VolatilityIndexOTCOptionsGroup

class sigtech.framework.instruments.option_groups.VolatilityIndexOTCOptionsGroup

Baseclasses: ETFOTCOptionsGroup

A class representing Volatility Index option groups.

get_option(option_type: str, strike: Union[float, str], start_date: date, maturity: Union[date, str], strike_type: str = 'Price', exercise_type='European', target_maturity_weekday: Optional[str] = None, is_imm_maturity: Optional[bool] = False, strike_date: Optional[Union[date, datetime]] = None, **kwargs)

The nearest option available for a given type of option, strike and start+maturity date.

Parameters:

• option_type – 'Call' or 'Put'.

• strike – Strike of option in either price, delta or premium terms, or relative terms, e.g. 'SPOT+5%' or 'FWD-3%'.

• start_date – Strike date of the option, unless strike_date is passed. Start of the history.

• maturity – Maturity date of the option or maturity tenor key such as '3M'.

• strike_type – 'Price', 'Delta', 'Spot', 'Premium' (defaults to price; not relevant if strike is relative).

• exercise_type – 'European' or 'American' (defaults to ‘European’).

• target_maturity_weekday – Weekday used for target maturity. If set to None, the maturity is adjusted just to the next business day (optional).

• is_imm_maturity – Flag for usage of IMM dates (optional).

• strike_date – Strike date of the option. If None (default), start_date is used (optional).

Returns:

The nearest option available given the inputs.