Default rolling option strategies
Primer on default rolling option strategies available within the framework.
Introduction
The following default strategies are created using our Straddle
building block. They each have a strike of 0.5 delta, maturity of 3M and rolling frequency of 1M.
These default strategies can be imported via the following:
The easiest way to see which parameters are used is to look at the source code of any given default strategy. An example is shown below:
Default strategies list
The spx_index_3m_delta_hedged
method simply overlays a DeltaHedgingStrategy
building block over the spx_index_3m_delta
straddle default strategy.
Method | Underlying |
eurusd_3m_delta | EURUSD OTC Option Group |
gbpusd_3m_delta | GBPUSD OTC Option Group |
usdjpy_3m_delta | USDJPY OTC Option Group |
usdchf_3m_delta | USDCHF OTC Option Group |
spx_index_3m_delta | SPX INDEX OTC Option Group |
nky_index_3m_delta | NKY INDEX OTC Option Group |
sx5e_index_3m_delta | SX5E INDEX OTC Option Group |
co_comdty_3m | CO COMDTY OTC Option Group |
gc_comdty_3m | GC COMDTY OTC Option Group |
spx_index_3m_delta_hedged | SPX INDEX OTC Option Group |
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