QuantConnect / QuantConnect/Lean
Options Greeks and Implied Vol Accessible from Option Object
Open
@jhonabreul is already working on this.
Since Nov 25, 2025.
depth
feature
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Be able to access greeks and implied volatility at the Option object similar to market data: Securities[symbol].Greeks.Delta.
Actual Behavior
If the algorithm wants to track an option contract greeks and implied volatility, it needs to look for the latest contract in QCAlgorithm.CurrentSlice.OptionChains (see #3207)
Potential Solution
N/A
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Assessment
This issue has not been assessed yet.