Option-research

Analyze multiple trading strategies on options.

Installation

pip install -r requirements.txt

Path generation:

This command will generate paths for the simulation into runGen folder. For more information run this command with --help argument.

python3 generateRuns.py --saveDir <output_path> -p <num_path> --pricesFile Gemini_ETHUSD1h_unixFix.csv

<output_path>: directory where your run generations will be stored (generateRuns) already exists as a default <num_paths> : number of paths you wish to generate for your simulation runs This will generate <num_path>.pickle file.

Simulate strategy

Now, we can run the strategy simulation on the generated paths: For more information run this command with --help argument.

Default strategy (Without hedging strategy)

python3 runStrategy.py -m 1.0 0.5  -s 0.8 1.0  -c 2 --saveDir <outputFolder> -r <num_path>.pickle --strategy AbstractStrategy --ivc 0.05 --initPrice 2000 --calls

Hedging strategy

python3 runStrategy.py -m 1.0 0.5  -s 0.8 1.0  -c 2 --saveDir <outputFolder> -r <num_path>.pickle --strategy DeltaIntervalHedgeStrategy --ivc 0.05 --initPrice 2000 --calls  --strategyArgs 1:h " -0.4:float" " -0.5:float"

Strategies

AbstractStrategy

This strategy does not apply any hedging during the simulation.

DeltaIntervalHedgeStrategy

This strategy tries to keep the delta of the pool inside the given interval.

Example how to run:

python3 runStrategy.py -m 1.0  -s 0.8  -c 4 --saveDir runGen -r runGen/100.pickle --strategy DeltaIntervalHedgeStrategy --ivc 0.05 --initPrice 2000 --calls  --strategyArgs 1:h " -0.4:float" " -0.5:float"

DeltaNonPositiveHedgeStrategy

This strategy keeps delta negative only, but within defined range.

Example how to run:

python3 runStrategy.py -m 1.0  -s 0.8  -c 4 --saveDir runGen -r runGen/100.pickle --strategy DeltaNonPositiveHedgeStrategy --ivc 0.05 --initPrice 2000 --calls  --strategyArgs 1:h " -0.5:float" 

Output Files

• unStdPaths -> unstardatize distribution based on mu and sigma
• prices -> paths of prices
• dfs and pool_values: (contain information about run paths):
  • dfs
    • epoch_id: path id
    • market_index: current series of options
    • volume_buy: trade size calls in ETH, puts in USD
    • implied_vol: current IV
    • reserve_b: number of btokens
    • reserve_w: number of wtokens
    • underlying_price: current price of asset
    • theoretical_price: theoretical price of current option
    • strike: strike of current options
    • pool_position_delta: current total delta of pool
    • per_position_delta: current total delta of perpetuals
  • pool_values
    • date: current date
    • epoch_id: path id
    • pool_value_usd: current pool value in USD
    • pool_value: current pool value in underlying asset
    • hedge_value: hedge value in USD
    • settled_pool_value: pool_value after settlement of all contracts
    • buyerShare:
    • writerShare:
    • collateral_reserve: pool collateral reserve

Graph generation

You can generate graphs using the createGraphs.ipynb. Just edit parameters section with correct values.