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The Delta data for SPY put options seems to be quite wrong. See these log outputs:
Notice how the delta for the call options looks normal, ranging from .97 to .04. But the put options for the same strikes are all around -.43 to -.48. These numbers can't be accurate given the last price ranges from .1 to 1.57.
here's my configuration for the option:
self.daily_option = self.AddOption("SPY", Resolution.Minute)
self.daily_option.SetFilter(lambda option_filter_universe: option_filter_universe.IncludeWeeklys().Expiration(0,0).Strikes(-5, 5))
I've checked several expirations in June and July 2023 and they all show this anomaly. Any ideas?
Louis Szeto
Hi Benjamin
The default option pricing model for American Option is the 1993 Bjerksund Stensland model (ref), which does not work well for American put options with discrete dividend. Our pricing models are implementing from QuantLib, so the 2002 updated version of the model that supports the function will not be supported in a close future. Also note that Barone-Adesi and Whaley Approximation would have similar issue.
For now, please use binomial tree or finite difference option pricing models like CrankNicolsonFD to bypass this issue. We will work on to change the default model to that as well.
Best
Louis
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Benjamin
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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