SEATTLE--(BUSINESS WIRE)--Open-source, algorithmic trading pioneer QuantConnect has enhanced its platform with index options and a new options margin model. These additions allow QuantConnect’s community to deploy the most popular options strategies on SPX (S&P 500), NDX (Nasdaq 100), and VX (the Cboe Volatility Index or VIX) and backtest hedged option strategies. Now individual option contract positions are pattern matched at runtime to the combination of option contracts with the lowest margin requirement. This dynamic, real-time margin solver works with Equity, Index, and Future Option Contracts.
To deliver these advanced features, QuantConnect collaborated with Simplify ETFs—an innovator in options-based ETF strategies and a Keystone project sponsor. "The ability to test and deploy more complex option strategies is a welcome step forward for QuantConnect's community,” said David Berns, Co-Founder and CIO of Simplify ETFs. “We're excited to leverage this new feature in our R&D process, as we believe more nuanced option strategies will to gain traction in the algo and ETF space."
As opposed to options on equities and ETFs, which trade on multiple options exchanges, index options listings are proprietary and based upon licensing agreements with index providers. Moreover, index options are an incredibly liquid instrument. Historically, these instruments have been tools for larger-scale, institutional players—pensions, endowments, prop trading firms, and hedge funds—because index options’ notional values are greater than those of most single stocks and ETFs. Plus, index options offer the ability to hedge or gain significant exposure to the underlying, be it the volatility, Nasdaq 100, or S&P 500. With their extensive expiries and strikes, index options allow quants to implement strategies with a degree of sophistication not available with other trading vehicles.
“Giving the quant community the ability to trade more complex options with realistic strategy margin usage was a priority for us in 2021,” said Jared Broad, QuantConnect CEO. “We’re committed to opening the world of institutional finance to everyone, so we’re eager to see how our community utilizes these new instruments to find alpha.”
QuantConnect is the pioneer in open access to quantitative trading. The company’s state-of-the-art trading platform and open-source algorithmic trading engine, LEAN, level the playing field for investors with cutting-edge technology. Since its founding, QuantConnect’s global community of 170,000 quants has designed more than six million algorithms. www.quantconnect.com