Takes inputs = stock price, strike price, risk free rate, time period/252, pls help thanks...
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This one was a lot of fun for me as I've been wanting to work with option prices for a while now. It takes in Bitcoin prices and the risk-free rate which you can alter yourself just change call option price bitcoin column name and simulates what an at-the-money call option price should be using the Black Scholes model. Some quick rules about option prices:. There is some ambiguity over which time horizon and volatility to use but I've chosen to call option price bitcoin a 30 day call option price bitcoin deviation annualized for the volatility, a 30 day time horizon, and a 12 month risk-free rate but it's really up to your discretion.
The next step would be to include a put-call ratio in this, but let's see if someone else wants to give that a stab! 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 Quantopian.
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Try again or contact us by sending feedback. Some quick rules about option prices: The longer the time horizon the higher the option price The higher the volatility the higher the option price The higher the spread between the strike and stock price the higher the call option price and vice versa for put options There is some ambiguity over which time horizon and volatility to use but I've chosen to use a 30 day standard deviation annualized for the volatility, a 30 day time horizon, and a 12 month risk-free rate but it's really up to your discretion.
Suggestions for improvement always welcomed as well as any questions about the algo in general. There was an error loading this backtest. Backtest from to with initial capital. Returns 1 Month 3 Month 6 Month 12 Month. Alpha 1 Month 3 Month 6 Month 12 Month.
Call option price bitcoin 1 Month 3 Month 6 Month 12 Month. Sharpe 1 Month 3 Month 6 Month 12 Month. Sortino 1 Month 3 Month 6 Month 12 Month. Volatility 1 Month 3 Month 6 Month 12 Month. This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester.
Learn more about the recent changes. Sorry for the inconvenience. Try using the built-in debugger to analyze your code. If you would like help, send us an email. Added the price of a put option using the put-call parity. Good sanity check that the call is higher than the put -Seong.
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