Louis Szeto
70 lines
3.1 KiB
Python
70 lines
3.1 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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#region imports
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from AlgorithmImports import *
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#endregion
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class IndexOptionCallButterflyAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 1, 1)
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self.SetEndDate(2021, 1, 1)
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self.SetCash(1000000)
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self.vxz = self.AddEquity("VXZ", Resolution.Minute).Symbol
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index = self.AddIndex("SPX", Resolution.Minute).Symbol
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option = self.AddIndexOption(index, "SPXW", Resolution.Minute)
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option.SetFilter(lambda x: x.IncludeWeeklys().Strikes(-3, 3).Expiration(15, 45))
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self.spxw = option.Symbol
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self.multiplier = option.SymbolProperties.ContractMultiplier
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self.tickets = []
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def OnData(self, slice: Slice) -> None:
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# The order of magnitude per SPXW order's value is 10000 times of VXZ
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if not self.Portfolio[self.vxz].Invested:
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self.MarketOrder(self.vxz, 10000)
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# Return if any opening index option position
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if any([self.Portfolio[x.Symbol].Invested for x in self.tickets]): return
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# Get the OptionChain
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chain = slice.OptionChains.get(self.spxw)
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if not chain: return
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# Get nearest expiry date
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expiry = min([x.Expiry for x in chain])
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# Select the call Option contracts with nearest expiry and sort by strike price
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calls = [x for x in chain if x.Expiry == expiry and x.Right == OptionRight.Call]
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if len(calls) < 3: return
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sorted_call_strikes = sorted([x.Strike for x in calls])
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# Select ATM call
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atm_strike = min([abs(x - chain.Underlying.Value) for x in sorted_call_strikes])
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# Get the strike prices for the ITM & OTM contracts, make sure they're in equidistance
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spread = min(atm_strike - sorted_call_strikes[0], sorted_call_strikes[-1] - atm_strike)
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itm_strike = atm_strike - spread
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otm_strike = atm_strike + spread
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if otm_strike not in sorted_call_strikes or itm_strike not in sorted_call_strikes: return
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# Buy the call butterfly
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call_butterfly = OptionStrategies.CallButterfly(self.spxw, otm_strike, atm_strike, itm_strike, expiry)
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price = sum([abs(self.Securities[x.Symbol].Price * x.Quantity) * self.multiplier for x in call_butterfly.UnderlyingLegs])
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if price > 0:
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quantity = self.Portfolio.TotalPortfolioValue // price
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self.tickets = self.Buy(call_butterfly, quantity, asynchronous=True)
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