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Option Pricing models executed in the Notebook environment

Hi,

I'm trying to plot the dynamics of changes in greeks and IVs for options contracts that have a known event (like earnings etc).  I can see how this would be done in a backtest but would like to have access to the data in the QuantBook Environment.

I can pull in the historical data for options via a call to QuantBook.GetOptionHistory, however this is, as it should be, only market data (bid-ask, high-low for given slice) . I now need to feed that data into a Pricing model, like the ones accessible via the static class OptionPriceModels.

I don't see any way to do this though. The OptionHistory class only contains Slices wrapped in a Pandas PyObject and I'm still missing a few inputs needed to invoke the Pricing models.

Does anyone know of any better way to get the options data processed by a pricing model? Perhaps something that would provide a priced list of OptionContract objects for a given time span?

 

 

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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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