Option Portfolio Data, Implied Volatility, and Greek Exposure

Summary

This document describes data structures for tracking option contracts, underlying instruments, and option chains in a portfolio. It updates positions from trades and holdings, derives mid prices from top of book quotes, and connects options with pricing functions for prices, implied volatility, and Greeks. Option implied volatility is calculated from bid and ask prices using the underlying price, strike, interest rate, time to expiry, and option type; midpoint volatility then feeds cash Greek estimates.

The code also aggregates position value and delta, gamma, theta, and vega at option and chain levels, while tracking underlying exposure separately. It includes adjustments for inverse crypto options and maps several option chains to their underlying symbols. These mechanics are useful for exposure monitoring and option analytics, but the document is implementation code rather than a trading strategy or empirical study. Results depend on the supplied pricing model and market data, and the excerpt does not explain model assumptions, validate calculations, or address stale quotes and missing data beyond basic guards.

Key ideas

• Option implied volatility is estimated separately from bid and ask quotes using contract and underlying inputs.
• Midpoint implied volatility is used to calculate cash Greeks and position-level exposures.
• Portfolio structures aggregate option and underlying positions across chains.
• Inverse crypto options receive special price, Greek, and time-to-expiry adjustments.
• The excerpt specifies data handling but provides no backtest or evidence that the analytics predict returns.

Tags

From a private course collection; the original is not published.