This code has two parts:
- Hedging a futures position.
- Implementing a Delta Neutral Short-Strangle.
All historic data used in the implementations is present in the Data
folder.
- yfinance : Access data from Yahoo Finance.
- py_vollib : Provides various functions with respect to the Black-Scholes-Merton model.
- Pandas
- NumPy
- Matplotlib
- SciPy
- Futures position was hedged and losses were successfully reduced.
- Delta Neutral Short-Strangle returned the following profit.