R Programmer Index ETF Options Volatility Scanner
Budget: £1,500 – £3,000 GBP
We are looking for a programmer to help us with the following project. We are attempting to implement a trading strategy that takes advantage of weekly differences in the implied volatility level versus realised volatility level for Index ETF Options. This scanner should be able to extract and analyse a number of key metrics for Index ETF Options.
The parameters that we want available for us to search and sort for include: Index Price, Index Name, Index Volume, Option Volume, Weekly or Monthly Contracts, 4-7 day Implied Volatility Level, 4-7 day Realized Volatility Level, lag corrected between these 2 values, level of spread between these values, distribution of spread, ATM straddle performance, expected current Realized Volatility Level for given Implied Volatility Level and distribution, Expected Straddle performance and distribution.
2-5 years of data to be pulled on each option plus current data added weekly. Easy to understand user interface (Shiny is one we are familiar with) with graphical and numerical presentation.
Further detail can be given on indication of interest.
Requirements
R programming language
Formal Qualifications/Experience not required but completion of similar projects is sought after
Ownership of source code
Step by step hash explanation of source code
We envisage this being the start of a semi regular freelance contract as we expand our analytics requirements. Further work would be including but not limited to: scanner refinements, backtesting, portfolio optimisation, performance analytics.
The parameters that we want available for us to search and sort for include: Index Price, Index Name, Index Volume, Option Volume, Weekly or Monthly Contracts, 4-7 day Implied Volatility Level, 4-7 day Realized Volatility Level, lag corrected between these 2 values, level of spread between these values, distribution of spread, ATM straddle performance, expected current Realized Volatility Level for given Implied Volatility Level and distribution, Expected Straddle performance and distribution.
2-5 years of data to be pulled on each option plus current data added weekly. Easy to understand user interface (Shiny is one we are familiar with) with graphical and numerical presentation.
Further detail can be given on indication of interest.
Requirements
R programming language
Formal Qualifications/Experience not required but completion of similar projects is sought after
Ownership of source code
Step by step hash explanation of source code
We envisage this being the start of a semi regular freelance contract as we expand our analytics requirements. Further work would be including but not limited to: scanner refinements, backtesting, portfolio optimisation, performance analytics.