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I think Implied Volatility of a security (usually 30 days) is a common indicator. Does this function already exist? otherwise that would be great if someone could share a verified function for calculating implied Volatility of a security. I am new here and I am not sure how I can verify if I write it myself.
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Hi Nick,
We offer Implied Volatility as a property of option contracts. You could simply access by your_option_contract.ImpliedVolatility. For an example with code snippet, please refer to here. I’ve also attached a backtest to show all the properties we offer for option contract.
Notice that you may also use different option pricing model. Hope it helps!
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Hi Link,
Thanks for your comment. I am looking for a strategy that is similar to calculating VIX. VIX is calculated using a Variance Swap formula which directly derives variance from the whole set of prices of options with the same time to expiration.
Specifically, the VIX is the square root of the annualized forward price of the 30-day variance of the S&P 500 return. This forward price is based on the replication of total variance by a portfolio of options delta-hedged with stock index futures.
But in this case I don't want to calculate VIX, I want to calculate the 1-month implied volatility for another security.
Sharing a code or lib that calculates VIX using this method (or any other implied vlatility this way) would also be very helpful.
Thanks
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Hi Nick.
You can specify what pricing model to use to calculate implied volatility. One of these available pricing models might be a good approximation to what you're trying to achieve.
For example, to use a particular pricing model like the Crank Nicolson Finite Difference method:
# Add OptionPriceModels
from QuantConnect.Securities.Option import OptionPriceModels
# In Initialize()
option.PriceModel = OptionPriceModels.CrankNicolsonFD()The source code for all available pricing models is available on GitHub in the LEAN repository. Check out the documentation section on QuantConnect Options API for more information.
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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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