Options Valuation Model

New in v3

Options valuation functions let you project greeks and PnL at future time anchors or specific DTEs. The options valuation model is a Black-Scholes-Merton (BSM) model which uses implied volatilities from the legs to be used to extract Greeks and PnL at future dates.

The solver uses the option valuation model to scan through a range of underlying prices to find minima, maxima, or roots (zero crossings) of selected metrics.

The selected metric to return can be a value (profit or greek) or the underlying price (strike) at the given criteria.

These functionality allows you to pinpoint places on the Risk Graph and extract values for use in your strategy logic.

Practical example

Consider you would like to extract the Maximal Profit and the break-even points of a calendar structure. You can find these marked on the picture.

The following code can be used to extract the values of interest:

  "Entry": {
    ...    
    "VarDefines": {
      "breakeven_lower": "options.model_solver(position, leg_short_call_dte, underlying_price * 0.5, underlying_price * 2,  pnl, zero, return_price)",
      "breakeven_upper": "options.model_solver(position, leg_short_call_dte, underlying_price * 2, underlying_price * 0.5,  pnl, zero, return_price)",
      "max_win": "options.model_solver(position, leg_short_call_dte, underlying_price * 2, underlying_price * 0.5,  pnl, maximize, return_value)",
      "max_loss": "options.model_solver(position, leg_short_call_dte, underlying_price * 2, underlying_price * 0.5,  pnl, minimize, return_value)"
    }
  }

After running the strategy, we can confirm the variables captured in the variable we defined

The above demonstration is shown in the [FEAT-OptionValuation] built-in template.

tip

It's faster to use options.model as it evaluates a single point. Use options.model_solver only when you need to find minima, maxima, or roots over a price range.

Module prototypes

Functions

Signature	Description
options.model(target, dteDaysOrAnchor, underlyingPrice, metric[, model_params]) -> number	Evaluate position/leg at a time anchor or DTE using a scenario underlying price and return the selected metric
options.model_solver(target, dteOrKey, start, end, metric, goal, result[, solver_params]) -> number	Scan a price range to minimize/maximize/zero a metric and return value or price per result

Targets

Name	Description
position	Evaluate all open and pending legs of the position
leg_<name>	Evaluate a specific leg by name (e.g., leg_short_call)

Time Anchors

Name	Description
at_exp	Evaluate at the leg’s/position’s expiration(s)
first_exp	Earliest expiration among the selected legs
last_exp	Latest expiration among the selected legs
now	Current backtest time (DTE=0)

Metrics

Name	Description
pnl	Projected profit and loss
delta	Sensitivity to underlying price
gamma	Rate of change of delta
theta	Time decay
vega	Sensitivity to volatility
wvega	Weighted vega using option DTE
rho	Sensitivity to interest rates

Goals

Name	Description
minimize	Find the minimum of the metric over the price range
maximize	Find the maximum of the metric over the price range
zero/root	Find the price where the metric crosses zero (root)

Result

Name	Description
return_value	Return the metric value at the solution
return_price	Return the underlying price at the solution (alias: strike)
strike	Alias for return_price

Parameters at a Glance

• target: position or leg_<name>
• dteDaysOrAnchor / dteOrKey: non‑negative DTE days or a time anchor (at_exp, first_exp, last_exp, now)
• metric: one of pnl, delta, gamma, theta, vega, wvega, rho
• goal: one of minimize, maximize, zero/root (for solver)
• result: return_value or return_price/strike (for solver)
• model_params / solver_params: optional tuning parameters (leave empty for defaults)

Usage Notes

• Use options.model for point evaluations at a given time and scenario price. Runs faster than options.model_solver
• Use options.model_solver to scan a price range and extract a price or value at the optimum/zero. Takes multiple iterations over the options.model call. Use it only when required.
• Swapping the start and end parameters in options.model_solver will reverse the scan direction.
• For visual exploration of projected risk and greeks, see Position Monitor.