options-strategy

Backtest multi-leg option strategies by synthesizing theoretical option values from historical OHLCV data using Black-Scholes pricing, letting you simulate iron condors or butterflies without live market data.

Track Greeks for cryptocurrency options by configuring the risk-free rate, volatility source, and contract multiplier to generate daily delta, gamma, theta, and vega outputs for directional hedging analysis.

Simulate covered calls and straddles by providing daily OHLCV history for the underlying asset, which the engine uses to synthesize Black-Scholes theoretical option values across the backtest period.

Black-Scholes pricing synthesizes equity option values by applying a configured volatility source and risk-free rate to historical OHLCV data, enabling transparent premium capture validation across multi-leg portfolios.

Evaluate time-decay management for calendar spreads by constructing multi-leg scenarios and extracting theta reporting across the backtest, analyzing how time decay impacts spread profitability.

Synthetic Black-Scholes pricing relies on theoretical values derived from historical OHLCV data and configured volatility sources, meaning it does not capture live market microstructure or real-time order book depth.