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#464940 - 03/18/17 01:40 Beta weighting function for options trading?
robotekkers Offline

Registered: 10/10/16
Posts: 8
Hello all,

The Algorithmic Options Trading article on the Financial Hacker website has inspired me to devote the last two months studying options trading (mainly with Options Alpha). I've been unable to find in this forum or in the manual a way to generate or acquire the beta weight of a trading portfolio (such as, for example, in respect to the S&P500).

If a method for portfolio beta weighting is already on the way then brilliant! If not, and anyone has implemented this into their trading already, I would love to learn how so.

Thanks in advance.

#464992 - 03/23/17 12:04 Re: Beta weighting function for options trading? [Re: robotekkers]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26261
Loc: Frankfurt
There is a Beta function in the TA-LIB. You can use the portfolio value, that is the weighted sum of all current option values, for the first data series and the S&P500 for the second data series.

#465013 - 03/26/17 01:12 Re: Beta weighting function for options trading? [Re: jcl]
robotekkers Offline

Registered: 10/10/16
Posts: 8
Thank you jcl!

I'm just trying to get my head around using the beta weight of a portfolio to produce the profit/loss graph based on the price (or percentage change) of the S&P500 (with the assumption that all the option contracts in the portfolio were to expire on that very same day, to therefore assess how balanced the current state of the portfolio is). This would be an ideal way to therefore decide whether to enter a neutral, bullish or bearish trade, to therefore keep an overall balanced trading portfolio.

Ideally, there could be a function/formula that can be used to calculate the current profit/loss of a portfolio based on the percentage change in S&P500. This itself has not been an easy thing to find, but is a tool provided by several trading platforms.

To get a better idea of what I am talking about: - Shows the graph in the ThinkorSwim platform - Shows the graph in the Interactive brokers platform

This tool may be a handy feature/function in the next Zorro update.


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