Value of Greeks.Delta is always 0

Value of Greeks.Delta is always 0.

See my backtest. 

Update Backtest





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

Update Backtest


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