options-strategy

You can backtest multi-leg options strategies by configuring codes, date range, initial cash, and options settings in config.json, then executing the backtest with the engine set to "options" to generate equity records and Greeks time series.

Black-Scholes pricing supports simulating hedging, volatility, and range-bound structures including covered calls, protective puts, straddles, strangles, iron condors, butterflies, and calendar spreads.

Options backtesting derives theoretical European option prices using Black-Scholes and computes portfolio-level Delta, Gamma, Theta, and Vega by using historical volatility from underlying OHLCV time series as a proxy for implied volatility.

Yes, you can backtest European-style option legs for both crypto and equity underlyings by providing underlying OHLCV time series data and configuring risk_free_rate, iv_source, and contract_multiplier in the options_config.

The best way to evaluate options portfolio PnL and expiration outcomes is running a multi-leg backtest that simulates open, close, exercise, and expire events while generating trade records and Greeks exposure metrics for post-run analysis.

No, options backtesting currently simulates European-style option legs only, meaning it handles expiration outcomes without supporting early exercise for multi-leg portfolios across different strikes and expiries.