options-strategy
Installation
SKILL.md
Purpose
Backtesting of option portfolio strategies. Starting from the underlying price, the engine synthesizes theoretical option prices with the Black-Scholes model, then simulates PnL, Greeks exposure, and expiration exercise for multi-leg option portfolios.
Applicable scenarios:
- Hedging strategies (
covered call,protective put) - Volatility trading (
straddle,strangle) - Spread strategies (
iron condor,butterfly,calendar spread) - Option pricing analysis and Greeks sensitivity research