Future Options

Before you can subscribe to a Future Option contract, you may configure the underlying volatility model and you must get the contract Symbol.

Configure the Underlying Volatility Model

To override the initial guess of implied volatility, set and warm up the underlying volatility model.

Get Contract Symbols

To subscribe to a Future 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 contract details.

_futureContractSymbol = QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini,
    Market.CME, new DateTime(2022, 6, 17));
_optionContractSymbol = QuantConnect.Symbol.CreateOption(_futureContractSymbol,
    Market.CME, OptionStyle.American, OptionRight.Call, 3600, new DateTime(2022, 6, 17))

self.future_contract_symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini,
    Market.CME, datetime(2022, 6, 17))
self.option_contract_symbol = Symbol.CreateOption(self.future_contract_symbol,
    Market.CME, OptionStyle.American, OptionRight.Call, 3600, datetime(2022, 6, 17))

Another way to get a Future 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 Future contract on a given date. The Symbol you pass to the method can reference any of the following Futures contracts:

• The continuous Futures contract
• A contract in the Futures universe
• A contract that you added with AddFutureContract

To filter and select contracts that the GetOptionContractList method returns, you can use the following properties of each Symbol object:

var optionContractSymbols = OptionChainProvider.GetOptionContractList(_futureContractSymbol, Time);
var expiry = optionContractSymbols.Select(symbol => symbol.ID.Date).Min();
var filteredSymbols = optionContractSymbols.Where(symbol => symbol.ID.Date == expiry && symbol.ID.OptionRight == OptionRight.Call);
_optionContractSymbol = filteredSymbols.OrderByDescending(symbol => symbol.ID.StrikePrice).Last();

option_contract_symbols = self.OptionChainProvider.GetOptionContractList(self.future_contract_symbol, self.Time)
expiry = min([symbol.ID.Date for symbol in option_contract_symbols])
filtered_symbols = [symbol for symbol in option_contract_symbols if symbol.ID.Date == expiry and symbol.ID.OptionRight == OptionRight.Call]
self.option_contract_symbol = sorted(filtered_symbols, key=lambda symbol: symbol.ID.StrikePrice)[0]

Subscribe to Contracts

To create a Future Option contract subscription, pass the contract Symbol to the AddFutureOptionContract 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. To override the default pricing model of the Option, set a pricing model.

var option = AddFutureOptionContract(_optionContractSymbol);
option.PriceModel = OptionPriceModels.BjerksundStensland();

option = self.AddFutureOptionContract(self.option_contract_symbol)
option.PriceModel = OptionPriceModels.BjerksundStensland()

The AddFutureOptionContract method creates a subscription for a single Option contract and adds it to your user-defined universe. To create a dynamic universe of Future Option contracts, add a Future Options universe.

Warm Up Contract Prices

If you subscribe to a Future Option contract with AddFutureOptionContract, 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, this));

seeder = FuncSecuritySeeder(self.GetLastKnownPrices)
self.SetSecurityInitializer(BrokerageModelSecurityInitializer(self.BrokerageModel, seeder, self))

Supported Assets

To view the supported assets in the US Future Options dataset, see Supported Assets.

The following table shows the available resolutions and data formats for Future Option contract subscriptions:

Resolution	TradeBar	QuoteBar	Trade Tick	Quote Tick
Tick
Second
Minute
Hour
Daily

There is only one resolution option, so you don't need to pass a resolution argument to the AddFutureOptionContract method.

AddFutureOptionContract(_optionContractSymbol, Resolution.Minute);

self.AddFutureOptionContract(self.option_contract_symbol, Resolution.Minute)

To create custom resolution periods, see Consolidating Data.

The following Market enumeration members are available for Future Options:

You don't need to pass a Market argument to the AddFutureOptionContract method because the contract Symbol already contains the market.

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 fillDataForward argument to false when you create the security subscription.

AddFutureOptionContract(_optionContractSymbol, fillDataForward: false);

self.AddFutureOptionContract(self.option_contract_symbol, fillDataForward=False)

LEAN models buying power and margin calls to ensure your algorithm stays within the margin requirements. Future Options are already leveraged products, so you can't change their leverage.

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.

AddFutureOptionContract(_optionContractSymbol, extendedMarketHours: true);

self.AddFutureOptionContract(self.option_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.

To remove a contract subscription that you created with AddFutureOptionContract, call the RemoveOptionContract method. This method is an alias for RemoveSecurity.

RemoveOptionContract(_optionContractSymbol);

self.RemoveOptionContract(self.option_contract_symbol)

The RemoveOptionContract method cancels your open orders for the contract and liquidates your holdings.

The AddFutureOptionContract method returns an Option object, which have the following properties: