QUANTCONNECT COMMUNITY
Hello QC Community,
I would like to know if there is an option to filter ONLY otm strikes in SetFilter. So instead:
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option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(-15, +15)
.Expiration(timedelta(int(self.DELTAX * 1.3)), timedelta(int(self.DELTAY * 1.8)))
)with this:
.Strikes(range(-10,-15),range(+10,+15)?
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Varad Kabade
Hi Thomas,
Please see this related thread for more information.
Best,
Varad Kabade
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Thomas van Buuren
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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