QuantConnect is committed to leveling the financial playing field for you. So we’re launching index options and a new options margin model. This allows you to employ the most popular options strategies on SPX (S&P 500), NDX (Nasdaq 100), and VX (the Cboe Volatility Index or VIX) and backtest hedged option strategies. Special shoutout to our Keystone sponsor, Simplify ETFs. This pioneer in options-based ETF strategies helped finance the index options project.

Simplify’s Co-Founder and CIO David Berns, Ph.D., praised the initiative, saying, “The ability to test and deploy more complex option strategies is a welcome step forward for QuantConnect’s community. We’re very excited to leverage this new feature in our R&D process, as we believe more nuanced option strategies will continue to gain traction in the algo and ETF space.”

As opposed to options on equities and ETFs, which trade on multiple options exchanges, index options listings are proprietary and based upon licensing agreements with index providers. Index options are an incredibly liquid instrument. Their higher volume and open interest ensure market participants can buy and sell easily. 

Historically, these instruments have been tools for larger-scale, institutional players—pensions, endowments, prop trading firms, and hedge funds—because index options’ notional values are greater than those of most single stocks and ETFs. Plus, index options offer the ability to hedge or gain significant exposure to the underlying, be it Volatility, the Nasdaq 100, or the S&P 500. Index options, with their extensive expiries and strikes, allow quants to implement and/or augment strategies with a degree of granularity and sophistication not available solely with other trading vehicles. 

QuantConnect invested significant resources in this project, which represents our ongoing commitment to empower our community with the tools of traditional finance. We’re excited to see how you utilize these new instruments to find alpha. And please—get in touch with us on Twitter and share your success stories! @QuantConnect

Not a QuantConnect subscriber? Until the end of September, we’re offering 30% off annual plans. Deal limited to first 100 customers.

And please check out Simplify!

Happy coding!