About this skill

Problem

Before deploying an options strategy, the hard part is not finding an idea but checking implied volatility, expiration, leg count, and commissions together. This skill is an event-driven backtester designed to test strategy behavior against synthetic data or real historical data, reducing reliance on intuition alone.

Core workflow

Covers common option structures such as Iron Condor, Strangle, Calendar Spread, and Vertical Credit Spread.
Uses the default strategy configuration in config/strategies.json as the starting point for backtests.
Applies trade filters when events trigger: the source material mentions rejecting trades that do not meet the IV threshold, with an example value of 0.50, and skipping trades when days to expiration < 14 to avoid gamma-crush risk near expiry.
Models commission at $0.65/contract, with a four-leg round trip costing about $2.60.

Boundaries

It is better used for strategy screening and parameter checks: input data quality, configuration items, and threshold rules directly affect results. The source material does not cover live execution, slippage, liquidity, or order matching, so backtest scores should not be treated as expected live returns.

Screenshots

Use Cases

Use synthetic option data to backtest Iron Condors and check rejection rates when IV falls below the threshold.
Adjust Strangle leg spacing from config/strategies.json and compare post-commission returns across expirations.
Simulate Calendar Spread triggers to inspect time-decay behavior and pre-expiration filtering.
Estimate four-leg commissions and max loss for Vertical Credit Spreads on real historical data.

Best For

Options quant researchers who need to validate multi-leg strategy behavior under IV and DTE filters.
Strategy config maintainers who need to review leg spacing, commissions, and rejection rules in strategies.json.
Risk engineers who need to assess how skipping near-expiration trades reduces gamma-crush exposure.
Trading team developers who need to connect backtest event logs into strategy review for costs and rejections.