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I'm adding options dynamically for a dynamic universe (I know this isn't suggested but I have it working for now), but the Greeks Delta is always zero and I don't understand why.
If the equities selected are a problem then how do I select equities which don't have a zero delta for options in their chain?
Ideally here I'm looking for equities with options with a delta and a volume.
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Derek Melchin
Hi Automation,
To calculate the Delta of options contracts, we need to ensure the volatility model of the underlying security is warmed up. Since this algorithm has a dynamic equities universe, we should add this warm-up inside a security initializer. For example:
Â
def CustomSecurityInitializer(self, security): security.SetDataNormalizationMode(DataNormalizationMode.Raw) if security.Type == SecurityType.Equity: security.VolatilityModel = StandardDeviationOfReturnsVolatilityModel(30) history = self.History(security.Symbol, 31, Resolution.Daily) if history.empty or 'close' not in history.columns: return for time, row in history.loc[security.Symbol].iterrows(): trade_bar = TradeBar(time, security.Symbol, row.open, row.high, row.low, row.close, row.volume) security.VolatilityModel.Update(security, trade_bar) elif security.Type == SecurityType.Option: security.PriceModel = OptionPriceModels.CrankNicolsonFD()See the attached backtest for reference.
Best,
Derek Melchin
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.
Automaton
Thank you for the reply. The issue appears to be that I am using Black Scholes and it can't calculate the greeks, as per this thread:
https://www.quantconnect.com/forum/discussion/8418/put-options-039-delta-is-wrongThank you.
Â
Automaton
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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