Premiums for options at a given strike available only on one date

AI & Machine learning
1

Course Name: Options Volatility Trading: Concepts and Strategies, Capstone Project

We are trading a straddle at a given strike price but the data does not have the premiums for the options at the same strike price for other dates. How are we supposed to calculate the differences in premium if we only have the data for the premium when we open the position and not for when we close it? The solution uses the premiums of ATM options as closing prices, but I do not understand why.

2

Hello Ben,



You have pointed out an interesting observation. Let us get back to you.



Thanks.

3

Hi Rekhit, as I am looking to finish the project as soon as possible, is it possible for you to tell me where I can find the data required? Thanks.

4

Hello Ben, 



We have looked into your query and have updated the related files in the capstone project downloadable as you have pointed out. In the notebook in the same zip file, you can see that we have imported the file ''spx_eom_expiry_options_straddle_2015_2022.bz2" which contains the data of all the strike prices for a given day.



Hope this helps.