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Hi
I would like to sell put options based on their delta value. I've been looking at the applied options tutorials and found the below code which would allow me to sell put options but how can I select one that is nearest to expiration and based on a delta value?
# sorted the contracts according to their expiration dates and choose the ATM options
contracts = sorted(sorted(put, key = lambda x: abs(chain.Underlying.Price - x.Strike)),
key = lambda x: x.Expiry, reverse=True)
if len(contracts) == 0: return
self.put = contracts[0].Symbol
# short the put options and wait until expiration
self.MarketOrder(self.put, 1) Thanks
Ivan
Derek Melchin
Hi Ikicho,
See the attached backtest for an example of selecting the contract with the closest expiry and lowest delta.
Best,
Derek Melchin
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Iklcho
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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