Greeks with OptionChainProvider

Hi There,

You need to set the Price Model and also warm up the algorithm long enough for the Greeks to get calclulated.  Here's a thread that discusses:

 

Hi,

1. I've already set the Price Model and warming up period. However, my algorithm needs to rebalance each month, and I have to add and remove option contracts dynamically otherwise the backtest will be extremely slow. I'm not sure if I can still warm up the newly added options in the middle of the backtest.
2. The thread you shared is using AddOption method, but I'm currently using OptionChainProvider to fetch option data without add them into the universe. I've no idea how to get access to the Greeks this way.

Hi,
I have written an example that can be used as a starting point.
The basic components are:

1. Define a security initializer to set and warm up the underlying volatility model or set the option model
2. Call OptionChainProvider.GetOptionContractList and filter down the list in OnSecuritiesChanged. I created a separate method, CoarseContractSelection, because one may want to use it multiple times if the underlying prices move “too much”.
3. Check out that the Delta is not zero in OnData. It might be zero for some contracts by definition, since Delta measures how much an option's price can be expected to move for every $1 change in the price of the underlying security or index.

Best regards,
Alex

P.S.: I am using a universe of top 3 dollar volume, and the filter/selector gets about 50 contracts, so the algorithm is running about 150 securities, thus it's not fast.

Hi Alex,

Thank you for the sample, this is really helpful.

Best,

Urnotdhc