Delta-Neutral Options Trading Simulator

This project simulates a delta-neutral long straddle options strategy using the Black-Scholes model and dynamic delta hedging. It evaluates how daily rebalancing affects the profit/loss of the portfolio over one year using SPY.

Strategy Summary

• Position: Buy 1 call + 1 put (ATM, same expiry) = Long straddle
• Delta-Neutral: Offset options' combined delta with SPY positions
• Goal: Profit from large movements in SPY regardless of direction

Features

• Prices call/put options using the Black-Scholes formula
• Simulates SPY price path using geometric Brownian motion
• Recalculates delta daily and rebalances with SPY shares
• Tracks portfolio value and visualizes cumulative P&L

Files

• delta_neutral_simulation.py: Main simulation script
• requirements.txt: Install dependencies with pip install -r requirements.txt

Getting Started

Clone the repo and run the simulation:

pip install -r requirements.txt
python delta_neutral_simulation.py