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I am currently computing the option implied volatility by averaging the IV of the 2 closest ATM call and put options (of let's say SPY). From that I compute the 365 day running IV rank: (currentIV - minIV) / (maxIV - minIV) * 100%.
This gives me a full year algorithm warm up period on minute data.
Since I guess creating an Alphi with 1 year warmup period is not done:
Is there a way to compute IV using History data?
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Bart van den Broek
Update: I just observed that OptionChains in the onData Slice are only available after the warmup period. So there is no way to properly initialize my algorithm at startup.
Derek Melchin
Hi Bart,
This is correct. It is not possible to retrieve options data while the algorithm IsWarmingUp. Some users create a workaround by storing historical IV values in the ObjectStore.
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.
Bart van den Broek
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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