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Has anyone seen an issue where the backtest start date affects the delta of retrieved options?
I'm opening BullPutSpreads using deltas --selecting the long strike that is closest to -10 delta, and for the short strike i pick the adjacent (next) strike up in the chain.
The problem is, depending on when my backtest start date, the strike deltas are different. Has anyone else experienced this?
Here's an excerpt from my logs that shows the discrepancy. I'm trading NVDA bull put spreads, and listing the positions that were opened: the +long and -short strikes, and their corresponding deltas.
I have two backtest logs with different values, the only thing changed is the backtest start date.
Derek Melchin
Hi .ekz.,
We can receive different greek values for the same date across two backtests if the option pricing model isn't fully warmed up in both backtests. For instance, in the attached backtest, if we use
the delta value printed is 0.556182234421042. However, if we use
the delta value printed is 0.549129195386529.
See the attached backtest for reference. If this doesn't solve the issue you're facing, please attach a backtest so we can reproduce the problem. Note that we set the VolatilityModel under the hood when `AddOption` is called in Initialize.
Best,
Derek Melchin
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.ekz.
Thanks Derek,
What is the recommended warmup period?
.ekz.
Following up here. You didnt explicitly state it, but I'm inferring from your comment, that my warm up period should match the volatility model setting, which seems to be 30 days(?) Will try that.
( i had warmup set to 3 days )
Varad Kabade
Hi .ekz.,
Yes, the warm-up period should match (or be higher to) the volatility model setting.
Best,
Varad Kabade
.ekz.
Got it, thanks. Closing this out now.
.ekz.
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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