Automatic Options Hedging and Backtesting
This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.
Delta hedging under SABR model
Personal options flow and fundamentals terminal on real, free data: CBOE options chain, gamma exposure, SEC EDGAR fundamentals, DCF valuation and AI summaries. Fastify, uWebSockets.js and Next.js.
Options trading and research system in C++23: one event-driven engine for backtest and live trading on Interactive Brokers, a quant lab on the same data, and MCP tools for AI agents.
options market making engine in C++20 — SVI vol surface, Black-Scholes pricing, lock-free SPSC queues, delta hedging, and real-time PnL attribution.
Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network
GEX and gamma scalping trading bots in Python for the Interactive Brokers API: last half hour MES futures from dealer gamma, and an SPX straddle delta hedged with MES. Paper accounts only
Simulation of delta hedging
Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market
Dynamic Hedging Backtesting Engine
C++ implementation of a Dynamic Delta Hedging strategy for European Options. Delta Hedging is a great strategy for trying to create a neutral portfolio to minimize risk exposure.
Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.
Calculate the Greeks for Uniswap V3 and setup LP positions with a target delta.
Option data suite capable of pinpointing intra-day high/lows before they happen based on "Auction Market Theory" and delta weighted volume analysis of the 0 DTE option chain for indexes.
Options market making engine for Deribit inverse (coin-settled) BTC/ETH options. Arb-free SVI vol surface, coin-denominated Greeks derived from Deribit's own inverse pricing formula, Avellaneda-Stoikov quoting in vol-space, Whalley-Wilmott delta hedging via the perpetual. Rust workspace, 111 tests.
Short gamma scalping on Deribit BTC/ETH options, delta-hedged via perpetuals. Avellaneda-Stoikov pricing with live vol surface, funding-adjusted sizing, and config-driven risk controls. Kill switch on RV spikes, drawdown breaches, and adverse funding. Asyncio stack: market data, strategy, execution, and risk engine running as independent loops.
Backtest delta hedging investment strategy in Clojure
A personal deep dive into the world of risk neutral hedging using options (delta/gamma/vega hedging)
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