Current.Value self.plot("ImpliedVolatility", "iv", self.iv.Current.Value) # Plot all attributes of self.iv self.plot("ImpliedVolatility", "historicalvolatility", self.iv.HistoricalVolatility.Current.Value) self.plot("ImpliedVolatility", "riskfreerate", self.iv.RiskFreeRate.Current.Value) self.plot("ImpliedVolatility", "dividendyield", self.iv.DividendYield.Current.Value) self.plot("ImpliedVolatility", "price", self.iv.Price.Current.Value) self.plot("ImpliedVolatility", "oppositeprice", self.iv.OppositePrice.Current.Value) self.plot("ImpliedVolatility", "underlyingprice", self.iv.UnderlyingPrice.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class ImpliedVolatilityAlgorithm : QCAlgorithm { private Symbol _symbol; private Symbol _option, _mirrorOption; private ImpliedVolatility _iv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _option = QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 450m, new DateTime(2023, 12, 22)); AddOptionContract(_option, Resolution.Daily); _mirrorOption = QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450m, new DateTime(2023, 12, 22)); AddOptionContract(_mirrorOption, Resolution.Daily); _iv = new ImpliedVolatility(_option, interest_rate_model, dividend_yield_model, _mirrorOption); RegisterIndicator(_symbol, _iv, Resolution.Daily); RegisterIndicator(_option, _iv, Resolution.Daily); RegisterIndicator(_mirrorOption, _iv, Resolution.Daily); } public override void OnData(Slice data) { if (_iv.IsReady) { // The current value of _iv is represented by itself (_iv) // or _iv.Current.Value Plot("ImpliedVolatility", "iv", _iv); // Plot all properties of iv Plot("ImpliedVolatility", "historicalvolatility", _iv.HistoricalVolatility); Plot("ImpliedVolatility", "riskfreerate", _iv.RiskFreeRate); Plot("ImpliedVolatility", "dividendyield", _iv.DividendYield); Plot("ImpliedVolatility", "price", _iv.Price); Plot("ImpliedVolatility", "oppositeprice", _iv.OppositePrice); Plot("ImpliedVolatility", "underlyingprice", _iv.UnderlyingPrice); } } }
class ImpliedVolatilityAlgorithm(QCAlgorithm): def Initialize(self) -> None: self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.option = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 450, datetime(2023, 12, 22)) self.AddOptionContract(self.option, Resolution.Daily) self.mirrorOption = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450, datetime(2023, 12, 22)) self.AddOptionContract(self.mirrorOption, Resolution.Daily) self.iv = ImpliedVolatility(self.option, interest_rate_model, dividend_yield_model, self.mirrorOption) self.RegisterIndicator(self.symbol, self.iv, Resolution.Daily) self.RegisterIndicator(self.option, self.iv, Resolution.Daily) self.RegisterIndicator(self.mirrorOption, self.iv, Resolution.Daily) def on_data(self, slice: Slice) -> None: if self.iv.IsReady: # The current value of self.iv is represented by self.iv.Current.Value self.plot("ImpliedVolatility", "iv", self.iv.Current.Value) # Plot all attributes of self.iv self.plot("ImpliedVolatility", "historicalvolatility", self.iv.HistoricalVolatility.Current.Value) self.plot("ImpliedVolatility", "riskfreerate", self.iv.RiskFreeRate.Current.Value) self.plot("ImpliedVolatility", "dividendyield", self.iv.DividendYield.Current.Value) self.plot("ImpliedVolatility", "price", self.iv.Price.Current.Value) self.plot("ImpliedVolatility", "oppositeprice", self.iv.OppositePrice.Current.Value) self.plot("ImpliedVolatility", "underlyingprice", self.iv.UnderlyingPrice.Current.Value)
The following reference table describes the ImpliedVolatility
constructor:
ImpliedVolatility()1/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (string
name,Symbol
option,IRiskFreeInterestRateModel
riskFreeRateModel,IDividendYieldModel
dividendYieldModel,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()2/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (Symbol
option,IRiskFreeInterestRateModel
riskFreeRateModel,IDividendYieldModel
dividendYieldModel,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()3/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (string
name,Symbol
option,PyObject
riskFreeRateModel,PyObject
dividendYieldModel,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()4/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (Symbol
option,PyObject
riskFreeRateModel,PyObject
dividendYieldModel,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()5/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (string
name,Symbol
option,IRiskFreeInterestRateModel
riskFreeRateModel,*decimal
dividendYield,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()6/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (Symbol
option,IRiskFreeInterestRateModel
riskFreeRateModel,*decimal
dividendYield,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()7/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (string
name,Symbol
option,PyObject
riskFreeRateModel,*decimal
dividendYield,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()8/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (Symbol
option,PyObject
riskFreeRateModel,*decimal
dividendYield,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()9/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (string
name,Symbol
option,*decimal
riskFreeRate,*decimal
dividendYield,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
ImpliedVolatility()10/10
ImpliedVolatility QuantConnect.Indicators.ImpliedVolatility (Symbol
option,*decimal
riskFreeRate,*decimal
dividendYield,*Symbol
mirrorOption,*OptionPricingModelType
optionModel,*int
period )
Initializes a new instance of the ImpliedVolatility class.
Visualization
The following image shows plot values of selected properties of ImpliedVolatility
using the plotly library.