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Now that support for Futures options has recently been added, I'd like to know when support for Index options, in particular VIX and SPX, will be available ?
The reasons are as follows:
a) The Index option markets are the most liquid options markets, and in particular, SPX options drive order flow via institutional scale trading and hedging.
b) VIX index options provide the ability to efficiently hedge risk, without having to use VIX and Vol futures tracking equity ETF/ETNs, which have inherent issues.
c) If QuantConnect wants its users to create high quality strategies applicable for use by hedge funds, then I'd suggest that Index options are critical for this, in particular for liquidity, scale and hedging.
Many Thanks,
Ern.
Jared Broad
Hi Ernest, we have a sponsor for this now, and it's scheduled for Jan-Feb 2021 assuming we can find a reasonable price data supplier. We are looking for a source for the index+index option data now. First, we'll add the underlying cash index as an untradable asset and then add the tradable index options on top of it.
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Ernest Shaggleford
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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