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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.
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