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Universe selection of stock by Implied volatility of their options

Hi, I am trying to make an Universe selection of the most liquid and traded stocks that have a certain criteria for ImpliedVolatility (for instance being below historical volatility).

I have difficulty though to get the option chain during this process since the slice.OptionChains.Count is always zero.

Has anyone had the same type of problem? Is there a more effcient way to get impliedVol and option price at a given time in a backtest?

Any suggestion ho to get an historical pattern of Impled volatility and option price for a given stock (or setof stocks)?

Thanks

Enrico

 

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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.


Hi Enrico ,

It is a little tricky because implied volatility is only evaluated after the options contracts are added to a universe. So you will need to create a Universe Selection Model that only selects equity. In the AlphaModel.OnSecuritiesChanged, a couple of options contracts can be added using the OptionChainProvider (only one if we are talking about ATM Implied Volatility). Finally, in AlphaModel.Update, you will be able to use the implied volatility to create the insights.

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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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0

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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