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options-strategy

Backtest multi-leg option strategies with Black-Scholes pricing and Greeks.

Updated Jun 30, 2026
Search Tags:#backtesting#options#trading#greeks#quantitative#black-scholes
One-click install
npx skills add https://github.com/0xZKnw/vibe-trading-tap --skill options-strategy-0xzknw
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: options-strategy
Source: https://github.com/0xZKnw/vibe-trading-tap/tree/main/agent/src/skills/options-strategy
Command: npx skills add https://github.com/0xZKnw/vibe-trading-tap --skill options-strategy-0xzknw

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill addresses the complexity of evaluating multi-leg options strategies by providing a synthetic-data backtesting engine that calculates theoretical pricing, Greeks, and portfolio performance without requiring live market data.

Core Features & Use Cases

  • Multi-Leg Backtesting: Simulate complex strategies like Iron Condors, Butterflies, and Straddles using the Black-Scholes model.
  • Greeks Analysis: Automatically compute and track Delta, Gamma, Theta, and Vega to manage risk and exposure.
  • Use Case: A trader wants to test a calendar spread strategy on BTC-USDT to exploit time decay; this tool generates the PnL, trade logs, and Greeks sensitivity reports based on historical underlying price data.

Quick Start

Use the options-strategy skill to run a backtest on the provided configuration file and generate the performance metrics and Greeks report.

Frequently Asked Questions about options-strategy

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I backtest multi-leg options strategies without live market data?▼

The Black-Scholes model computes Greeks for options backtesting by synthesizing theoretical prices from historical underlying data. It automatically calculates and tracks Delta, Gamma, Theta, and Vega to evaluate risk exposure and portfolio performance.

Can I run options backtesting on cryptocurrency markets like BTC-USDT?▼

Yes, you can backtest crypto options strategies like calendar spreads on BTC-USDT. The engine uses historical underlying prices to generate theoretical PnL, trade logs, and Greeks sensitivity reports to exploit time decay.

What is the best way to evaluate risk and exposure for options trades?▼

To backtest an Iron Condor options strategy, configure the multi-leg parameters and run the simulation engine. It uses a modular signal engine architecture to process historical data and outputs PnL, trade logs, and Greeks sensitivity reports.

Does this options backtesting engine require external dependencies or components?▼

A major limitation of synthetic backtesting is the reliance on theoretical Black-Scholes pricing rather than actual market quotes. This means the generated PnL and Greeks sensitivity reports may not capture real-world market frictions or liquidity constraints.

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