Future Options
Requesting Data
Introduction
Request Future 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 Future Options dataset listing. To trade Future Options live, you can use our Future Options data feed or one of the brokerage data feeds. We currently only support American-style Options for Future Options.
Create Subscriptions
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 Futures Contract
In most cases, you should subscribe to the underlying Futures contract before you subscribe to a Futures Option contract. If you don't, LEAN automatically subscribes to the underlying Futures contract with the following settings:
Setting | Value |
---|---|
Fill forward | Same as the Option contract |
Leverage | 0 |
Extended Market Hours | Same as the Option contract |
In this case, you still need the Futures contract Symbol
to subscribe to Futures Option contracts. If you don't have access to it, create it.
_futureContractSymbol = QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2022, 6, 17));
self.future_contract_symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, datetime(2022, 6, 17))
For more information about getting the Symbol
of Futures contracts, see Create Subscriptions.
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.
_optionContractSymbol = QuantConnect.Symbol.CreateOption(_futureContractSymbol, Market.CME, OptionStyle.American, OptionRight.Call, 3600, new 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:
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 Future Options.
|
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.BinomialCoxRossRubinstein();
option = self.AddFutureOptionContract(self.option_contract_symbol) option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein()
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));
seeder = FuncSecuritySeeder(self.GetLastKnownPrices) self.SetSecurityInitializer(BrokerageModelSecurityInitializer(self.BrokerageModel, seeder))
Supported Assets
To view the supported assets in the US Future Options dataset, see Supported Assets.
Resolutions
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.
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.
AddFutureOptionContract(_optionContractSymbol, fillForward: false);
self.AddFutureOptionContract(self.option_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.
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.
Data Normalization
The data normalization mode doesn't affect the data that LEAN passes to OnData
or the data from history request. If you change the data normalization mode, it won't change the outcome.
Remove Subscriptions
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.
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[_optionContractSymbol]; var underlying = Securities[_optionContractSymbol.Underlying]; var underlyingPrice = underlying.Price;
option = self.Securities[self.option_contract_symbol] underlying = self.Securities[self.option_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)