---
title: "Key Concepts"
canonical: https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes/future-options/greeks-and-implied-volatility/key-concepts
markdown: https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes/future-options/greeks-and-implied-volatility/key-concepts.md
language: python
source: https://github.com/QuantConnect/Documentation/tree/master/03%20Writing%20Algorithms/03%20Securities/99%20Asset%20Classes/07%20Future%20Options/03%20Greeks%20and%20Implied%20Volatility/01%20Key%20Concepts
modified: 2026-10-31
index: https://www.quantconnect.com/llms.txt
---

# Key Concepts

[Documentation](https://www.quantconnect.com/docs/v2.md) > [Writing Algorithms](https://www.quantconnect.com/docs/v2/writing-algorithms.md) > Securities > [Asset Classes](https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes.md) > [Future Options](https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes/future-options.md) > [Greeks and Implied Volatility](https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes/future-options/greeks-and-implied-volatility.md) > Key Concepts

> Code examples are shown in Python. Append `?lang=csharp` to this URL for the C# version of this page.

## Introduction

LEAN provides multiple ways for you to get the Greeks and implied volatility (IV) of Option contracts. There is a [daily, pre-calculated dataset](https://www.quantconnect.com/datasets/quantconnect-us-equity-option-universe) based on the end of the previous trading day. There is also a stream of values that are calculated on-the-fly as your algorithm runs.

## Greeks on Universes

*This feature is coming soon for Future Options.*

## Greek History

*This feature is coming soon for Future Options.*

## Greeks on Data Events

The Greeks and IV values that you get from the current [Slice](https://www.quantconnect.com/docs/v2/writing-algorithms/key-concepts/time-modeling/timeslices.md) are from the [price model](https://www.quantconnect.com/docs/v2/writing-algorithms/reality-modeling/options-models/pricing.md) calculations. These values aren't the same as the values you get in the universe filter function.

```python
class BasicFutureOptionAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        self.settings.seed_initial_prices = True
        self.add_security_initializer(self._custom_security_initializer)
        self._future = self.add_future(
            Futures.Indices.SP_500_E_MINI,
            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
            contract_depth_offset=0
        )
        self._future.set_filter(0, 182)
        self.add_future_option(self._future.symbol, lambda universe: universe.strikes(-5, 5))

    def on_data(self, data):
        for chain in data.option_chains.values():
            for contract in chain:
                iv = contract.implied_volatility
                delta = contract.greeks.delta

    def _custom_security_initializer(self, security: Security) -> None:
        if security.type == SecurityType.FUTURE_OPTION:
            security.price_model = OptionPriceModels.binomial_cox_ross_rubinstein()
```

To view all the models LEAN supports, see [Supported Models](https://www.quantconnect.com/docs/v2/writing-algorithms/reality-modeling/options-models/pricing.md#08-Supported-Models).

## Greek Indicators

[Option indicators](https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes/future-options/greeks-and-implied-volatility/indicators.md) provide daily and intraday values for the Greeks and implied volatility of Future Option contracts.

## Examples

For detailed examples on using Option Greeks and Implied Volatility indicators in algorithm, you may refer to the [Greeks Indicators](https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes/future-options/greeks-and-implied-volatility/indicators.md) page examples.