Universes
Index Options
Create Universes
To add a universe of Index Option contracts, in the Initialize
initialize
method, call the AddIndexOption
add_index_option
method. This method returns an Option
object, which contains the canonical Symbol
symbol
. You can't trade with the canonical Option Symbol
symbol
, but save a reference to it so you can easily access the Option contracts in the OptionChain that LEAN passes to the OnData
on_data
method. The method to create the universe depends on if the Index Options you want require a target ticker.
Create Standard Universes
To create a universe of Index Options based on an index like VIX, SPX, or NDX, pass the index ticker to the AddIndexOption
add_index_option
method.
var option = AddIndexOption("VIX"); _symbol = option.Symbol;
option = self.add_index_option("VIX") self._symbol = option.symbol
The following table describes the AddIndexOption
add_index_option
method arguments for standard universes:
Argument | Data Type | Description | Default Value |
---|---|---|---|
ticker | string str | The underlying Index ticker. To view the supported indices, see Supported Assets. | |
resolution | Resolution? Resolution/NoneType | The resolution of the market data. To view the supported resolutions, see Resolutions. | None null |
market | string str | The Index Option market. | Market.USA |
fillForward fill_forward | bool | If true, the current slice contains the last available data even if there is no data at the current time. | True true |
If you add an Option universe for an underlying Index that you don't have a subscription for, LEAN automatically subscribes to the underlying Index and sets its fill forward property to match that of the Index Option universe
Create Non-Standard Universes
To create a universe of non-standard Index Options like weekly VIX contracts, pass the index Symbol and target Option ticker to the AddIndexOption
add_index_option
method.
var indexSymbol = AddIndex("VIX").Symbol; var option = AddIndexOption(indexSymbol, "VIXW"); _symbol = option.Symbol;
index_symbol = self.add_index("VIX").symbol option = self.add_index_option(index_symbol, "VIXW") self._symbol = option.symbol
The following table describes the AddIndexOption
add_index_option
method arguments for non-standard universes:
Argument | Data Type | Description | Default Value |
---|---|---|---|
underlying | Symbol | The underlying Index Symbol . To view the supported indices, see Supported Assets. | |
targetOption target_option | string str | The target Option ticker. To view the supported target Options, see Supported Assets. | |
resolution | Resolution? Resolution/NoneType | The resolution of the market data. To view the supported resolutions, see Resolutions. The Index resolution must be less than or equal to the Index Option resolution. For example, if you set the Index resolution to minute, then you must set the Index Option resolution to minute, hour, or daily. | None null |
market | string str | The Index Option market. | Market.USA |
fillForward fill_forward | bool | If true, the current slice contains the last available data even if there is no data at the current time. | True true |
If you add an Option universe for an underlying Index that you don't have a subscription for, LEAN automatically subscribes to the underlying Index.
Configure Reality Models
To override the default pricing model of the Option, set a pricing model.
option.price_model = OptionPriceModels.crank_nicolson_fd();
option.price_model = OptionPriceModels.crank_nicolson_fd()
To override the initial guess of implied volatility, set and warm up the underlying volatility model.
Filter Contracts
By default, LEAN subscribes to the Option contracts that have the following characteristics:
- Standard type (exclude weeklys)
- Within 1 strike price of the underlying asset price
- Expire within 35 days
To adjust the universe of contracts, set a filter. The filter usually runs at the first bar of every day. When the filter selects a contract that isn't currently in your universe, LEAN adds the new contract data to the next Slice
that it passes to the OnData
on_data
method.
To set a contract filter, in the Initialize
initialize
method, call the SetFilter
set_filter
method of the Option
object. The following table describes the available filter techniques:
Method | Description |
---|---|
SetFilter(int minStrike, int maxStrike) set_filter(minStrike: int, maxStrike: int) | Selects the contracts that have a strike price within a minimum and maximum strike level relative to the underlying price. For example, say the underlying price is $302 and there are strikes at every $5. If you set minStrike m_strike to -1 and maxStrike max_strike to 1, LEAN selects the contracts that have a strike of $300 or $305. This filter runs asynchronously by default. |
SetFilter(TimeSpan minExpiry, TimeSpan maxExpiry) set_filter(minExpiry: timedelta, maxExpiry: timedelta) | Selects the contracts that expire within the range you set. This filter runs asynchronously by default. |
SetFilter(int minStrike, int maxStrike, TimeSpan minExpiry, TimeSpan maxExpiry) set_filter(minStrike: int, maxStrike: int, minExpiry: timedelta, maxExpiry: timedelta) | Selects the contracts that expire and have a strike within the range you set. This filter runs asynchronously by default. |
SetFilter(Func<OptionFilterUniverse, OptionFilterUniverse> universeFunc) set_filter(universeFunc: Callable[[OptionFilterUniverse], OptionFilterUniverse]) | Selects the contracts that a function selects. |
// Select contracts that have a strike price within 1 strike level above and below the underlying price option.SetFilter(minStrike: -1, maxStrike: 1); // Select contracts that expire within 30 days option.SetFilter(minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30)); // Select contracts that have a strike price within 1 strike level and expire within 30 days option.SetFilter(minStrike: -1, maxStrike: 1, minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30)); // Select call contracts option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly());
# Select contracts that have a strike price within 1 strike level above and below the underlying price option.set_filter(min_strike=-1, max_strike=1) # Select contracts that expire within 30 days option.set_filter(min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30)) # Select contracts that have a strike price within 1 strike level and expire within 30 days option.set_filter(min_strike=-1, max_strike=1, min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30)) # Select call contracts option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only())
The following table describes the filter methods of the OptionFilterUniverse
class:
Method | Description |
---|---|
Strikes(int minStrike, int maxStrike) strikes(min_strike: int, max_strike: int) | Selects contracts that are within minStrike m_strike strikes below the underlying price and maxStrike max_strike strikes above the underlying price |
CallsOnly() calls_only() | Selects call contracts |
PutsOnly() puts_only() | Selects put contracts |
StandardsOnly() standards_only() | Selects standard contracts |
IncludeWeeklys() include_weeklys() | Selects non-standard weeklys contracts |
WeeklysOnly() weeklys_only() | Selects weekly contracts |
FrontMonth() front_month() | Selects the front month contract |
BackMonths() back_months() | Selects the non-front month contracts |
BackMonth() back_month() | Selects the back month contracts |
Expiration(TimeSpan minExpiry, TimeSpan maxExpiry) expiration(min_expiry: timedelta, max_expiry: timedelta) | Selects contracts that expire within a range of dates relative to the current day |
Expiration(int minExpiryDays, int maxExpiryDays) expiration(min_expiryDays: int, max_expiryDays: int) | Selects contracts that expire within a range of dates relative to the current day |
Contracts(IEnumerable<Symbol> contracts) contracts(contracts: List[Symbol]) | Selects a list of contracts |
Contracts(Func<IEnumerable<Symbol>, IEnumerable< Symbol>> contractSelector) contracts(contract_selector: Callable[[List[Symbol]], List[Symbol]]) | Selects contracts that a selector function selects |
The preceding methods return an OptionFilterUniverse
, so you can chain the methods together.
// Example 1: Select the front month call contracts option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly().FrontMonth()); // Example 2: Select the contracts (including weeklys) that expire in the next 90 days option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().Strikes(-20, 20).Expiration(0, 90));
# Example 1: Select the front month call contracts option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only().front_month()) # Example 2: Select the contracts (including weeklys) that expire in the next 90 days option.set_filter(lambda option_filter_universe: option_filter_universe.include_weeklys().strikes(-20, 20).expiration(0, 90))
To perform thorough filtering on the OptionFilterUniverse
, define an isolated filter method.
// In Initialize option.SetFilter(Selector); private OptionFilterUniverse Selector(OptionFilterUniverse optionFilterUniverse) { var symbols = optionFilterUniverse.PutsOnly(); var strike = symbols.Select(symbol => symbol.ID.StrikePrice).Min(); symbols = symbols.Where(symbol => symbol.ID.StrikePrice == strike); return optionFilterUniverse.Contracts(symbols); }
# In Initialize option.SetFilter(self.contract_selector) def contract_selector(self, option_filter_universe: OptionFilterUniverse) -> OptionFilterUniverse: symbols = option_filter_universe.puts_only() strike = min([symbol.id.strike_price for symbol in symbols]) symbols = [symbol for symbol in symbols if symbol.id.strike_price == strike] return option_filter_universe.contracts(symbols)
Some of the preceding filter methods only set an internal enumeration in the OptionFilterUniverse
that it uses later on in the filter process. This subset of filter methods don't immediately reduce the number of contract Symbol
objects in the OptionFilterUniverse
.
Navigate Option Chains
OptionChain
objects represent an entire chain of Option contracts for a single underlying security. They have the following properties:
To get the OptionChain
, index the OptionChains
option_chains
property of the Slice
with the canonical Symbol
symbol
. After you get the OptionChain
, you can sort and filter the Option contracts in the chain.
public override void OnData(Slice slice) { if (slice.OptionChains.TryGetValue(_symbol, out var chain)) { // Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration var contracts = chain .Where(x => x.Right == OptionRight.Put) .OrderByDescending(x => x.Expiry) .ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike)) .Take(5); // Select the contract with the delta closest to -0.5 var contract = contracts.OrderBy(x => Math.Abs(-0.5m - x.Greeks.Delta)).FirstOrDefault(); } }
def on_data(self, slice: Slice) -> None: chain = slice.option_chains.get(self.symbol) if chain: # Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration contracts = [x for x in chain if x.right == OptionRight.PUT] contracts = sorted(sorted(contracts, \ key = lambda x: abs(chain.underlying.price - x.strike)), \ key = lambda x: x.expiry, reverse=True)[:5] # Select the contract with the delta closest to -0.5 contract = sorted(contracts, key=lambda x: abs(-0.5 - x.greeks.delta))[0]
You can also loop through the OptionChains
option_chains
property to get each OptionChain
.
public override void OnData(Slice slice) { foreach (var kvp in slice.OptionChains) { var canoncialSymbol = kvp.Key; var chain = kvp.Value; var contracts = chain.Contracts; } }
def on_data(self, slice: Slice) -> None: for canonical_symbol, chain in slice.option_chains.items(): contracts = chain.contracts