Add `Deltable` Option to `FindOptimalSide` for Delta-Neutral Strategies

[joaquinbejar]

The FindOptimalSide enumeration needs to be modified to include a new option called Deltable. This option will allow selecting strikes in a strategy that ensure delta neutrality. In a two-position strategy, it prevents both positions from having a positive or negative delta simultaneously. Instead, one position must have a positive delta while the other has a negative delta.

This enhancement will improve flexibility in finding optimal pricing sides for strategies that require balanced delta exposure.

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Tasks

Implementation:

• Add the Deltable variant to FindOptimalSide.
• Modify the search logic to support Deltable, ensuring that in two-position strategies:
  • One position has a positive delta.
  • The other position has a negative delta.

Testing:

• Implement unit tests for Deltable, verifying that:
  • Strike selection follows the delta-neutral condition.
  • Configurations where both positions have a positive or negative delta are avoided.
• Include tests for different market scenarios.

Documentation:

• Update the FindOptimalSide documentation to describe the Deltable option and its purpose.
• Provide examples of using Deltable in delta-neutral strategies.

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Additional Notes

• The implementation should be efficient and align with the existing system logic.
• Ensure that this feature does not break compatibility with current strategies.

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Labels

enhancement, options-trading, delta-neutral, testing, documentation