QuantInsti – Options Trading Strategies In Python: Intermediate



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QuantInsti – Options Trading Strategies In Python: Intermediate

Profitable Options Trading strategies are backed by quantitative techniques and analysis. This course will teach you just how to do that. It is a part-1 of the two-course bundle that covers Options Pricing models, and Options Greeks, with implementation on market data using Python.


NSE Academy



  • Backtest Options Trading strategies and use them to trade in live markets
  • Explain Options Greeks
  • Calculate the Options Price and Options Greeks
  • Visualize the payoff of Calendar Spread strategy
  • Predict movement of indices using implied volatility of the options
  • Backtest various volatility based trading strategies
  • Implement strategies in the live markets and analyze the performance


This course is a part of the Learning Track: Quantitative Trading in Futures and Options Markets


  • Options Trading Strategies In Python: Basic


  • Futures Trading: Concepts & Strategies


  • Options Trading Strategies In Python: Intermediate
  • Systematic Options Trading
  • Trading using Options Sentiment Indicators


  • Options Trading Strategies In Python: Advanced
  • Options Volatility Trading: Concepts and Strategies



Options Pricing Models
This section introduces and explains the Black Scholes Model along with its formula and a Python package for options trading.

  • Course Introduction
  • Course Structure
  • Quantra Features & Guidance
  • Analogy to Pricing a Call Option: Dice Game
  • Expected Value of Payoff
  • Fair Value of Pricing a Game
  • Intuitive Explanation of Bsm Model
  • Components of BSM Formula
  • Strike Price in BSM Formula
  • Python Package for Options Trading
  • How to Use Jupyter Notebook?
  • Theoretical Price of Option
  • Theoretical Price of Option
  • Recap

Evolved Options Pricing Model

This section moves on to further explain other options pricing models like Derman-Kani Model and Heston Model.

  • Derman-Kani Model and Heston Model
  • Derman-Kani and Heston Models
  • Volatility Smile
  • Other Options Pricing Models

Options Greeks: Delta

This section includes a primer on Options Greeks with a special focus on the intuitive explanation of sensitivity of Delta.

  • Greeks Primer
  • Greeks Calculator
  • Greeks Calculator
  • Delta
  • Call Price
  • Delta Definition
  • Higher Delta Value
  • Delta of 0.5
  • Delta With Respect to Underlying Price
  • Delta With Respect to Underlying Price
  • Delta With Respect to Time to Expiry
  • Call Delta With Respect to Time to Expiry
  • Delta With Respect to Volatility
  • Delta With Respect to Volatility
  • Delta Sensitivity

Option Greeks: Gamma

This section focuses on how the delta changes, or the Gamma factor in option pricing.

  • Gamma
  • Calculate Delta
  • Options With Higher Gamma
  • Gamma Sensitivity
  • Properties of Gamma
  • Option Price Using Delta and Gamma

Option Greeks: Vega

The section involves the study of how volatility affects option pricing by discussing the greek Vega.

  • Vega
  • Calculate Price of Call Option
  • Option With Higher Vega
  • Option Price Using Vega
  • Vega With Respect to Time to Expiry and Vol
  • Vega Sensitivity

Option Greeks: Theta and Rho

This section focuses on the time to expiry and interest rates that influence option pricing. It also introduces some of the advanced Options Greeks concepts.

  • Theta
  • What Will Be the Call Price
  • What Drives the Theta of Option
  • Rho
  • Properties of Rho
  • Advanced Greeks
  • Recap

Options Trading Strategies

This section explains various options trading strategies like arbitrage strategy, calendar spread strategy, earnings strategy, box trading, and how to use them to trade in live markets. It also includes a case study on a strategy during the earnings announcement of the company.

  • Arbitrage Strategy
  • Calculate Call Price Using Put-Call Parity
  • Calculate Put Price Using Put-Call Parity
  • What is Calendar Spread
  • Calculate Calendar Spread Payoff
  • Greeks in Calendar Spread
  • Most Profitable Calendar Spread
  • Box Trading
  • Implement Box Spread Strategy
  • Long Box Spread Strategy
  • Implied Volatility in Earnings Strategy
  • Rise in Implied Volatility
  • Stock Price Movement in Earnings Strategy
  • Buying a Bull Call Spread
  • Recap

Run Codes Locally on Your Machine

Learn to install the Python environment in your local machine.

  • Python Installation Overview
  • Flow Diagram
  • Install Anaconda on Windows
  • Install Anaconda on Mac
  • Know your Current Environment
  • Troubleshooting Anaconda Installation Problems
  • Creating a Python Environment
  • Changing Environments
  • Quantra Environment
  • Troubleshooting Tips For Setting Up Environment
  • How to Run Files in Downloadable Section?
  • Troubleshooting For Running Files in Downloadable Section

Volatility Trading Strategies

This section covers strategies based on implied volatility with concepts of Forward Volatility, Volatility Smile and Volatility Skew.

  • Forward Volatility
  • Calculate the Daily Variance
  • Calculate the Monthly Variance
  • Strategy Using Forward Volatility
  • Forward Volatility Vs Near Month Volatility
  • Calculate Strategy Returns
  • Volatility Smile
  • Strategy Using Volatility Smile
  • Defining Binary Variables
  • Computing Cumulative PnL

Volatility Skew

  • Predicting Market Movement: Volatility Skew
  • Volatility Skew
  • Market Prediction
  • Volatility Skew Strategy Logic
  • Strategy Using Volatility Skew
  • Calculate ATM IV
  • Volatility Skew Calculation
  • Long Entry Position
  • Short Position
  • Calculate ATM Strike Price
  • Compute Volatility Skew
  • Calculate Strategy Returns
  • Calculate Compounded Returns
  • Additional Reading on Volatility Skew
  • Recap
  • Test on Options Trading Strategies

Live Trading on IBridgePy

  • Section Overview
  • Live Trading Overview
  • Vectorised vs Event Driven
  • Process in Live Trading
  • Real-Time Data Source
  • Code Structure
  • API Methods
  • Schedule Strategy Logic
  • Fetch Historical Data
  • Place Orders
  • IBridgePy Course Link
  • Additional Reading

Paper and Live Trading

In this section, a live trading strategy template will be provided to you. You can tweak the strategy template to deploy your strategies in the live market!

  • Template Documentation
  • Template Code File

Wrapping Up!

This section summarises the course and provides downloadable strategy codes.

  • Summary
  • Python Codes and Data



  • Gain more in less time
  • Get taught by practitioners
  • Learn at your own pace
  • Get data & strategy models to practice on your own

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