Using option greeks to select option contracts to trade

Hi Ernest,

Here is my attempt to use Greeks with OptionChainProvider(). You could add the contract using symbol object first and get the Greeks value by calling the Greeks property of the OptionContract. I'm not sure how to use Greeks to select contracts, so I just Log the Greek value.

Hi Jing,
I appreciate your reply, but this method still has to subscribe to each optionContract to set a pricing model before being able to determine the greek values, so it looks like there's no other way to do this.

Also isn't a warmup period required of at least 2 days for the pricing models?

Although would this method be more efficient than the typical method of subscribing to the complete option chain and using universe SetFilter as the coarse filter, followed by the OnData slice extraction of the OptionChain and fine filter using the greek attributes?

For live trading, doesn't the broker feed for an options chain already contain the greek attributes, or is it still necessary to set a pricing model on an optionContract to calculate the greeks?

Ideally the OptionChainProvider would provide the greeks as member attributes to support selection using the greeks before having to subscribe to an optionContract.

Thanks,
Ern.

Hi Jing,

I've also found that the Greeks are not calculated correctly using this method. I logged Delta and Vega and Delta is always zero while Vega is sometimes non-zero.

In addition there doesn't seem to be a way to reduce the subscribed range of options contracts to say just the selected contract. There's no method to remove an option contract from subscription.

Thanks,
Ern.

Hi Ernest,

I also find this is not efficient. Subscribing to an optionContract will request the price data required to perform the Greeks calculation so it's not feasible to get the Greeks value first before adding the contract and set the pricing model. 

I agree WarmUp period is required for some pricing models to calculate the Greeks correctly.

If you are going to use Greeks or Implied Volatility in option algorithm, I suppose the combination of AddOption() and SetFilter() methods is more accurate and efficient. 

In live trading, the broker doesn't contain the greek attributes so the calculation is necessary for algorithms to get the Greeks value.

Jing - thankyou for the clarification.

Has the Greeks property been ommitted from the API documentation? Didn't find it under OptionContract...

Below an example of a delta-hedged straddle on the SPY (it is not polished, but it may be useful for some).

In a nutshell: 

• sell 1-month At-The-Money call and put options on the SPY, 
• delta-hedge once a day (if delta above a threshold), 
• close other option in case one is assigned (or both on their last trading day),
• Repeat.

Thank you for the example, Alex Muci. 

Rolf Widmer, please check out the docs, under Using Options Data, for the attributes of the options contracts where you can find the greeks. We are going to add information about each greek available.