OptionSynthetic (Wealth-Lab Framework)

OptionSynthetic is a static class with methods to obtain the calculated BarHistory of a synthetic option contract as well as OptionGreek calculations using the Black-Scholes model. An estimate of implied volatility is required as an input. The calculations are only truly representative of actual option pricing if the implied volatility is known.

OptionSynthetic is useful for devoloping strategies that trade options.

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript6
{
	public class OptionSyntheticGreeks : UserStrategyBase
	{
		public override void Initialize(BarHistory bars)
		{
			//estimate a varying IV using a factor of HV
			TimeSeries iv = HV.Series(bars.Close, 21, 5) / 10d;

			string symbol = OptionSynthetic.GetOptionsSymbol(bars, OptionType.Call, bars.Close.LastValue, bars.DateTimes[bars.Count - 1], 3);
			_osyn = OptionSynthetic.GetHistory(bars, symbol, iv);
			PlotBarHistory(_osyn, "OSYN", WLColor.Cyan);

			// greeks at the last bar
			OptionGreek og = OptionSynthetic.GetGreeks(bars, bars.Count - 1, symbol, iv.LastValue);
			DrawHeaderText(og.Symbol + ": " + og.OptionPrice.ToString("$0.00"), WLColor.Cyan, 12, "OSYN");
			DrawHeaderText("Delta: " + og.Delta.ToString("N2"), WLColor.Cyan, 12, "OSYN");
			DrawHeaderText("Theta: " + og.Theta.ToString("N2"), WLColor.Cyan, 12, "OSYN");
			DrawHeaderText("Gamma: " + og.Gamma.ToString("N2"), WLColor.Cyan, 12, "OSYN");
			DrawHeaderText("Vega: " + og.Vega.ToString("N2"), WLColor.Cyan, 12, "OSYN");
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		public override void Execute(BarHistory bars, int idx)
		{ }

		BarHistory _osyn;       // the option's BarHistory
	}
}

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript6 
{
	public class SyntheticOptionBars : UserStrategyBase
	{
		public override void Initialize(BarHistory bars)
		{			
			// get the symbol for the Put with the closest strike to the last chart value
			string symbol = OptionSynthetic.GetOptionsSymbol(bars, OptionType.Put, bars.Close.LastValue, bars.DateTimes[bars.Count - 1], 3);
			
			// get the synthetic history and plot it
			_osyn = OptionSynthetic.GetHistory(bars, symbol, 0.4);
			PlotBarHistory(_osyn, "OSYN", WLColor.LightCyan);
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		public override void Execute(BarHistory bars, int idx)
		{ }

		BarHistory _osyn;      // the option's BarHistory
	}
}

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript5 
{
    public class SyntheticOptionSymbol : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
			double price = bars.Close[bars.Count - 1];
			DateTime currentDate = bars.DateTimes[bars.Count - 1];
			int minDaysToExpiry = 0;
			bool weeklies = false;
			bool closestStrike = true;
			bool allowExpired = true;
			string optSym = OptionSynthetic.GetOptionsSymbol(bars, OptionType.Call, price, currentDate, minDaysToExpiry, weeklies, allowExpired, closestStrike);
			DrawHeaderText("ATM Call: " + optSym, WLColor.NeonGreen, 14);

        }

        public override void Execute(BarHistory bars, int idx)
        { }
		
    }
}

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript6 
{
	public class SyntheticOptionSymbol : UserStrategyBase
	{
		public override void Initialize(BarHistory bars)
		{			
			//a $5 strike 
			double strike = Math.Floor(bars.LastValue / 5) * 5;
			DateTime expiry = bars.DateTimes[bars.Count - 1].AddDays(3).NextOptionExpiryDate(bars); 
			string symbol = OptionSynthetic.Symbol(bars, OptionType.Call, strike, expiry);
			
			//show the symbol
			DrawHeaderText(symbol, WLColor.Gold, 12, "Price");
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		public override void Execute(BarHistory bars, int idx)
		{ }
	}
}