Options-trading

Here is a summary of the options webinar. I publish the webinar soon.

Meeting Summary for Options Backtesting and Trading with WealthLab

In this webinar, we highlighted many of the complexities of backtesting and auto-trading options that centered around the topics outlined below. Since expired contract data is not available (except for those contracts that are cached from WealthLab downloads), synthetic contracts are the best bet for a relatively accurate backtest, depending on trade time frame. For an accurate price level of synthetic contract series, the true IV (implied volatility) must be used.

During the discussion, streaming windows were busy Auto-Trading options contracts using a simple RSI oversold strategy based on the underlier’s price movement. Soon we’ll review and update the Options Blog, which is a good resource for code to backtest option strategies.

Summary of topics discussed...

• Option Contract Data
o historical trade data – often illiquid and not suitable for backtesting
o midpoint pricing - actual price, best for backtesting if available (IB only)
o synthetic contracts
 fast and most convenient for backtesting
 can be quite accurate, especially when IV is known...
 resource for daily historical data, included IV: https://historicaloptiondata.com

• Historical Provider methods that support options
o GetOptionsSymbol()
o GetGreeks()
o GetOptionChainSnapshot()
 Schwab – best in class, fast and up-to-the-second pricing
 IB – slow due to streaming requirements for each contract
 Tradier – fast, but only updated hourly

• WealthLab Options classes and methods
o OptionsHelper
 ConvertSymbol – turn convert contract symbology between different brokers and synthetics
 Symbol* methods to extract contract details from any symbol format
o OptionsSyntheticPriceAtDelta()
 estimate contract price at a specified delta
 use as the price parameter for GetOptionsSymbol