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From what I have seen, the suggested method of creating options "universes" is to first select equities using the normal Universe models and then adding contracts on a OnSecuritiesChanged method.
Are there any ways (or near term plans) to create a universe selection model class which gets fed option contracts as the raw data for it's slices?
This would be extremely useful for strategies that focus on option securities as the main source of alpha (not as a hedge)
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Shile Wen
Hi Peter,
Please elaborate on what you would like to see for options.
Best,
Shile Wen
Peter Dimov
Hey Shile,
It would be great for options contracts to be treated as primary citizens in the universe models, a suggestion for how this could look would be:
Coarse Properties: [price, expiry, +-strike, implied vol, underlying_symbol_coarse_data...]
Fine Properties: [greeks, underlying_symbol_semi-fine_data]
In this sense, users would be able to create universes based on an options-focused strategy let's say for example deep out of the money with low implied vol.
Currently, you need to tailor equity selectors that guess for what type of company would have options with these characteristics - it makes strategies aimed at uncovering mispriced options more difficult to implement since the discovery process is a guess-game through equity data.
I realise this isn't an easy feat but I imagine it would make a worlds difference for people attempting to do the above.
Shile Wen
Hi Peter,
Thanks for the suggestion.
Best,
Shile Wen
Peter Dimov
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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