OptionPayoff

QuantConnect.Util.OptionPayoff

Bases: Object

Static class containing useful methods related with options payoff

get_intrinsic_value(
    underlying_price: float,
    strike: float,
    right: OptionRight,
) -> float

Intrinsic value function of the option

Parameters:

Name	Type	Description	Default
`underlying_price`	`float`	The price of the underlying	required
`strike`	`float`	The strike price of the option	required
`right`	`OptionRight`	The option right of the option, call or put	required

Returns:

Type	Description
`float`	The intrinsic value remains for the option at expiry.

get_pay_off(
    underlying_price: float,
    strike: float,
    right: OptionRight,
) -> float

Option payoff function at expiration time

Parameters:

Name	Type	Description	Default
`underlying_price`	`float`	The price of the underlying	required
`strike`	`float`	The strike price of the option	required
`right`	`OptionRight`	The option right of the option, call or put	required

is_at_the_money(
    underlying_price: float,
    strike: float,
    right: OptionRight,
) -> bool

Whether the option is at the money: the strike equals the underlying price

Parameters:

Name	Type	Description	Default
`underlying_price`	`float`	The price of the underlying	required
`strike`	`float`	The strike price of the option	required
`right`	`OptionRight`	The option right of the option, call or put	required

Returns:

Type	Description
`bool`	True if the strike equals the underlying price.

is_in_the_money(
    underlying_price: float,
    strike: float,
    right: OptionRight,
) -> bool

Whether the option is in the money: a call with the strike below the underlying price, a put with the strike above it

Parameters:

Name	Type	Description	Default
`underlying_price`	`float`	The price of the underlying	required
`strike`	`float`	The strike price of the option	required
`right`	`OptionRight`	The option right of the option, call or put	required

Returns:

Type	Description
`bool`	True if the option has intrinsic value.

is_out_of_the_money(
    underlying_price: float,
    strike: float,
    right: OptionRight,
) -> bool

Whether the option is out of the money: a call with the strike above the underlying price, a put with the strike below it

Parameters:

Name	Type	Description	Default
`underlying_price`	`float`	The price of the underlying	required
`strike`	`float`	The strike price of the option	required
`right`	`OptionRight`	The option right of the option, call or put	required

Returns:

Type	Description
`bool`	True if the option has no intrinsic value and is not at the money.