Index Options (SPX, RUT)

[theTed]

In the groking around that I've done, I'm still unable to determine if I can use NT8 to write and test strategies against index options such as SPX or RUT, or even regular options with stock underlyings. I'm finding some review information that says this is not possible, but I haven't been able to confirm it.

Does NT8 support trading such things with IB on the back-end, and if so, is there a particular user group/forum or anything to start tapping into that experience?

[NinjaTrader_ChelseaB]

Hello theTed,

NinjaTrader will allow you run a backtest in the Strategy Analyzer or on a chart with indexes, but these instruments are not tradable. So any information gained is unusable.

Are you getting an error I may assist with?

[theTed]

But, what about the options chains for the SPX and the RUT? Those are tradable. What I need is the ability to get the option chains for these underlyings, the greeks, and place automated trades on options for the SPX and RUT. Is that possible?

[NinjaTrader_ChelseaB]

Hello theTed,

NinjaTrader does not support options at this time.

[tgn55]

So... NT 8.0.20 now supports options (I'm using IB)... and I would like to be able to trade SPX Index options. I've been adding instrument... but nothing results in me getting SPX Index data from IB... and then there's the options issue (no data for ANYTHING, let alone SPX), but I have raised that in a separate thread.

Chelsea can you please advise how to get SPX Index from IB? And note I have already tried adding a new symbol, so far nothing is working.

Thanks,
T.

[guidoisot]

Same issue. I can’t find out how to get on NT8 the SPX data from IB. This appears to be a general barrier to using IB data feed: every time I wish to load data for an instrument which I know it is included in my IB data feed, I type the instrument symbol on the search field, this doesn’t give any result so I need to go around various sources for searching whether the symbol is the same requested by NT8 or not, then if this doesn’t give the information requested I must either to write to support or search here in the forum (as I am doing now) and so on …
Suggestion:
Would it be possible to facilitate this process? To lower this type of barrier to using IB data feed? To improve/modify some of the instrument search and lookup features of NT8, so that when a user wants a chart or an option chain of, say, SPX, UVXY or SPY, one just need to type just “UVXY” or “SPY” and then the platform checks by itself what connections are currently available end then it does automatically all the boring staff of bringing up the requested data?
Please.

[NinjaTrader_ChelseaB]

Hello tgn55 and guidoisot,

Are you using the SPX500 instrument in NinjaTrader?

By default this is set to use the IBUS500 as the symbol mapping for Interactive Brokers.

Does this symbol mapping appear incorrect?

Would I be able to have one of you email into platformsupport [at] ninjatrader [dot] com and allow me to use your username and password to investigate these settings with your data enablements?

[guidoisot]

Thank you. I will send email to support, today or tomorrow

[theTed]

Oh my goodness, is it true? Is it now possible to use NinjaTrader to:
a) Backtest butteryfly option trades using SPX and RUT index options?
b) Able to access the greeks and IV for these options?
c) And, place actual trades on these symbols?

guidoisot, were you able to make progress? I'm excited by the possibilities, but would like clear guidance before investing a lot of hours trying to make something work.

[guidoisot]

Sorry, I can’t add any feedback to you on this, right now.
I have been looking at other things lately…

[theTed]

Thanks, guidoisot. @tgn55 or @NinjaTrader_ChelseaB are you folks able to confirm my (A), (B) and (C) above? Maybe I'm looking at the wrong "instrument". To be clear, I'm looking to buy/sell PUTS for RUT (https://finance.yahoo.com/quote/%5ERUT/options?p=%5ERUT) and SPX (https://finance.yahoo.com/quote/%5ESPX/options?p=%5ESPX).

[aligator]

Hello theTed,

but these instruments are not tradable. So any information gained is unusable.

ChelseaB Hi,

I think it is misleading to say SPX is not tradeable. However, it is true that NinjaTrader does not fully support option trading, in particular SPX and RUT.

While not an underline, SPX is the single most traded contract in terms of numbers and capital flow in the form of options, much like VIX option contracts. It is the most important barometer for measuring the market volatility. In fact, the daily SP500 expected move, followed by institutions and trading world, comes from SPX option contracts calculated probabilities and implied volatility.

NinjaTrader does not provide SPX data. Hopefully, at some point NInjaTrader brokerage will offer such services that can be integrated into the platform.

Cheers!

p.s.

1. IB data is assumed to be based on IB platform accumulated trading activity. Comparing IBSP500 to Index SP500 data is apples and oranges.
2. In response to Post # 9 and 11, negative to A, B, C items in post # 9.

[theTed]

aligator , thank you for your prompt, helpful, succinct, and clear answer to my questions. I really appreciate it. Unfortunately, this means I need to work on finding another platform. Neither QuantConnect nor NT seem to support what I need. ThinkScript will not let me do what I need. I was trying to avoid having to write a whole back-testing and auto-trading platform using IB's API, but maybe that's the path I need to take. Thanks again.

[aligator]

aligator , thank you for your prompt, helpful, succinct, and clear answer to my questions. I really appreciate it. Unfortunately, this means I need to work on finding another platform. Neither QuantConnect nor NT seem to support what I need. ThinkScript will not let me do what I need. I was trying to avoid having to write a whole back-testing and auto-trading platform using IB's API, but maybe that's the path I need to take. Thanks again.

theTed, I have no idea what back-testing and auto trading platforms for options will do. Option trading is a whole different animal unlike trading stocks, Indexes, etc. Using auto trading for options, although not impossible for big players that can afford the tools, is an interesting challenge.

It is no secret that perhaps 50% of all weekly/monthly options' volume are traded on the top 20 or so of the highest level equities, i.e, GOOG, AAPL, TSLA, AMZN, FB, BA, V, DIS, etc.. These options are so efficient to trade that there can be little back testing or complex option structures that are not already explored.

Managing an Iron Condor, a Butterfy, a Broken Wing whatever position is hard to automate and manage short of a big back-end operation. So, after 45 years of trading, I have concentrated on a handful list of liquid stocks with a wide range of Greeks and trust the efficiency that is already built into option chains for these high performers.

Look how TSLA did during the past few days. It is impossible to program a model for such a behavior. Traders have lost several $billions in recent weeks betting on a topping in TSLA alone. Yet despite its questionable fundamental it is taking many to the laundry instead of the bank.

Sad to say, but TOS is the best option trading platform out there and the tools they provide are quite good for the average systematic option trader. Let's hope their marriage to Schwab results in more advanced technologies to make our trading more rewarding. NinjaTrader has a long way to go, but if there is a will there is a way.

Hang in there and gook luck,

Cheers!