Advanced Options Volatility Trading: Strategies and Risk Management
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- Live Trading
- Learning Track
- Prerequisites
- Syllabus
- About author
- Testimonials
- Faqs
Live Trading
- Comprehend the foundational aspects of trading options volatility, the role of options pricing models, and the relationship between IV and the price of an option.
- Evaluate the concept of skew and mean-reversion in volatility. Calculate IV skew, IV rank, skew rank and delta neutral skew.
- Develop entry and exit trading signals by using volatility properties, using machine learning models or by exploiting volatility behaviour surrounding events such as FOMC meetings.
- Design and backtest options trading strategies, including straddles and calendar spreads. Analyse performance and conduct trade-wise analysis.
- Manage the risk of options portfolios using Greeks and implement risk management techniques, such as dollar-based risk management and delta hedging.

Skills Covered
Python
- Pandas
- NumPy
- Sklearn
- Talib
- Matplotlib
Concepts & Trading
- Delta-neutral Skew
- IV Rank and Skew Rank
- LSTM
- Options Portfolio Hedging
Options Strategies
- Calendar Spread
- Long/Short Straddle
- Delta Hedging
- Volatility around FOMC meetings

learning track 3
This course is a part of the Learning Track: Quantitative Trading in Futures and Options Markets
Course Fees
Full Learning Track
These courses are specially curated to help you with end-to-end learning of the subject.
Course Features
- Community
Faculty Support on Community
- Interactive Coding Exercises
Interactive Coding Practice
- Capstone Project
Capstone Project Using Real Market Data
- Trade & Learn Together
Trade and Learn Together
- Get Certified
Get Certified
Prerequisites
Fluency with Python, including Python libraries like Pandas, Numpy, and Matplotlib. Awareness of the basics of options, such as call and put options, option Greeks and a good understanding of financial markets. You can enrol for the ‘Python for Trading: Basic’ course on Quantra to attain a basic level of understanding of Python. You can also check our course on ‘Options Trading Strategies: Basics’ if you are not familiar with options.
Syllabus
- IntroductionThis section provides an overview of the course and outlines its contents. The interactive methods employed will help you grasp the concepts and address all your questions about options volatility trading. It details the course structure and the various teaching tools used, including videos, quizzes, coding exercises, and the capstone project.
- Overview of VolatilityIn this section, you will be taken through a brief overview of the concepts covered in the first part of the course along with some basic but essential concepts of volatility.Part Overview on Volatility and Its Properties2mVolatility2mWhat is Volatility?2mImplied Volatility2mHistorical vs Realised Volatility2m
Options Volatility
Here, you will be introduced to the fundamentals of trading options volatility. Upon completing this section, you will understand typical volatility behaviour and how options traders can exploit this behaviour.Why Trade Options Volatility?2mTrading Volatility Instead of Direction5mImplied Volatility vs Realised Volatility5mVolatility Characteristics5mMean Reversion of Volatility5mBehaviour of Volatility5mVolatility Around Events5mCharacteristics of Volatility2mVolatility and Returns5mVolatility and Mean Reversion5mVolatility and Volatility-of-Volatility5mPredicting Near-Future Volatility5mVolatility and Its Characteristics5mFAQs on Options Volatility2mAdditional Reading on Options Volatility2m- Sourcing DataData is an important part of options trading, as it provides the foundation for making informed decisions and executing strategies. In this section, you will learn about the data necessary for options trading. You will also learn how to source and store this data in a pickle file. Finally, you will be provided with a few sources to procure options data as well as data for other assets.Option Type and Applicability2mSourcing US Options Data2mHow to Use Jupyter Notebook?2m 5sWorking With Pickle File5mOptions Data Storing5mOther Assets Data5mData Vendors2mData Preprocessing2mIncorrect Values5mPre-Processing Data5m
- Options PricingDid you know that the Black-Scholes-Merton model, introduced in 1973, revolutionised financial markets by providing a systematic method to price European options? In this section, you will learn about the role of options pricing models and why traders use them. You will also gain an intuitive understanding of the Black-Scholes-Merton (BSM) model and its assumptions. Additionally, you'll explore some other models developed to address the limitations of the BSM model.Understanding Options Pricing2mRole of an Options Pricing Model5mStandard Normal Cumulative Distribution Function5mReason for Limited Gain5mVolatility and Options' Price5mDiscounted Value of the Strike Price5mAssumptions of BSM2mIdentify the Assumption5mExercising an Option5mVolatility Skew in an Options Pricing Model5mIdentify the Appropriate Factor5mIV Calculation5mCalculate Implied Volatility5mFAQs on Options Pricing2mAdditional Reading on Options Pricing2mTest on Options Volatility and Pricing12m
Volatility Skew
Volatility skew occurs because the implied volatility of out-of-the-money put options is more than out-of-the-money call options. Notice why implied volatility varies for options with different strike prices and plot the volatility skew.Why is Volatility Skewed?2mDifference Between Historical and Implied Volatility5mAssumption of Black Scholes Model5mImpact of 1987 Crash on Option Pricing5mPlotting the Volatility Surface2mVolatility Skew and Option Pricing5mSkew in Equity and Gold5mRepresentation of X Axis on Volatility Surface5mPlotting IV Surface5mATM Strike Price5mAnalysis of IV Skew5mGap in Skew Plot5m- Kinks in Volatility SurfaceThe volatility surface is not a smooth curve all the time. Discover how and why certain irregularities appear on the volatility surface and learn their implications for trading. Understand the limitations of the usage of kinks for creating a trading strategy.Kinks in the Volatility Surface2mConcept of Kinks5mAppearance of Kinks5mTrading Based on Kinks in Volatility Skew2mIdentification of Kinks5mAction Based on Kinks5mInability of Retail Traders to Trade Kinks5m
Calculation of Volatility Skew
Observing the volatility surface to find the volatility skew is not the right approach. Learn to objectively calculate volatility skew and interpret its significance.Calculation of Volatility Skew2mMeaning of Volatility Skew5mImportance of Quantifying Volatility5mOTM Options in Volatility Skew Calculation5mRange Selection of OTM Options5mLimitation of Advanced Approach5mStandardised Skew Value Calculation5mImportance of Standardised Skew Values5mInterpretation of Volatility Skew2mInterpretation of Volatility Skew5mPositive Skew and Market Participants5mInterpretation of Negative Skew5mFactors Affecting Volatility Skew5mUse of Volatility Skew in Trading5mCalculating Volatility Skew5mCompute Volatility Skew5mStrike Price Selection5mAdditional Reading2m- Trading Volatility SkewVolatility skew analysis can provide you with information which can be used to create an effective trading strategy. Form the trading hypothesis and backtest the volatility skew based strategy in this section. Analyse the strategy performance as well.Trading Volatility Skew2mSkew Value of 05mIncrease in Positive Skew5mContrarian Trading Strategy5mTrading Volatility Skew5mContrarian Approach5mMarket’s Perception of Risk5mSkew Threshold5mLong Entry and Exit Signals5mFAQs2m
Delta Neutral Skew Analysis
Using a range of options and finding the average OTM Put IV and OTM Call IV to calculate the volatility skew is a sound idea. But are there any other methods? Use the options Greek, Delta, to identify the optimal OTM Put and OTM Call options for calculating skew value and trading accordingly.Delta Neutral Skew2mDelta in Options Trading5mSimilar Options Delta in Analysis5mCalculation of Delta Neutral Skew2mCalculation of Delta Neutral Skew5mTrading Volatility Skew - Delta based Approach5mClosest Delta5mShort Entry and Exit Signals5mAdditional Reading2mSummary2mTest on Volatility Skew20m- Volatility and Mean ReversionThe concept of mean reversion states that the variable will always return to a mean. Is volatility really mean-reverting? Why doesn’t volatility keep rising, or decline like a stock price? Find the answer to all these questions and explore strategies to trade on this behaviour.Mean Reversion Property of Volatility2mExistence of VIX5mVIX and Fear5mMean Reversion of VIX5mTrading VIX5mAlternative to Trading VIX Derivatives5mAnalysis of VIXY2mComponents of VIXY5mDecrease in VIXY5mRisk of Shorting VIXY5mCorrelation Between VIX and VIXY2mVIX and VIXY Correlation5mUse of Log Scale5mTrading Action5mAdditional Reading2m
- Trading Strategy on VIXY Using VIXThe Volatility Index (VIX) gives insights into the market’s expectation of implied volatility. Since the VIX cannot be traded directly, we have VIX-based futures and options, and an ETF called VIXY ETF. Apply the concept of mean reversion to determine optimal short positions on VIXY.How to Trade VIXY Using VIX2mPeak VIX5mVIX values for Analysis5mHighest Quartile5mRSI Indicator Time Period5mExit Rules of Trading VIXY2mDecision to Short VIXY5mRSI Levels and Entry Signal5mInterpretation of VIX Value and First Quartile5mExit Signal and First Quartile5mConditions for Entry Signal5mVIX - Mean Reversion Strategy5mRSI Values5mCalculate the Percentile5mFAQs2mSummary2mAdditional Readings2m
- Limitations of Mean Reversion StrategyThe mean reversion properties of volatility can be traded, but are there any limitations to this approach? This section lists and explains the limitations of trading the mean reversion property of volatility.Limitations of Trading Volatility Mean Reversion2mVIX Moves up After Taking a Short Position5mNeed for Optimised Entry and Exit Prices5mEffect of Volatility Clustering5mRisk of Higher Leverage5mGeopolitical Events and Macroeconomic Reports5mLimitations of Trading the Mean Reversion Property5mConditions to Monitor When Trading Mean Reversion5mAdditional Reading on Limitations of Mean Reversion Strategy2mTest on Mean Reversion Property of Volatility18m
- IV and Options PremiumWhile trading volatility, it is essential to understand its impact on options pricing. In this section, you will learn how volatility can affect your trades by understanding the relationship between volatility and the price of an option.Part Overview: Trading Volatility using Straddle and Spread2mEffect of Volatility on Options' Prices2mIntrinsic Value of Call5mImplied Volatility after Earnings Release5mImplied Volatility after Earnings Release5mFailure of John's Trade5mImpact of High Implied Volatility5mDecline in Implied Volatility5mFAQs on IV and Options Premiums2mAdditional Reading on Effect of Volatility2m
IV Rank
Knowing the IV values may not always be enough. You should also know how high or low is the IV value in relation to the recent past range of IV values. Grasp the intuition and calculation of IV rank, and learn how it can be utilised in options trading.Importance of IV Rank2mLimitation of Implied volatility5mRelation Between IV and Short Straddle5mHigher Current IV Relative to Past5mHigher IV rank5mCalculation of IV Rank2mPurpose of IV rank5mStandard Time Period for Comparison of IV Values5mDenominator in IV Rank Formula5mNumerator in IV Rank Formula5mMinimum IV Rank Value5mMaximum IV Rank Value5mIV Rank Calculation5mCalculate Rolling Minimum Values5mCalculate IV Rank5mIV Rank in Trading
The IV rank can help you determine the current IV value stands in relation to its past values. This information can be utilised to create and backtest a trading strategy. Analyse the entry and exit rules of an IV Rank-based trading strategy and evaluate its performance.IV Rank in Trading2mInterpretation of High IV Rank5mTrading Implication of High IV Rank5mInterpretation of Low IV Rank5mStrategy Based on Low IV Rank5mIV Rank Based Short Straddle Strategy5mEntry Signals for Short Straddle5mExit Signals for Short Straddle5mFAQs2mAdditional Reading2mSummary2mSkew Rank
Similar to the IV rank, the skew rank tells you if the current skew value is high or low in comparison to the recent past range of values. Understand the intuition and calculation of skew rank, and learn how to combine IV rank and skew rank to formulate an options trading strategy.Meaning of Skew Rank2mSkew Rank5mSimilarity Between Skew Rank and IV Rank5mHistorical Range of Skew Values5mRange of Skew Values5mExample of Skew Value5mCalculation of Skew Rank2mSkew Rank Formula5mCalculation of Skew Rank5mOption's Skew Value5mSkew Rank5mCurrent Skew Value and Historical Skew Values5mSkew Rank Calculation5mCalculate Rolling Maximum Values5mSkew Rank in Trading
Can the inclusion of two variables enhance the performance of an existing strategy which used only one variable? You will learn how to integrate the IV rank and skew rank in creating and optimising an options trading strategy.Using IV Rank and Skew Rank in Trading2mStrategy for IV rank5mExit Short Straddle5mLow Skew Rank5mMean Reversion in Volatility for Trading5mShort Straddle Strategy - IV Rank and Skew Rank5mIV Rank Exit5mSkew Rank Exit5mFAQs2mAdditional Reading2mSummary2mTest on IV Rank and Skew Rank20m- Capstone Project on StrangleIn this section, you will apply the knowledge you have gained in the course. You will pick up a capstone project where you will deploy a short strangle, backtest it and analyse the strategy performance.Getting Started2mProblem Statement2mCapstone Project Model Solution5mStrangle Capstone Data Files2m
- Forecasting IV Using Machine LearningYou will explore the integration of multiple variables to predict implied volatility through the application of machine learning models. By examining the principles of data-driven decision-making in machine learning, you will evaluate its effectiveness in forecasting implied volatility.Need for Forecasting IV Using ML2mLimitation of IV Rank for Short Straddle5mVariables and Volatility Prediction5mMachine Learning and Trading Strategies5mFeatures and Target Variables2mStrike Prices and Prediction of IV5mStationary Features5mSignificance of Scaling5mApplication of Technical Indicators5mUsage of Days to Expiry Feature5mForecasting IV Using LSTM - Features and Target Variable5mCalculate the ADX Indicator5mCreate the Target Variable5m
- LSTM's Role in Forecasting IVThe LSTM model is a good candidate to forecast implied volatility values. You will learn how the LSTM model is set up and further create a trading strategy based on the predicted implied volatility values.How to Setup the LSTM Network2mDimensions of Input Data5mRole of Time Steps5mMultiple LSTM Layers5mLoss Function and Optimiser5mForecasting IV Using LSTM - Predictions5mTrade Using Forecasted IV2mThreshold for Exit5mThreshold for Entry5mSet Trading Signal5mShort Straddle Gains5mShort Straddle-Forecasted IV5mEntry Signals Based on Predicted IV5mExit Signals Based on Predicted IV5mFAQs2mAdditional Reading2m
- Forecasting IV Using LSTM: Challenges and LimitationsIn this section, you will be taken through the challenges often faced while using LSTM and the limitations that it is exposed to.Challenges and Limitations of Forecasting IV Using LSTM2mReal-Time Trading5mPoor Performance of LSTM Model5mUnpredictable Future Events5mIssue of Delay in Processing5mRetraining an LSTM Model5mAdditional Reading on Challenges of Forecasting IV Using LSTM2mTest on LSTM14m
Volatility Around Events
Usually, the implied volatility (IV) changes in anticipation of significant events. By evaluating historical data, you will identify patterns of volatility changes preceding events. Further, you will synthesise this information to develop and apply a trading strategy tailored to capture the pre-event volatility surges.Volatility Around Events2mApplication of Mean Reversion5mPredictable Events5mIV and FOMC Meeting5mIV Increase and Options strategy5mEntry and Exit Rules of Event Based Volatility2mLong Straddle and FOMC Meeting5mLong Straddle Before FOMC Meeting5mExit of Long Straddle5mVolatility Rush5mTrade Volatility Around Events5mLong Straddle Entry5mUnique Expiry Dates5mFAQs2mAdditional Readings2mSummary2mRelative View on Volatility
Here, you'll learn how to trade around events by developing a relative view on volatility, that is, by having an idea of how volatility might change over time. We’ll break down a popular strategy called the long calendar spread, and understand how to set it up.Long Calendar Spread Strategy2mObjective of Long Calendar Spread5mCalendar Spread Positions5mVega Comparison5mImpact of Theta5mSignificance of Greeks5mConstructing Calendar Spread5mImpact on Premiums5mImpact on the Spread5mTrading Based on a Relative View
After learning how to set up the long calendar spread strategy, it is now time to implement it! In this section, you will learn how to implement the strategy based on the defined entry and exit rules. You will also learn how to backtest it and analyse its performance.Trading the Long Calendar Spread Around Events2mObjective of Long Calendar Spread5mSelecting the Asset5mIdeal Scenario5mEntry Rules5mExit Rules5mSelecting the Expiries5mCalendar Spread Strategy5mFAQs on Long Calendar Spreads2mAdditional Reading on Calendar Spreads2mTest on Volatility Around Events16mRisk Management of a Volatility Position
It’s very important to understand the risk of an options trading strategy and take steps to manage the risk. This section focuses on the need for risk management of an options volatility position and also explains the ‘dollar-based risk management’ method to manage the risk.Part Overview: Risk of a Volatility Position2mNeed for Risk Management2mLong-Term Capital Management Case5mThe Objective of Risk Management5mImpact of Rising Volatility5mPrice Movement Expectation5mRisk of Price Increase5mMajor Sources of Risk5mManaging Risk of a Volatility Position
This section focuses on implementing dollar-based risk management for a short straddle position using Python.How to Manage Risk2mStop-Loss Strategy5mTake-Profit Strategy5mDollar-Based Risk Management Definition5mSetting Stop-Loss and Take-Profit5mVolatility Decline Scenario5mApply Dollar-Based Risk Management5mDollar-Based Risk Management5mCompute the Stop-Loss5mExit Conditions5mAdditional Reading on the Risk of a Volatility Position2mFAQs on the Risk of a Volatility Position2mSummary of Risk of a Volatility Position2mTest on Risk of a Volatility Position16mRisk Management Using Option Greeks
This section explains the intuition behind managing the risk of a volatility position using options Greeks. After completing this section, you will be able to explain the need to include Greeks in your study to manage the risk of options position effectively.Pre-Reading on Option Greeks2mNeed to Study Greeks for Risk Management2mImpact of Market Volatility on Options5mProfit from Short Straddle5mImpact of a Sharpe Move on a Short Straddle5mLoss Trade Despite Expected Market Move5mConsideration of Options Greeks5mEffect of Options Greeks on a Volatility Position2mNeed for Options Greeks in Risk Management5mImpact of Gamma on Delta5mImpact of Vega on Premium5mImpact of Theta on Short Straddle5mImpact of Delta on Short Straddle5mManaging Options Greeks5mAdditional Reading to Risk Management Using Greeks2mFAQs on Risk Management Using Greeks2mSummary of Risk Management Using Options Greeks2m- Hedging the Option GreeksHedging is the technique used to manage the risk of an options position by studying the options Greeks. This section explains the concept of risk management by hedging the option Greeks. After completing this section, you will be able to explain how hedging of a short straddle position can be done using option Greeks.Risk Management Using Hedging2mHedging Impact on PnL5mShould You Perform Hedging?5mImpact of Hedging on Profit Potential5mWhich Greek to Hedge in Short Straddle?5mDelta Hedging Example5mTest on Risk Management Using Option Greeks, Hedging14m
- Risk Management Using Delta HedgingDelta hedging is used to hedge the impact of the options Greek, delta, on an options position. This section explains delta hedging and how the risk of an options volatility position is managed using delta hedging with an example of short straddle.What is Delta Hedging?2mPurpose of Delta Hedging5mNon-Tradable Underlying5mDelta of Futures Contract5mAdjusting Delta Hedging5mDelta Hedging Scenario5mWhat is Dynamic Delta Hedging?2mImpact of Continuous Hedging5mDynamic Delta Hedging with a Threshold5mHedging with a Threshold for Decline5mContinuous Hedging Without a Threshold5mHedging a Short Straddle5mAdditional Reading on Risk Management Using Delta Hedging2mFAQs on Risk Management Using Delta Hedging2m
- Threshold for Delta HedgingTo avoid higher transaction costs due to continuous hedging, selective hedging can be done by defining a threshold for delta to hedge. This section explains the techniques to decide the suitable delta threshold to use for hedging.How to Define Delta Threshold2mReason to Avoid Continuous Hedging?5mAlternative to Continuous Hedging?5mHedge With a Threshold of Delta5mDo you hedge?5mFind the Issue With Hedging5mAdditional Reading on Threshold of Delta for Hedging2mSummary of Threshold of Delta for Hedging2m
- Implementation of Delta HedgingThis section explains the implementation of selective delta hedging on a short straddle strategy. After completing this section, you will be able to implement delta hedging in Python.Implementation Of Delta Hedging2mImpact on PnL5mThreshold Selection5mDelta of a Short Straddle5mDelta Threshold Decision5mHedging Frequency5mDelta Hedging5mFAQs on the Implementation of Delta Hedging2mSummary of Implementation of Delta Hedging2m
- Hedging an Options PortfolioThe risk of a portfolio with multiple options strategies on multiple assets can be hedged using options Greeks. After completing this section, you will be able to explain how to hedge an options portfolio with an example.How to Hedge An Options Portfolio?2mUnderstanding the Greeks5mCalculating Delta Impact5mHedging an Options Portfolio5mHedging Delta5mPortfolio Risk Management Using Delta5mAdditional Reading on Hedging an Options Portfolio2mFAQs on Hedging an Options Portfolio2mTest on Delta Hedging and Hedging an Options Portfolio14m
- Capstone Project on Risk ManagementIn this section, you will be presented with a problem statement on risk management of an options volatility position. You will also be given a solution template and model solution to complete the capstone project.Problem Statement2mRisk Management Capstone Solution5mRisk Management Capstone Data Files2m
- Run Codes Locally on Your MachineLearn to install the Python environment in your local machine.Uninterrupted Learning Journey with Quantra2mPython Installation Overview1m 59sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mQuantra Environment2mTroubleshooting Tips for Setting-up Environment10mHow to Run Files in Downloadable Section?10mTroubleshooting For Running Files in Downloadable Section10m
- Live Trading on IBridgePyIn this section, you would go through the different processes and API methods to build your own trading strategy for the live markets, and take it live as well.Section Overview2m 2sLive Trading Overview2m 41sVectorised vs Event Driven2mProcess in Live Trading2mReal-Time Data Source2mCode Structure2m 15sAPI Methods10mSchedule Strategy Logic2mFetch Historical Data2mPlace Orders2mIBridgePy Course Link10mAdditional Reading10mFrequently Asked Questions10m
- Paper/Live Trading TemplateTo make sure that you can use your learning from the course in the live markets, a live trading template has been created which can be used to paper trade and analyse its performance. This template can be used as a starting point to create your very own unique trading strategy.Template Documentation10mTemplate Code Files2m
- SummaryIn this section, we will summarise all the learning from the course. All the data files and code used in this course can be downloaded from the downloadable unit of this section.Course Summary2mSummary and Next Steps2mPython Codes and Data2m
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Hours and hours of classic content is delivered with videos, Jupyter notebooks, coding exercises, downloadable files and extra reading material. Quantra is worth the money!Guillermina Amorin International Trader,Argentina
My learning at Quantra is always very satisfying. They have a very direct and practical way of teaching that allows me to acquire knowledge and practice. I am very happy to have found Quantra & QuantInsti!- Vartik Chobisa Quant Analyst,IndiaAll the foundational aspects for trading options at proprietary trading firms are covered.
Faqs
- When will I have access to the course content, including videos and strategies?
You will gain access to the entire course content including videos and strategies, as soon as you complete the payment and successfully enroll in the course.
- Will I get a certificate at the completion of the course?
Yes, you will be awarded with a certification from QuantInsti after successfully completing the online learning units.
- Are there any webinars, live or classroom sessions available in the course?
No, there are no live or classroom sessions in the course. You can ask your queries on community and get responses from fellow learners and faculty members.
- Is there any support available after I purchase the course?
Yes, you can ask your queries related to the course on the community: https://quantra.quantinsti.com/community
- What are the system requirements to do this course?
Fast-speed internet connection and a browser application are required for this course. For best experience, use Chrome.
- What is the admission criteria?
There is no admission criterion. You are recommended to go through the prerequisites section and be aware of skill sets gained and required to learn most from the course.
- Is there a refund available?
We respect your time, and hence, we offer concise but effective short-term courses created under professional guidance. We try to offer the most value within the shortest time. There are a few courses on Quantra which are free of cost. Please check the price of the course before enrolling in it. Once a purchase is made, we offer complete course content. For paid courses, we follow a 'no refund' policy.
- Is the course downloadable?
Some of the course material is downloadable such as Python notebooks with strategy codes. We also guide you how to use these codes on your own system to practice further.
- Can the python strategies provided in the course be immediately used for trading?
We focus on teaching these quantitative and machine learning techniques and how learners can use them for developing their own strategies. You may or may not be able to directly use them in your own system. Please do note that we are not advising or offering any trading/investment services. The strategies are used for learning & understanding purposes and we don't take any responsibility for the performance or any profit or losses that using these techniques results in.
- I want to develop my own algorithmic trading strategy. Can I use a Quantra course notebook for the same?
Quantra environment is a zero-installation solution to get beginners to start off with coding in Python. While learning you won't have to download or install anything! However, if you wish to later implement the learning on your system, you can definitely do that. All the notebooks in the Quantra portal are available for download at the end of each course and they can be run in the local system just the same as they run in the portal. The user can modify/tweak/rework all such code files as per his need. We encourage you to implement different concepts learnt from different learning tracks into your trading strategy to make it more suited to the real-world scenario.
- If I plug in the Quantra code to my trading system, am I sure to make money?
No. We provide you guidance on how to create strategy using different techniques and indicators, but no strategy is plug and play. A lot of effort is required to backtest any strategy, after which we fine-tune the strategy parameters and see the performance on paper trading before we finally implement the live execution of trades.
- What does "lifetime access" mean?
Lifetime access means that once you enroll in the course, you will have unlimited access to all course materials, including videos, resources, readings, and other learning materials for as long as the course remains available online. There are no time limits or expiration dates on your access, allowing you to learn at your own pace and revisit the content whenever you need it, even after you've completed the course. It's important to note that "lifetime" refers to the lifetime of the course itself—if the platform or course is discontinued for any reason, we will inform you in advance. This will allow you enough time to download or access any course materials you need for future use.
- Why do we need to learn about volatility to trade options?
Understanding volatility provides an advantage by allowing traders to align their trading strategies with market conditions, effective risk management and portfolio diversification.
- On which assets can the learnings from this course be implemented?
There are two main types of options: American and European. European options can only be exercised at expiration, unlike American options, which can be exercised at any time before expiration. You can apply the knowledge from this course to European options.
We have used the SPX index options as an example in the course. The principles and strategies you learn can be applied to any European options, no matter where they are traded. So, whether you are dealing with European options on assets in the US, Europe, or any other region, the learnings from this course will be relevant and useful. Just ensure there is enough trading activity (liquidity) in the asset you are working with to implement these strategies effectively.
- What datasets are used in the course?
We have used the following datasets:
- Daily SPX End-Of-Month options chain data for a period of 9 years, starting from 2015 to 2023.
- Daily VIX and VIXY data from 2014 to 2024
- Daily S&P 500 index data from 2015 to 2023
- Which strategies are covered in the course?
1. Volatility skew-based trading
2. Trading on IV mean-reversion
3. Short straddle based on IV rank and skew rank
4. Short straddle based on LSTM forecasted IV values
5. Long straddle around events
6. Long calendar spread around events
7. Risk management using stop-loss and take-profit
8. Implementation of delta hedging
- Should I enrol in this course if I have already enrolled in other options/volatility courses on Quantra?
Yes! This course is a blend of options and volatility trading, it explains the core concepts and properties related to volatility, and takes you through the implementation of options trading strategies based on volatility. It is different from other options/volatility courses because unlike other courses, this course focuses more on strategy implementation. It also covers risk management using dollar-based stop-loss and take-profit as well as risk management using Greeks. By taking this course, you'll gain a unique perspective and expand your knowledge in this specialised area, complementing what you have already learned from other courses.
- Are there any sources for options data?
There are many data vendors that provide services for options data and these could either be free or paid. The options data provided in this course was obtained from the vendor OptionsDX. Link.
However, do note that QuantInsti is not affiliated with OptionsDX and before getting the data from any vendor, it is essential that traders carry out necessary research about that vendor.
- Which brokers are illustrated in the course for live trading or paper trading?
We cover a generic framework for you to work with the broker of your choice. You can look for your broker in the list provided on this page and find out which broker/platform you can use to automate your strategies. If your broker is not listed here you can check the broker’s Python package or Rest API.
In this course, we have provided live trading templates that can be used to automate trading strategies with “Interactive Brokers LLC” using the IBridgePy python package.
You can also watch this webinar to explore integration with various other brokers & platforms.
- What are the prerequisites of this course?
The basics of both options trading and Python are not covered in this course. To develop foundation knowledge on options trading you can enrol to the “Options Trading Strategies: Basic” course on Quantra. To familiarise yourself with Python you can enrol in the “Python for Trading: Basic” course. You should have working knowledge of options such as delta, gamma, theta and vega.
- Will there be assessments or projects?
Yes, there will be periodic quizzes, assignments, and capstone projects to evaluate your understanding and application of the course material.