Equity Options
Requesting Data
Introduction
Request Equity Options data in your algorithm to receive a feed of contract prices in the OnData
method. For more information about the specific dataset we use for backtests, see the US Equity Options dataset listing. To trade Equity Options live, you can use one of the brokerage data feeds. We currently only support American-style Options for US Equity Options.
Create Subscriptions
Before you can subscribe to an Option contract, you must configure the underlying Equity and get the contract Symbol
.
Configure the Underlying Equity
If you want to subscribe to the underlying Equity in the Initialize
method, set the Equity data normalization to DataNormalizationMode.Raw
.
_symbol = AddEquity("SPY", dataNormalizationMode: DataNormalizationMode.Raw).Symbol;
self.symbol = self.AddEquity("SPY", dataNormalizationMode=DataNormalizationMode.Raw).Symbol
If your algorithm has a dynamic universe of Equities, before you add the Equity universe in the Initialize
method, set the universe data normalization mode to DataNormalizationMode.Raw
.
UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
If you subscribe to an Equity Option contract but don't have a subscription to the underlying Equity, LEAN automatically subscribes to the underlying Equity with the following settings:
Setting | Value |
---|---|
Fill forward | Same as the Option contract |
Leverage | 0 |
Extended Market Hours | Same as the Option contract |
Data Normalization | DataNormalizationMode.Raw |
In this case, you still need the Equity Symbol
to subscribe to Equity Option contracts. If you don't have access to it, create it.
_symbol = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
self.symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
To override the initial guess of implied volatility, set and warm up the underlying volatility model.
Get Contract Symbols
To subscribe to an Option contract, you need the contract Symbol
. You can get the contract Symbol
from the CreateOption
method or from the OptionChainProvider
. If you use the CreateOption
method, you need to provide the details of an existing contract.
_contractSymbol = QuantConnect.Symbol.CreateOption(_symbol, Market.USA, OptionStyle.American, OptionRight.Call, 365, new DateTime(2022, 6, 17));
self.contract_symbol = Symbol.CreateOption(self.symbol, Market.USA, OptionStyle.American, OptionRight.Call, 365, datetime(2022, 6, 17))
Another way to get an Option contract Symbol
is to use the OptionChainProvider
. The GetOptionContractList
method of OptionChainProvider
returns a list of Symbol
objects that reference the available Option contracts for a given underlying Equity on a given date. To filter and select contracts, you can use the following properties of each Symbol
object:
Property | Description |
---|---|
ID.Date | The expiration date of the contract. |
ID.StrikePrice | The strike price of the contract. |
ID.OptionRight |
The contract type. The OptionRight enumeration has the following members:
|
ID.OptionStyle |
The contract style. The OptionStyle enumeration has the following members:
We currently only support American-style Options for US Equity Options.
|
var contractSymbols = OptionChainProvider.GetOptionContractList(_symbol, Time); var expiry = contractSymbols.Select(symbol => symbol.ID.Date).Min(); var filteredSymbols = contractSymbols.Where(symbol => symbol.ID.Date == expiry && symbol.ID.OptionRight == OptionRight.Call); _contractSymbol = filteredSymbols.OrderByDescending(symbol => symbol.ID.StrikePrice).Last();
contract_symbols = self.OptionChainProvider.GetOptionContractList(self.symbol, self.Time) expiry = min([symbol.ID.Date for symbol in contract_symbols]) filtered_symbols = [symbol for symbol in contract_symbols if symbol.ID.Date == expiry and symbol.ID.OptionRight == OptionRight.Call] self.contract_symbol = sorted(filtered_symbols, key=lambda symbol: symbol.ID.StrikePrice)[0]
Subscribe to Contracts
To create an Equity Option contract subscription, pass the contract Symbol
to the AddOptionContract
method. Save a reference to the contract Symbol
so you can easily access the Option contract in the OptionChain that LEAN passes to the OnData
method. This method returns an Option
object. To override the default pricing model of the Option, set a pricing model.
var option = AddOptionContract(_contractSymbol); option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();
option = self.AddOptionContract(self.contract_symbol) option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein()
The AddOptionContract
method creates a subscription for a single Option contract and adds it to your user-defined universe. To create a dynamic universe of Option contracts, add an Equity Options universe or an Options Universe Selection model.
Warm Up Contract Prices
If you subscribe to an Option contract with AddOptionContract
, you'll need to wait until the next Slice
to receive data and trade the contract. To trade the contract in the same time step you subscribe to the contract, set the current price of the contract in a security initializer.
var seeder = new FuncSecuritySeeder(GetLastKnownPrices); SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel, seeder));
seeder = FuncSecuritySeeder(self.GetLastKnownPrices) self.SetSecurityInitializer(BrokerageModelSecurityInitializer(self.BrokerageModel, seeder))
Supported Assets
To view the supported assets in the US Equities dataset, see the Data Explorer.
Resolutions
The following table shows the available resolutions and data formats for Equity Option contract subscriptions:
Resolution | TradeBar | QuoteBar | Trade Tick | Quote Tick |
---|---|---|---|---|
Tick | ||||
Second | ||||
Minute | ![]() | ![]() | ||
Hour | ![]() | ![]() | ||
Daily | ![]() | ![]() |
The default resolution for Option contract subscriptions is Resolution.Minute
. To change the resolution, pass a resolution
argument to the AddOptionContract
method.
AddOptionContract(_contractSymbol, Resolution.Minute);
self.AddOptionContract(self.contract_symbol, Resolution.Minute)
To create custom resolution periods, see Consolidating Data.
Fill Forward
Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.
To disable fill forward for a security, set the fillForward
argument to false when you create the security subscription.
AddOptionContract(_contractSymbol, fillForward: false);
self.AddOptionContract(self.contract_symbol, fillForward=False)
Extended Market Hours
By default, your security subscriptions only cover regular trading hours. To subscribe to pre and post-market trading hours for a specific asset, enable the extendedMarketHours
argument when you create the security subscription.
AddOptionContract(_contractSymbol, extendedMarketHours: true);
self.AddOptionContract(self.contract_symbol, extendedMarketHours=True)
You only receive extended market hours data if you create the subscription with minute, second, or tick resolution. If you create the subscription with daily or hourly resolution, the bars only reflect the regular trading hours.
To view the schedule of regular and extended market hours, see Market Hours.
Data Normalization
The data normalization mode doesn't affect the data that LEAN passes to OnData
or the data from history request. By default, LEAN doesn't adjust Equity Options data for splits and dividends of their underlying. If you change the data normalization mode, it won't change the outcome.
If you hold an Option contract when a corporate action occurs for the underlying Equity, LEAN automatically closes your position.
Remove Subscriptions
To remove a contract subscription that you created with AddOptionContract
, call the RemoveOptionContract
method. This method is an alias for RemoveSecurity
.
RemoveOptionContract(_contractSymbol);
self.RemoveOptionContract(self.contract_symbol)
The RemoveOptionContract
method cancels your open orders for the contract and liquidates your holdings.
Helper Methods
The Option
object provides methods you can use for basic calculations. These methods require the underlying price. To get the Option
object and the Security
object for its underlying in any function, use the Option Symbol
to access the value in the Securities
object.
var option = Securities[_contractSymbol]; var underlying = Securities[_contractSymbol.Underlying]; var underlyingPrice = underlying.Price;
option = self.Securities[self.contract_symbol] underlying = self.Securities[self.contract_symbol.Underlying] underlying_price = underlying.Price
To get the Option payoff, call the GetPayOff
method.
var payOff = option.GetPayOff(underlyingPrice);
pay_off = option.GetPayOff(underlying_price)
To get the Option intrinsic value, call the GetIntrinsicValue
method.
var intrinsicValue = option.GetIntrinsicValue(underlyingPrice);
intrinsic_value = option.GetIntrinsicValue(underlying_price)
To get the Option out-of-the-money amount, call the OutOfTheMoneyAmount
method.
var otmAmount = option.OutOfTheMoneyAmount(underlyingPrice);
otm_amount = option.OutOfTheMoneyAmount(underlying_price)
To check whether the Option can be automatic exercised, call the IsAutoExercised
method.
var isAutoExercised = option.IsAutoExercised(underlyingPrice);
is_auto_exercised = option.IsAutoExercised(underlying_price)