1. I'm intrigued by this idea, but I don't think I fully understand how it would work. I know futures have the concept of continuous contracts, but I've never seen anything like that for options. How would this be constructed? I think one of the real problems with this would be OTM options that expire worthless. Futures never expire worthless.
2. I agree, this would be very nice. Some of the more advanced graphs using theinterchangable models would be nice. Adding basic strategies like verticals, diagonals, iron condors and butterflies would definitely be slick and useful. Have you used some option specific packages for this before? What did you like about them, what didn't you like about them?
One note, this may or may not be of use to you today, but we have an OptionCalculator class built into RightEdge that you can access from code. Also, the IB plugin does support options.
1. When an investor replaces an old options position with a new one having a later expiration date (and same strike price) this called a roll-forward. Obviously this produces a gap in prices, but the solution is the same as with continuous futures contracts: back-adjust price series to remove all gaps. Rolling date is not necessary expiration date: it could be previous month when remaining time until expiration does not influence option price that much (hint: make roll-over date configurable). So if we have a set of options with expirations every month, we could take one month of quotes from each option starting 8 weeks before expiration and then remove gaps starting from the latest option going backwards. This page explains the process better: http://www.premiumdata.net/support/futurescontinuous2.php
. This approach simulates strategy when client doesn't use LEAPS, but frequently rolls-over short-term options if he doesn't want to sell them or let them expire yet.
2. I am thinking about it as just an indicator class that accepts several option price series as inputs, applies some calculation model to make them behave like iron condor or butterfly etc (using predefined enum or completely customizable model) and returns new price series. In this case it could be drawn on chart or used in the strategy - anything user wants.
Although I've seen lots of charting/trading packages, I haven't seen anything that allows charting of complex options. If you implement this it will be pretty cool and unique feature comparing to all competitors. Some of my ideas are influences by ThinkOrSwim desktop client which is also cool and powerful but lacks some important things like automation and customization.