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arXiv · 2609.33470

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

Haochen Luo·Yifan Li·Binh Minh An·Xiaolong Luo·Zhengzhao Lai·Yuan Zhang·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.

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Haochen Luo, Yifan Li, Binh Minh An, Xiaolong Luo, Zhengzhao Lai, Yuan Zhang, Chen Liu. 2026-09-27. LiveOption: Evaluating LLM Agents in Structured Option Trading with Nonlinear Payoffs. https://arxiv.org/abs/2609.33470

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