LiveOption: Evaluating LLM Agents in Structured Option Trading with Nonlinear Payoffs

Haochen Luo, Yifan Li, Binh Minh An, Xiaolong Luo, Zhengzhao Lai, Yuan Zhang and Chen Liu

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Abstract: Large language models (LLMs) and multi-agent systems (MAS) have shown promise in financial decision-making, yet existing evaluations focus on equity trading and primarily assess directional prediction, overlooking the structural complexity of derivative markets. Option trading introduces fundamentally different challenges, including nonlinear payoffs and multi-leg strategy construction, requiring structured decisions rather than simple directional bets. We introduce LiveOption, an evaluation framework for LLM-based agents in option trading. LiveOption formulates the problem as structured sequential decision-making under realistic execution and capital constraints, and provides a reproducible environment with standardized interaction protocols. The framework includes three task suites covering portfolio overlays, event-driven earnings trading, and 0DTE intraday trading. We further propose a hierarchical metric suite that evaluates action validity, decision quality, risk characteristics, and outcome-level performance. Experiments show that current agents often fail to achieve competitive returns in most scenarios. LiveOption offers a principled testbed for evaluating structured decision-making beyond outcome-based metrics. Project Website: https://liveoption.github.io/

Date: 2026-09, Revised 2026-10
New Economics Papers: this item is included in nep-ain and nep-cmp
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