Category: Execution Strategy (SIMULATE)
Constructs calendar spreads by finding options at the same strike with different expiries. Computes theoretical edge from vol differential and time decay.
- Fetches the full option chain via
get_option_chain. - Groups contracts by (strike, call/put type).
- For each group with multiple expiries, compares implied vols.
- Ranks opportunities by annualised edge from vol spread.
- Offers interactive execution: sell near-term, buy longer-term.
python3 main.py --stock HK.00700
python3 main.py --stock HK.00700 --strike-offset 0.02get_option_chainwith pagination- Black-Scholes implied vol via Newton-Raphson
- Calendar spread opportunity identification
- Interactive trade execution on SIMULATE
- Multi-leg order placement
| Flag | Default | Description |
|---|---|---|
--stock |
HK.00700 |
Underlying stock |
--strike-offset |
0.0 |
Strike offset from ATM (as fraction) |
--max-minutes |
10 |
Safety timeout |