public DeltaNeutral(IPAOption ipaOption, string underlying, double underlyingPrice)
{
IPAOption = ipaOption;
Portfolio.Add(new Position()
{
Instrument = underlying,
UnderlyingPrice = underlyingPrice,
Type = "Long Shares",
DeltaPct = 1.0,
Contracts = 500
});
}
static void Main(string[] _)
{
try
{
Log.Level = NLog.LogLevel.Debug;
// *************************************************
// Connect into the platform.
// *************************************************
Session = Configuration.Sessions.GetSession();
// Open the session
Session.Open();
// *************************************************
// Use Cases to demonstrate Delta Hedging
// *************************************************
// ******************************************
// Use Case 1 - Long Strangle
// ******************************************
Console.WriteLine("\n***************************\nStrategy: Long Strangle\n***************************");
// Step 1 - Retrieve our option chain.
// Criteria: ~7 Months out
// 50% Strike Around-The-Money
var chain = new OptionChain(Session);
var contracts = chain.GetContracts("0#AAPL*.U", 0.30, DateTime.Now.AddMonths(7));
Console.WriteLine($"\nRetrieved a total of {contracts.Count} contracts for the underlying {chain.Underlying} with the last trade at: {chain.UnderlyingPrice}\n");
// Step 2 - Price the options to retrieve delta
// - Buy ETI options
var etiContracts = new List <JObject>();
foreach (var contract in contracts)
{
etiContracts.Add(IPAOption.DefineETI(contract, "Buy"));
}
// Price our options based on our option chain and display
var ipaOption = new IPAOption(Session);
var options = ipaOption.PriceOptions(etiContracts);
OptionChain.DisplayOptionChain(options);
// ******************************************
// Use Case 2: Delta Neutral
// ******************************************
Console.WriteLine("\n***************************\nStrategy: Delta Neutral\n***************************");
// For simpliciy, I will use the underlying details used in Use Case 1.
string underlying = options[0]["UnderlyingRIC"].ToString();
string style = options[0]["ExerciseStyle"].ToString();
double underlyingPrice = options[0]["UnderlyingPrice"].ToObject <double>();
// Our initial position - long 500 shares
var dneutral = new DeltaNeutral(ipaOption, underlying, underlyingPrice);
dneutral.DisplayPortfolio();
// Add a new position to hedge my current position.
// I will write some call options, a little bit out-of-the money with an expiry date close to a year.
var strike = underlyingPrice * 1.075;
var daysToExpiry = 360;
dneutral.UpdatePortfolio(IPAOption.DefineOTC("tag1", "Sell", "CALL", underlying, underlyingPrice, strike, daysToExpiry, style, 0));
dneutral.DisplayPositions("The following strategy can be implemented:");
// After 60 days, let's look at our position again - price increase of 5% in this time period
underlyingPrice *= 1.05;
var daysInFuture = 60;
dneutral.ModelPosition("tag1", underlyingPrice, daysInFuture);
dneutral.DisplayPositions($"With a simulated price increase to {underlyingPrice} and {daysInFuture} days in the future:");
// Because we are no longer near delta neutral, I will sell some Put options with a strike 5% out-of-the money
strike = underlyingPrice * 0.95;
dneutral.UpdatePortfolio(IPAOption.DefineOTC("tag2", "Sell", "PUT", underlying, underlyingPrice, strike, daysToExpiry, style, daysInFuture));
dneutral.DisplayPositions("Adding a new position with a strike 5% out-of-the money:");
}
catch (Exception e)
{
Console.WriteLine($"\n**************\nFailed to execute: {e.Message}\n{e.InnerException}\n***************");
}
}
