krsna24x7/Option-Stratergies

Implemented a Short-Strangle and a Delta-Hedging using yfinance and py_vollib.

Option Stratergies

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.

Requirements

• yfinance : Access data from Yahoo Finance.
• py_vollib : Provides various functions with respect to the Black-Scholes-Merton model.
• Pandas
• NumPy
• Matplotlib
• SciPy

Results

• Futures position was hedged and losses were successfully reduced.

• Delta Neutral Short-Strangle returned the following profit.