Defines a single option contract at a specific expiration and strike price More...

Public Member Functions
	OptionContract (ISecurityPrice security, Symbol underlyingSymbol)
	Initializes a new instance of the OptionContract class More...

override string	ToString ()
	Returns a string that represents the current object. More...

Static Public Member Functions
static OptionContract	Create (BaseData baseData, ISecurityPrice security, decimal underlyingLastPrice)
	Creates a OptionContract More...

static OptionContract	Create (Symbol underlyingSymbol, DateTime endTime, ISecurityPrice security, decimal underlyingLastPrice)
	Creates a OptionContract More...

Public Attributes
decimal	Strike => Symbol.ID.StrikePrice
	Gets the strike price More...

DateTime	Expiry => Symbol.ID.Date
	Gets the expiration date More...

OptionRight	Right => Symbol.ID.OptionRight
	Gets the right being purchased (call [right to buy] or put [right to sell]) More...

OptionStyle	Style => Symbol.ID.OptionStyle
	Gets the option style More...

decimal	TheoreticalPrice => _optionPriceModelResult.Value.TheoreticalPrice
	Gets the theoretical price of this option contract as computed by the IOptionPriceModel More...

decimal	ImpliedVolatility => _optionPriceModelResult.Value.ImpliedVolatility
	Gets the implied volatility of the option contract as computed by the IOptionPriceModel More...

Greeks	Greeks => _optionPriceModelResult.Value.Greeks
	Gets the greeks for this contract More...

Properties
Symbol	Symbol `[get]`
	Gets the option contract's symbol More...

Symbol	UnderlyingSymbol `[get]`
	Gets the underlying security's symbol More...

decimal	ScaledStrike `[get]`
	Gets the strike price multiplied by the strike multiplier More...

DateTime	Time `[get, set]`
	Gets the local date time this contract's data was last updated More...

decimal	OpenInterest `[get, set]`
	Gets the open interest More...

decimal	LastPrice `[get, set]`
	Gets the last price this contract traded at More...

long	Volume `[get, set]`
	Gets the last volume this contract traded at More...

decimal	BidPrice `[get, set]`
	Gets the current bid price More...

long	BidSize `[get, set]`
	Get the current bid size More...

decimal	AskPrice `[get, set]`
	Gets the ask price More...

long	AskSize `[get, set]`
	Gets the current ask size More...

decimal	UnderlyingLastPrice `[get, set]`
	Gets the last price the underlying security traded at More...

Detailed Description

Defines a single option contract at a specific expiration and strike price

Definition at line 26 of file OptionContract.cs.

Constructor & Destructor Documentation

◆ OptionContract()

QuantConnect.Data.Market.OptionContract.OptionContract	(	ISecurityPrice	security,
		Symbol	underlyingSymbol
	)

Initializes a new instance of the OptionContract class

Parameters

security	The option contract security
underlyingSymbol	The symbol of the underlying security

Definition at line 167 of file OptionContract.cs.

Here is the caller graph for this function:

Member Function Documentation

◆ ToString()

override string QuantConnect.Data.Market.OptionContract.ToString ( )

Returns a string that represents the current object.

Returns: A string that represents the current object.

◆ Create() [1/2]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	BaseData	baseData,
		ISecurityPrice	security,
		decimal	underlyingLastPrice
	)

static

Creates a OptionContract

Parameters

baseData
security	provides price properties for a Security
underlyingLastPrice	last price the underlying security traded at

Returns: Option contract

Here is the caller graph for this function:

◆ Create() [2/2]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	Symbol	underlyingSymbol,
		DateTime	endTime,
		ISecurityPrice	security,
		decimal	underlyingLastPrice
	)

static

Creates a OptionContract

Parameters

underlyingSymbol	The symbol of the underlying security
endTime	local date time this contract's data was last updated
security	provides price properties for a Security
underlyingLastPrice	last price the underlying security traded at

Returns: Option contract

Definition at line 209 of file OptionContract.cs.

Here is the call graph for this function:

Member Data Documentation

◆ Strike

decimal QuantConnect.Data.Market.OptionContract.Strike => Symbol.ID.StrikePrice

Gets the strike price

Definition at line 49 of file OptionContract.cs.

◆ Expiry

DateTime QuantConnect.Data.Market.OptionContract.Expiry => Symbol.ID.Date

Gets the expiration date

Definition at line 63 of file OptionContract.cs.

◆ Right

OptionRight QuantConnect.Data.Market.OptionContract.Right => Symbol.ID.OptionRight

Gets the right being purchased (call [right to buy] or put [right to sell])

Definition at line 68 of file OptionContract.cs.

◆ Style

OptionStyle QuantConnect.Data.Market.OptionContract.Style => Symbol.ID.OptionStyle

Gets the option style

Definition at line 73 of file OptionContract.cs.

◆ TheoreticalPrice

decimal QuantConnect.Data.Market.OptionContract.TheoreticalPrice => _optionPriceModelResult.Value.TheoreticalPrice

Gets the theoretical price of this option contract as computed by the IOptionPriceModel

Definition at line 78 of file OptionContract.cs.

◆ ImpliedVolatility

decimal QuantConnect.Data.Market.OptionContract.ImpliedVolatility => _optionPriceModelResult.Value.ImpliedVolatility

Gets the implied volatility of the option contract as computed by the IOptionPriceModel

Definition at line 83 of file OptionContract.cs.

◆ Greeks

Greeks QuantConnect.Data.Market.OptionContract.Greeks => _optionPriceModelResult.Value.Greeks

Gets the greeks for this contract

Definition at line 88 of file OptionContract.cs.

Property Documentation

◆ Symbol

Symbol QuantConnect.Data.Market.OptionContract.Symbol

get

Gets the option contract's symbol

Definition at line 34 of file OptionContract.cs.

◆ UnderlyingSymbol

Symbol QuantConnect.Data.Market.OptionContract.UnderlyingSymbol

get

Gets the underlying security's symbol

Definition at line 42 of file OptionContract.cs.

◆ ScaledStrike

decimal QuantConnect.Data.Market.OptionContract.ScaledStrike

get

Gets the strike price multiplied by the strike multiplier

Definition at line 55 of file OptionContract.cs.

◆ Time

DateTime QuantConnect.Data.Market.OptionContract.Time

getset

Gets the local date time this contract's data was last updated

Definition at line 94 of file OptionContract.cs.

◆ OpenInterest

decimal QuantConnect.Data.Market.OptionContract.OpenInterest

getset

Gets the open interest

Definition at line 102 of file OptionContract.cs.

◆ LastPrice

decimal QuantConnect.Data.Market.OptionContract.LastPrice

getset

Gets the last price this contract traded at

Definition at line 110 of file OptionContract.cs.

◆ Volume

long QuantConnect.Data.Market.OptionContract.Volume

getset

Gets the last volume this contract traded at

Definition at line 118 of file OptionContract.cs.

◆ BidPrice

decimal QuantConnect.Data.Market.OptionContract.BidPrice

getset

Gets the current bid price

Definition at line 126 of file OptionContract.cs.

◆ BidSize

long QuantConnect.Data.Market.OptionContract.BidSize

getset

Get the current bid size

Definition at line 134 of file OptionContract.cs.

◆ AskPrice

decimal QuantConnect.Data.Market.OptionContract.AskPrice

getset

Gets the ask price

Definition at line 142 of file OptionContract.cs.

◆ AskSize

long QuantConnect.Data.Market.OptionContract.AskSize

getset

Gets the current ask size

Definition at line 150 of file OptionContract.cs.

◆ UnderlyingLastPrice

decimal QuantConnect.Data.Market.OptionContract.UnderlyingLastPrice

getset

Gets the last price the underlying security traded at

Definition at line 158 of file OptionContract.cs.

The documentation for this class was generated from the following file:

Common/Data/Market/OptionContract.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ OptionContract()

Member Function Documentation

◆ ToString()

◆ Create() [1/2]

◆ Create() [2/2]

Member Data Documentation

◆ Strike

◆ Expiry

◆ Right

◆ Style

◆ TheoreticalPrice

◆ ImpliedVolatility

◆ Greeks

Property Documentation

◆ Symbol

◆ UnderlyingSymbol

◆ ScaledStrike

◆ Time

◆ OpenInterest

◆ LastPrice

◆ Volume

◆ BidPrice

◆ BidSize

◆ AskPrice

◆ AskSize

◆ UnderlyingLastPrice