QuantConnect Launches Index Options and New Option Margin Model | Business


SEATTLE – (BUSINESS WIRE) – Sep 21, 2021–

Open source algorithmic trading pioneer QuantConnect has enhanced its platform with index options and a new option margin model. These additions allow the QuantConnect 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 to backtest the covered options strategies. Now, individual positions of option contracts are matched at run time to the combination of options contracts with the lowest margin requirement. This real-time dynamic margin solver works with stock, index and futures options contracts.

To provide these advanced features, QuantConnect has collaborated with Simplify ETFs, an innovator in option-based ETF strategies and a Keystone project sponsor. “The ability to test and deploy more complex options strategies is a welcome advancement for the QuantConnect community,” said David Berns, Co-Founder and CIO of Simplify ETF. “We are excited to take advantage of this new functionality in our R&D process, as we believe more nuanced options strategies will gain traction in the algo and ETF space. “

Unlike stock options and ETFs, which trade on multiple option exchanges, index option listings are proprietary and based on licensing agreements with index providers. In addition, index options are an incredibly liquid instrument. Historically, these instruments have been tools for larger-scale institutional players – pensions, endowments, ancillary trading companies and hedge funds – because the notional values ​​of index options are higher than those of most markets. stocks and ETFs. In addition, index options offer the possibility of hedging or gaining significant exposure to the underlying, be it volatility, the Nasdaq 100 or the S&P 500. With their expiry dates and strike prices, index options allow quants to implement strategies with a degree of sophistication not available. with other commercial vehicles.

“Giving the quantum community the ability to trade more complex options with realistic use of strategic margin was a priority for us in 2021,” said Jared Broad, CEO of QuantConnect. “We are committed to opening up the world of institutional finance to everyone, so we can’t wait to see how our community uses these new instruments to find alpha. “

About QuantConnect

QuantConnect is the pioneer of open access to quantitative trading. The company’s cutting-edge trading platform and open-source algorithmic trading engine, LEAN, level the playing field for investors with cutting-edge technology. Since its inception, QuantConnect’s global community of 170,000 quants has designed more than six million algorithms. www.quantconnect.com

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SOURCE: QuantConnect

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PUB: 09/21/2021 13:36 / DISC: 09/21/2021 13:36


Copyright Business Wire 2021.


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