options-strategy

Backtest option portfolios by synthesizing Black-Scholes prices from the underlying price series to simulate PnL, Greeks exposure, and expiration decisions without relying on live options data feeds.

Backtest multi-leg option strategies including hedging setups like covered calls, volatility strategies like straddles and strangles, and spread structures like iron condors, butterflies, and calendar spreads.

Compute portfolio-level Greeks exposure by synthesizing Black-Scholes prices from the underlying price series, generating delta, gamma, theta, vega, and cumulative PnL metrics exported as greeks.csv.

Backtesting option portfolios using Black-Scholes pricing applies to both crypto and equity markets, leveraging historical volatility in place of implied volatility data to simulate multi-leg strategy performance.

Simulate option PnL by synthesizing Black-Scholes prices from historical volatility data, implementing a SignalEngine interface with a generate method to evaluate portfolio-level exposure and expiration decisions.