Futures Options

start_date = datetime(2024, 1, 1)

# Select an underlying Futures contract. For example, get the front-month contract.
chain = list(qb.history[FutureUniverse](future.symbol, start_date, start_date+timedelta(2)))[0]
futures_contract = list(chain)[0].symbol

# Get the Options data for the selected Futures contract.
option_history = qb.option_history(
    futures_contract, start_date, futures_contract.id.date, Resolution.HOUR, 
    fill_forward=False, extended_market_hours=False
)

var startDate = new DateTime(2024, 1, 1);

// Select an underlying Futures contract. For example, get the front-month contract.
var chain = qb.History<FutureUniverse>(future.Symbol, startDate, startDate.AddDays(2)).First();
var futuresContract = chain.First().Symbol;

// Get the Options data for the selected Futures contract.
var optionHistory = qb.OptionHistory(
    futuresContract, startDate, futuresContract.ID.Date, Resolution.Hour, 
    fillForward: false, extendedMarketHours: false
);

// Load the required assembly files and data types in a separate cell.
#load "../Initialize.csx"

#load "../QuantConnect.csx"
using System;
using System.Collections.Generic;
using QuantConnect;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Algorithm;
using QuantConnect.Research;

// Import Plotly for plotting.
#r "../Plotly.NET.dll"
using Plotly.NET;
using Plotly.NET.LayoutObjects;

// Create a QuantBook.
var qb = new QuantBook();
// Set the date being studied.
var date = new DateTime(2024, 1, 4);

// Subscribe to the underlying Future.
var future = qb.AddFuture(Futures.Indices.SP500EMini);
// Select the front-month contract.
var chain = qb.History<FutureUniverse>(future.Symbol, date, date.AddDays(2)).First();
var futuresContract = chain.First().Symbol;

// Get the Options data for the selected Futures contract at the selected date.
var optionHistory = qb.OptionHistory(
    futuresContract, date.AddDays(-1), date, Resolution.Daily, 
    fillForward: false, extendedMarketHours: false
).Last();

var chain = optionHistory.OptionChains.Values.First();
// Study the closest expiring contracts.
var expiry = chain.Min(x => x.Expiry);
// Filter for the closest expiring calls to study only.
var filterContracts = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call).ToList();

// Obtain the strike and IV for plotting the IV curve.
var ivByStrike = new Dictionary<decimal, decimal>();
foreach (var contract in filterContracts)
{
    var strike = contract.Strike;
    var iv = contract.ImpliedVolatility;
    ivByStrike[strike] = iv;
}

// Crete the Line Chart with the PE Ratios.
var chart = Chart2D.Chart.Line<decimal, decimal, string>(
    ivByStrike.Keys,
    ivByStrike.Values
);
// Create a Layout as the plot settings.
LinearAxis xAxis = new LinearAxis();
xAxis.SetValue("title", "Strike");
LinearAxis yAxis = new LinearAxis();
yAxis.SetValue("title", "Implied Volatility");
Title title = Title.init($"IV Curve of {futuresContract}");

Layout layout = new Layout();
layout.SetValue("xaxis", xAxis);
layout.SetValue("yaxis", yAxis);
layout.SetValue("title", title);
// Assign the Layout to the chart.
chart.WithLayout(layout);

// Display the plot.
HTML(GenericChart.toChartHTML(chart))

# Instantiate a QuantBook instance.
qb = QuantBook()
# Set the date being studied.
date = datetime(2024, 1, 4)

# Subscribe to the underlying Future.
future = qb.add_future(Futures.Indices.SP_500_E_MINI)
# Select an underlying Futures contract. For example, get the front-month contract.
chain = list(qb.history[FutureUniverse](future.symbol, date, date+timedelta(2)))[0]
futures_contract = list(chain)[0].symbol
# Get the Options data for the selected Futures contract.
option_history = qb.option_history(
    futures_contract, date - timedelta(1), date, Resolution.DAILY, 
    fill_forward=False, extended_market_hours=False
)

chain = list(option_history)[-1].OptionChains.values()[0]
# Study the closest expiring contracts.
expiry = min(x.expiry for x in chain)
# Filter for the closest expiring calls to study only.
filter_contracts = [x for x in chain if x.expiry == expiry and x.right == OptionRight.CALL]

# Obtain the strike and IV for plotting the IV curve.
iv_by_strike = pd.Series({x.strike: x.implied_volatility for x in filter_contracts})
iv_by_strike.plot(title=f"IV Curve of {futures_contract}", ylabel="Implied Volatility", xlabel="Strike")