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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
Alexandre Catarino
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.
Enrico
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