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@joaquinbejar joaquinbejar released this 11 Jun 14:55
· 84 commits to main since this release
v0.5.3
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Release Notes: Version 0.5.3 - Delta Neutrality Fixes for Short Strangle

Summary

This emergency patch addresses critical issues in delta neutrality calculations for the short_strangle strategy. It also brings improvements in validation logic, code structure, and test coverage to ensure more reliable and accurate execution.

What's New

  • generate_delta_adjustments Function: Newly implemented method for calculating delta adjustments with improved precision and robust error handling.

Enhancements

  • Fully refactored delta adjustment logic: simplified contract calculations, removed redundant code, and improved error handling.
  • Separated call and put implied volatility handling in the short_strangle strategy for more accurate modeling.
  • Enhanced delta neutrality validation by checking total size and improving error messages.
  • Updated visualizations with enriched Plotly features.
  • General code cleanup: removed unused imports, redundant spacing, and standardized numeric formatting.

Bug Fixes

  • Fixed incorrect delta adjustment logic that produced inaccurate results in certain configurations.
  • Improved error handling for failed delta adjustment generation to prevent silent failures.
  • Refined delta neutrality validation logic for greater accuracy and robustness.

Documentation Updates

  • Updated in-code comments to clarify delta adjustment logic.
  • Enhanced test suite structure and readability.

Migration Notes

  • No breaking changes introduced. Users are strongly encouraged to update to benefit from the critical fixes and enhancements.
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