I am new to quantconnect and trying to figure out how to back test options. One of the requirements that I have is to check for options contracts 1 standard deviation away from  ATM contract. Another is to check for option contracts that have a probability of 30% of being in the money. Usually I will be looking for a monthly contracts.

I have not found any API for determining the contracts that are one standard deviation away from the ATM contract. I'm assuming I will have to figure this out myself. But I'm not sure how to do this. I have looked around on the discussion forum but could not find anything. I was assuming that this would be a common enough requirement and that is why I was hoping that this may already be resolved within the quantconnect programming code.

Similarly, I was hoping that there would be an ability to find the option contract that have a probability of 30% of being in the money. Do I have to calculate these myself.
I did see a class OptionPriceModel but there is no documentation for that. I was hoping to leverage that code but cannot find it.

Please advise

Author

KG LLP

November 2018