Tutorial Series
Introduction to Options
About
The goal of this series is to introduce options to those who are option novices and have basic knowledge of applied mathematics, statistics and financial markets. We will primarily talk about the fundamentals of options and cover topics such as what are options, key terms and concepts option traders need to be familiar with(exercise and assignment, The moneyness, Intrinsic and time value of options etc.) After knowing the basics of options, we will teach how to use QuantConnect API to conduct your options research with over 4000 underlying stock symbols.
The following few options tutorials were created to help you understand exactly how options are used as the investment and risk hedging tools. We will further discuss the pricing method of options like BSM model and Monte Carlo method. And then several metrics to gauge the options risks like the Greek letters, different kinds of volatilities used in options pricing and trading. At the end of some tutorials, we will apply the knowledge in that tutorial to demonstrate some simple algorithms developed with Python on Quantconnect attempting to help you gain an insight into options trading and learn more efficient API tools to better customize your own trading algorithms.
8 Tutorials
3 Backtests
65 Code Snippets
Tutorials
| 1 |
General Features of OptionsOptions Contracts The Value of Options Option Moneyness Option Exercise and Assignment Read Tutorial |
| 2 |
QuantConnect Option APIOption Data Access Option Contracts filtration Properties of Contracts Order Placement Read Tutorial |
| 3 |
Put-Call Parity and Arbitrage StrategiesOptions Payoff Put-Call Parity Synthetic Positions Arbitrage Strategy Read Tutorial |
| 4 |
Stochastic Processes and Monte Carlo MethodBrownian Motion Wiener Process Monte Carlo Simulation of Stock Price Monte Carlo Simulation of European Options Price Read Tutorial |
| 5 |
Options Pricing: Black Scholes Merton ModelDeterminants of Options Price Factors of BSM model Model Assumptions BSM pricing Formulas Read Tutorial |
| 6 |
The Greek LettersDelta (definition, impact factors, charts) Gamma (definition, impact factors, charts) Vega (definition, charts) Theta (definition, charts) Rho (definition, charts) Read Tutorial |
| 7 |
Historical Volatility and Implied VolatilityHistorical Volatility (Definition, Calculation) Implied Volatility(Definition, Calculation, affect factors) Volatility Smile Volatility Skew Read Tutorial |
| 8 |
Local Volatility and Stochastic VolatilityLocal Volatility (Definition, Calculation) Stochastic Volatility(Definition, Calculation) Read Tutorial |
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