ES futures, SPY options and SPY etf have same underlying risk. How do we use Portfolio object to get actual delta risk?
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ES futures, SPY options and SPY etf have same underlying risk. How do we use Portfolio object to get actual delta risk?
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Varad Kabade
Hi Alamak Joe,
Would you mind elaborating on what you mean by "actual delta risk"?
If we assume this is the delta in option greeks, please find more information and example on using them inside the algorithm in the following thread
best,
Varad Kabade
Alamak Joe
Say ES futures and SPY etf have correlation of almost 1 and underlying is the same stock basket. Is there a way to group them by risk.
Varad Kabade
Hi Alamak,
There is no built-in class or method to group securities by risk.
You can create a class where you can save a list of securities with the same risk profile and/or are highly correlated.
Best,
Varad Kabade
Alamak Joe
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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