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This code is a simple strategy available for Options which buys the option with farthest expiration and sells it when the exchange closes. Here are my quesations:
1. I was expecting to have one trade for every single day but this is not the case. Does it mean that there is no Option contact available for Google somedays?
2. Howcome the ImpliedVolitility is always zero?
3. When I run this algorithm, it is super slow. Which piece make it that slow?
4. If I change the dates to start from April 1st and end the test on June 1st, there will be no trade at all. Again, does it mean there is no Option Contact available over this period of time?
implied volitility
Jing Wu
Hi Mohamed,
Options data are not updating to recent days. At this time it is up to 02/29/2018. Please pick a backtest period prior to that date. You could check all the data available with the data explorer
https://www.quantconnect.com/data/tree
If you find the data issue and verify it via data explorer, you can submit the issue report on this page
https://www.quantconnect.com/data/issues/open
To use greeks value and implied volatility, you need to add a warm-up period and the option pricing model for calculation, please see this example
https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/BasicTemplateOptionsHistoryAlgorithm.py
Mohamed
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