Value of Greeks.Delta is always 0

Added     

self.SetWarmUp(timedelta(10)) 

and  

        if(self.IsWarmingUp):
            return

statements, still values of Greeeks.Delta is 0.

Hi Valery, before getting the greeks and volatility, you need to add the pricing model. 

from QuantConnect.Securities.Option import OptionPriceModels
def Initialize(self):
option = self.AddOption()
option.PriceModel = OptionPriceModels.CrankNicolsonFD()

Check this page for the available pricing models 

You can also check this sample algorithm

I'm also having an issue with the greeks always being zero. I added the equity, added the options, added the pricing model and given 10 days of warmup. Still no greeks and I'm out of ideas.

Also, I don't understand why the greeks even need warmup. The greeks should not need historical data to calculate.

I've attached my backtest. At this point, it does not trade but it filters the options and gets the greeks.

Any help would be appreciated!

HI GregasMaximus,

There are no options in your chain because your expiration filter does not allow any contracts into the chain. The expiration filter is set to

instead set it to something like

You will also need to warm up your algorithm for longer period. Right now you are warming up for 10 minutes, instead let's warm up for 30 days because the default underlying volatility model requires 30 data points to be warmed up

Check out the options template algorithm on the Lean repository as an example.

Best
Rahul