Implied Volatility indicator that calculate the IV of an option using Black-Scholes Model More...

Inheritance diagram for QuantConnect.Indicators.ImpliedVolatility:

Public Member Functions
	ImpliedVolatility (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252)
	Initializes a new instance of the ImpliedVolatility class More...

void	SetSmoothingFunction (Func< decimal, decimal, decimal > function)
	Set the smoothing function of IV, using both call and put IV value More...

void	SetSmoothingFunction (PyObject function)
	Set the smoothing function of IV, using both call and put IV value More...

override void	Reset ()
	Resets this indicator and all sub-indicators More...

Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
override void	Reset ()
	Resets this indicator and all sub-indicators More...

Public Attributes
override bool	IsReady => UseMirrorContract ? _isReady && Price.Current.Time == OppositePrice.Current.Time && OppositePrice.IsReady : _isReady
	Gets a flag indicating when this indicator is ready and fully initialized More...

Public Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
DateTime	Expiry => _optionSymbol.ID.Date
	Gets the expiration time of the option More...

OptionRight	Right => _optionSymbol.ID.OptionRight
	Gets the option right (call/put) of the option More...

decimal	Strike => _optionSymbol.ID.StrikePrice
	Gets the strike price of the option More...

OptionStyle	Style => _optionSymbol.ID.OptionStyle
	Gets the option style (European/American) of the option More...

bool	UseMirrorContract => _oppositeOptionSymbol != null
	Flag if mirror option is implemented for parity type calculation More...

Protected Member Functions
override decimal	ComputeNextValue (IndicatorDataPoint input)
	Computes the next value More...

virtual decimal	CalculateIV (decimal timeTillExpiry)
	Computes the IV of the option More...

Protected Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
	OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=2)
	Initializes a new instance of the OptionIndicatorBase class More...

Properties
IndicatorBase< IndicatorDataPoint >	HistoricalVolatility `[get]`
	Gets the historical volatility of the underlying More...

Properties inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol	_oppositeOptionSymbol `[get]`
	Mirror option symbol (by option right), for implied volatility More...

Identity	RiskFreeRate `[get, set]`
	Risk Free Rate More...

Identity	DividendYield `[get, set]`
	Dividend Yield More...

IndicatorBase< IndicatorDataPoint >	Price `[get]`
	Gets the option price level More...

IndicatorBase< IndicatorDataPoint >	OppositePrice `[get]`
	Gets the mirror option price level, for implied volatility More...

IndicatorBase< IndicatorDataPoint >	UnderlyingPrice `[get]`
	Gets the underlying's price level More...

int	WarmUpPeriod `[get, set]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Additional Inherited Members
Protected Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
readonly Symbol	_optionSymbol
	Option's symbol object More...

Symbol	_underlyingSymbol => _optionSymbol.Underlying
	Underlying security's symbol object More...

OptionPricingModelType	_optionModel
	Option pricing model used to calculate indicator More...

readonly IRiskFreeInterestRateModel	_riskFreeInterestRateModel
	Risk-free rate model More...

readonly IDividendYieldModel	_dividendYieldModel
	Dividend yield model, for continuous dividend yield More...

Detailed Description

Implied Volatility indicator that calculate the IV of an option using Black-Scholes Model

Definition at line 30 of file ImpliedVolatility.cs.

Constructor & Destructor Documentation

◆ ImpliedVolatility() [1/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	string	name,
		Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		IDividendYieldModel	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 52 of file ImpliedVolatility.cs.

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◆ ImpliedVolatility() [2/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		IDividendYieldModel	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 100 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [3/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	string	name,
		Symbol	option,
		PyObject	riskFreeRateModel,
		PyObject	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 117 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [4/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	Symbol	option,
		PyObject	riskFreeRateModel,
		PyObject	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 133 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [5/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	string	name,
		Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 150 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [6/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 165 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [7/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	string	name,
		Symbol	option,
		PyObject	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 182 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [8/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	Symbol	option,
		PyObject	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 198 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [9/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	string	name,
		Symbol	option,
		decimal	riskFreeRate = `0.05m`,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRate	Risk-free rate, as a constant
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 215 of file ImpliedVolatility.cs.

◆ ImpliedVolatility() [10/10]

QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility	(	Symbol	option,
		decimal	riskFreeRate = `0.05m`,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		int	period = `252`
	)

Initializes a new instance of the ImpliedVolatility class

Parameters

option	The option to be tracked
riskFreeRate	Risk-free rate, as a constant
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 230 of file ImpliedVolatility.cs.

Member Function Documentation

◆ SetSmoothingFunction() [1/2]

void QuantConnect.Indicators.ImpliedVolatility.SetSmoothingFunction ( Func< decimal, decimal, decimal > function )

Set the smoothing function of IV, using both call and put IV value

Parameters

function the smoothing function

Definition at line 241 of file ImpliedVolatility.cs.

◆ SetSmoothingFunction() [2/2]

void QuantConnect.Indicators.ImpliedVolatility.SetSmoothingFunction ( PyObject function )

Set the smoothing function of IV, using both call and put IV value

Parameters

function the smoothing function

Definition at line 250 of file ImpliedVolatility.cs.

◆ ComputeNextValue()

override decimal QuantConnect.Indicators.ImpliedVolatility.ComputeNextValue ( IndicatorDataPoint input )

protected

Computes the next value

Parameters

input The input given to the indicator

Returns: The input is returned unmodified.

Definition at line 267 of file ImpliedVolatility.cs.

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◆ CalculateIV()

virtual decimal QuantConnect.Indicators.ImpliedVolatility.CalculateIV ( decimal timeTillExpiry )

protectedvirtual

Computes the IV of the option

Parameters

timeTillExpiry the time until expiration in years

Returns: Smoothened IV of the option

Definition at line 330 of file ImpliedVolatility.cs.

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◆ Reset()

override void QuantConnect.Indicators.ImpliedVolatility.Reset ( )

Resets this indicator and all sub-indicators

Definition at line 367 of file ImpliedVolatility.cs.

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Member Data Documentation

◆ IsReady

override bool QuantConnect.Indicators.ImpliedVolatility.IsReady => UseMirrorContract ? _isReady && Price.Current.Time == OppositePrice.Current.Time && OppositePrice.IsReady : _isReady

Gets a flag indicating when this indicator is ready and fully initialized

Definition at line 260 of file ImpliedVolatility.cs.

Property Documentation

◆ HistoricalVolatility

IndicatorBase<IndicatorDataPoint> QuantConnect.Indicators.ImpliedVolatility.HistoricalVolatility

get

Gets the historical volatility of the underlying

Definition at line 40 of file ImpliedVolatility.cs.

The documentation for this class was generated from the following file:

Indicators/ImpliedVolatility.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ImpliedVolatility() [1/10]

◆ ImpliedVolatility() [2/10]

◆ ImpliedVolatility() [3/10]

◆ ImpliedVolatility() [4/10]

◆ ImpliedVolatility() [5/10]

◆ ImpliedVolatility() [6/10]

◆ ImpliedVolatility() [7/10]

◆ ImpliedVolatility() [8/10]

◆ ImpliedVolatility() [9/10]

◆ ImpliedVolatility() [10/10]

Member Function Documentation

◆ SetSmoothingFunction() [1/2]

◆ SetSmoothingFunction() [2/2]

◆ ComputeNextValue()

◆ CalculateIV()

◆ Reset()

Member Data Documentation

◆ IsReady

Property Documentation

◆ HistoricalVolatility