In this project, I'll be developing scripts that can be used for performing analysis on options for spreading/hedging strategies.
The objective is to build tools to draw plots so that we can better visualize risk parameters associated with options.
In this repository:
Strategy builders:
| Section | File (Link) | Remarks |
|---|---|---|
| Strategy builder | Short Strangle | Short strangle. Selling calls and puts at a 1:1 ratio. |
| " | Long Butterfly | Long Butterfly is similar to a Short Strangle but it has protection against the downsides. |
Building blocks:
| Section | File (Link) | Remarks |
|---|---|---|
| Black Scholes Model (BSM) | BSM Part 1 | Options screening. Criteria (A) strike price is within a reasonable range, and (B) sorting down output according to theoretical edge values. |
| " | BSM Part 2 | Implementation of data structures for storing Contracts, Legs, and Positions. |
| Implied volatility studies | Volatility_Surface | Observing volatility smiles. |