OptionSynthetic (Wealth-Lab Framework)

OptionSynthetic is a static utility class that generates synthetic option symbols and calculated option price histories. It also provides methods for calculating option prices and Greeks using the Black-Scholes model. Synthetic option calculations require an estimate of implied volatility (IV). The resulting prices and Greeks will only approximate actual option values to the extent that the supplied IV accurately represents the option's implied volatility. OptionSynthetic is particularly useful when developing and backtesting option trading strategies when historical option contracts or option chains are not available.

using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Data;
namespace WealthScript
{
    public class MyStrategy : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            double iv = 0.25;
            DateTime exDate = bars.NextOptionExpiryDate(bars.Count - 1);
            //ATM call for next monthly expiration
            string atmCall = OptionSynthetic.GetOptionsSymbol(
                bars, OptionType.Call, bars.LastValue, bars.EndDate, 1);
            //calculate its value with the stock 10% higher,
            //one week before expiration
            double stkPrice = bars.LastValue * 1.1;
            double optionPrice = OptionSynthetic.CalculateOptionPrice(
                atmCall, iv, stkPrice, exDate.AddDays(-7));
            DrawHeaderText(
                $"{atmCall} value on {exDate.AddDays(-7):yyyy-MM-dd}",
                WLColor.NeonGreen, 14);
            DrawHeaderText(
                $"for {bars.Symbol} at {stkPrice:N2} is {optionPrice:N2}",
                WLColor.NeonGreen, 14);
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
    }
}

using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
namespace WealthScript
{
    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, 89, 144) / 100d;
            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");
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
        private BarHistory _osyn;
    }
}

using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Data;
namespace WealthScript
{
    public class SyntheticOptionBars : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            //get 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);
            //create and plot the synthetic option history
            _osyn = OptionSynthetic.GetHistory(bars, symbol, 0.2);
            PlotBarHistory(_osyn, "OSYN", WLColor.LightCyan);
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
        private BarHistory _osyn;
    }
}

using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Data;
namespace WealthScript
{
    public class SyntheticOptionSymbol : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            double price = bars.Close[bars.Count - 1];
            DateTime currentDate = bars.DateTimes[bars.Count - 1];
            string optSym = OptionSynthetic.GetOptionsSymbol(
                bars,
                OptionType.Call,
                price,
                currentDate,
                minDaysAhead: 0,
                useWeeklies: false,
                allowExpired: true,
                closestStrike: true);
            DrawHeaderText("ATM Call: " + optSym, WLColor.NeonGreen, 14);
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
    }
}

![underlier]yyMMdd[C/P][strike]

!SPY260918C650

using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Data;
namespace WealthScript
{
    public class SyntheticOptionSymbol : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            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);
            DrawHeaderText(symbol, WLColor.Gold, 12, "Price");
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
    }
}