This release adds 3 notable features for engineering teams evaluating rollout.
✓ No known CVEs patched in this version
Topics
+3 more
Summary
AI summaryAdds comprehensive options support across pricing, replay, and backtesting modules.
Changes in this release
| Type | Severity | Summary | CVE |
|---|---|---|---|
| Feature | Medium |
Adds Black‑Scholes pricer and implied‑volatility solver. Adds Black‑Scholes pricer and implied‑volatility solver. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Adds analytic option greeks (first and second order). Adds analytic option greeks (first and second order). Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Introduces OptionQuote event type for recording and replaying option quotes. Introduces OptionQuote event type for recording and replaying option quotes. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Adds support for loading Deribit option chains as OptionQuote frames. Adds support for loading Deribit option chains as OptionQuote frames. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Implements SymbolInfo contract spec with multiplier, settlement, and exercise details. Implements SymbolInfo contract spec with multiplier, settlement, and exercise details. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Adds option expiry cash‑settlement engine to the backtester. Adds option expiry cash‑settlement engine to the backtester. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Aggregates portfolio greeks across perpetual and option legs. Aggregates portfolio greeks across perpetual and option legs. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Provides band‑based delta‑neutral hedger for portfolios. Provides band‑based delta‑neutral hedger for portfolios. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Adds American option pricing via CRR binomial and Barone‑Adesi‑Whaley methods. Adds American option pricing via CRR binomial and Barone‑Adesi‑Whaley methods. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Medium |
Implements SVI implied‑volatility surface with point‑in‑time builds. Implements SVI implied‑volatility surface with point‑in‑time builds. Source: llm_adapter@2026-05-31 Confidence: high |
— |
| Feature | Low |
Adds volatility cone showing realized‑vol percentiles vs implied vol. Adds volatility cone showing realized‑vol percentiles vs implied vol. Source: granite4.1:30b@2026-05-31-audit Confidence: low |
— |
| Feature | Low |
Introduces trading calendar handling 24/7 crypto and session‑based equity hours. Introduces trading calendar handling 24/7 crypto and session‑based equity hours. Source: granite4.1:30b@2026-05-31-audit Confidence: low |
— |
| Feature | Low |
Adds contract multiplier and option‑premium semantics to cross‑margin Account in backtest. Adds contract multiplier and option‑premium semantics to cross‑margin Account in backtest. Source: granite4.1:30b@2026-05-31-audit Confidence: low |
— |
| Feature | Low |
Implements realistic illiquid‑option fill model in backtester. Implements realistic illiquid‑option fill model in backtester. Source: granite4.1:30b@2026-05-31-audit Confidence: low |
— |
| Feature | Low |
Extends OptionQuote frame to carry bid/ask, depth, IV, and forward data. Extends OptionQuote frame to carry bid/ask, depth, IV, and forward data. Source: granite4.1:30b@2026-05-31-audit Confidence: low |
— |
| Bugfix | Medium |
Fixes libclang system‑include discovery to be flake‑proof. Fixes libclang system‑include discovery to be flake‑proof. Source: granite4.1:30b@2026-05-31-audit Confidence: low |
— |
Full changelog
v0.6.5 is mostly focused on options.
This release adds everything needed to work with options and derivatives in flox: pricing (Black-Scholes, American options, an implied-vol surface and a vol cone), greeks both per-position and across a whole portfolio of perps and options, and tools for delta-neutral hedging. It can now record and replay option quotes — including loading Deribit option chains — and the backtester understands option-specific mechanics like expiry, exercise and assignment, contract multipliers, and realistic fills on thinly-traded options. There’s also a trading calendar so both 24/7 crypto and session-based equity hours work correctly.
- feat(pricing): Black-Scholes pricer + implied-vol solver by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/336
- feat(pricing): analytic option greeks (first + second order) by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/337
- feat(replay): OptionQuote event type + OptionQuoteRecord by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/338
- feat(replay): write and read OptionQuote frames by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/339
- feat(replay): pybind option-quote write/read by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/340
- feat(archives): preserve Deribit option mark/iv/index as OptionQuote frames by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/341
- feat(archives): Deribit option chain loading and querying by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/342
- fix(codegen): make libclang system-include discovery flake-proof by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/343
- feat(engine): SymbolInfo contract spec — multiplier, settlement, exercise by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/344
- feat(backtest): option expiry cash-settlement engine by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/345
- feat(position): portfolio greeks aggregation across perp and option legs by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/346
- feat(position): band-based delta-neutral hedger by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/347
- feat(position): cost-of-hedge analyzer + rebalance-band optimizer by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/348
- feat(pricing): American option pricing — CRR binomial + Barone-Adesi-Whaley by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/349
- feat(position): hedge strategy templates + end-to-end backtest by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/350
- feat(pricing): SVI implied-volatility surface with point-in-time as-of builds by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/351
- feat(backtest): American option exercise + assignment mechanics by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/352
- feat(pricing): cost-of-carry generalization + discrete-dividend European pricing by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/354
- feat(engine): trading calendar — 24/7 crypto vs session-based equity hours by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/355
- feat(backtest): contract multiplier + option-premium semantics in cross-margin Account by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/353
- feat(pricing): volatility cone — realized-vol percentiles vs implied by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/356
- feat(backtest): realistic illiquid-option fill model by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/357
- feat(replay): carry bid/ask in the OptionQuote frame by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/358
- feat(replay): depth + bid/ask IV + forward in the OptionQuote frame by @eeiaao in https://github.com/FLOX-Foundation/flox/pull/359
Full Changelog: https://github.com/FLOX-Foundation/flox/compare/v0.6.4...v0.6.5
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