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How to get Greeks in live mode for options

Hi,

Can someone give me an example on how to get the greeks for options in live mode?

Thank you

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Hi Amy,

You can retrieve the greeks of any options contract by using the standard API, i.e.

// In Initialize()
var option = AddOption("GOOG");
// add the initial contract filter
option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));

// set the pricing model for Greeks and volatility
// find more pricing models https://www.quantconnect.com/lean/documentation/topic27704.html
option.PriceModel = OptionPriceModels.CrankNicolsonFD();



// In another algorithm method
// Given 'contract' is an OptionsContract, then you can access the greeks using these methods

contract.Greeks.Delta
contract.Greeks.Gamma
contract.Greeks.Vega
contract.Greeks.Rho
contract.Greeks.Theta

 

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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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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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