ETF SPZY

This project is an ETF that seeks to hedge any risk associated with SPX by using out-of-the-money options to reduce loss.

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Inspiration

Before I note anything else, I would like to mention that I worked alone on this project and so I was not constantly pushing my changes to git. I only uploaded my files to GitHub once I was done because I did not have any teammates for this event.

I was inspired by my love for algorithms. I have had some exposure to applications of algorithms during Jane Street's AMP program and I wanted to build an algorithm of my own during this hackathon.

What it does

The strategy consists of owning the underlying stock of spx and buying out of the money puts and selling out of the money calls each week in order to minimize the amount our position can change over a given week. This strategy performs the best when the underlying experiences gradual positive growth.

How we built it

I built it using Python's pandas library which helped me parse the data and perform the necessary calculations to determine which options to purchase and which options to sell. I also used matplotlib in order to plot the performance of the ETF over certain years. I used html, css, and javascript to display the graphs and information about the strategy.

Challenges we ran into

A major challenge that I ran into was writing the code for the front end of the project. This is my first hackathon and I do not have any experience with designing the front end so I had to learn how the different pieces (html, css, and javascript) fit together in order to make a user experience.

Accomplishments that we're proud of

I am proud of the fact that I was able to finish the algorithm and display all on my own. I had to do both front end and back end development on this project and I feel as though I have truly expanded my programming and ideating capabilities.

What we learned

I learned that the idea is the hardest part to building projects. If the idea has no foundation, then implementation will be nearly impossible.

What's next for ETF SPZY

I plan to modify the strategy in order to take implied volatility into account. IV is an important metric to options and I would like to incorporate it into the strategy in order to make SPZY more robust.

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