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Hello,
I would like to screen US market options based on Greeks but I'm not sure I understand the documentation or the forum posts.
Would there be a example of a selection of a contract among all US options filtered by price, expiry date and delta?
Thanks in advance
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Louis Szeto
Hi Moufles
We'll need to subscribe to all Option Contracts to be filtered (or using AddOption), as well as setting up an Option Pricing Model and the underlying asset's Volatility model to calculate Greeks for each contract before filtering. Please find this thread as an example.
Best
Louis
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.
Moufles
Hello,
Thanks for your answer. If I understand well, the example is for one equity only (SPY) but how can I do the same for several (or all US options)?
Louis Szeto
Hi Moufles
You may add equities/universe in the intialize method, then add their options when they're being added into the universe:
The slice.OptionChains in OnData handler is a dictionary with all symbol-option chain pairs. Simply use a for-loop to iterate through it.
Best
Louis
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.
Moufles
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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