Equity Options Trading Simple Example

Let's review the code and identify the issues that might be causing it not to trade:

1. Undefined Variable calls: In the on_data method, the variable calls is used but not defined. You need to filter the option contracts from the chain to get only the call options. Here's how you can define calls:

    calls = [contract for contract in chain if contract.right == OptionRight.CALL]
   

2. Contract Selection Logic: The logic to select the contract is inside the condition if self.contract and chain. However, self.contract is initially None, and it seems like you want to select a contract when self.contract is not set. You might want to adjust the condition to check if self.contract is None instead:

    if chain and not self.contract:
   

3. Portfolio Check: The line self.portfolio[self.contract.symbol].invested will raise an error if self.contract is None. Ensure that self.contract is assigned a valid contract before checking if it's invested.

4. Contract Assignment: The assignment of self.contract should happen before you attempt to place an order. Ensure that self.contract is assigned correctly after selecting the desired contract.

5. Order Placement: Ensure that the order placement logic is correctly placed after the contract selection and assignment.

Here's the corrected version of the on_data method:

def on_data(self, slice: Slice) -> None:
    if self.portfolio[self.underlying].invested:
        self.liquidate(self.underlying)

    chain = slice.option_chains.get(self.option_symbol)
    if chain and not self.contract:
        # Filter call options
        calls = [contract for contract in chain if contract.right == OptionRight.CALL]

        if calls:
            # Find the furthest expiry
            furthest_expiry = sorted(calls, key=lambda x: x.expiry, reverse=True)[0].expiry
            furthest_expiry_calls = [contract for contract in calls if contract.expiry == furthest_expiry]

            # Select the contract closest to the underlying price
            self.contract = sorted(furthest_expiry_calls, key=lambda x: abs(chain.underlying.price - x.strike))[0]

            # Place an order for the selected contract
            self.market_order(self.contract.symbol, 1)

Make sure to test the updated code to ensure it behaves as expected.

Sources: Automating the Wheel Strategy, Greeks and IV Implementation, Handling Data - QuantConnect.com, Covered Call - QuantConnect.com, Individual Contracts - QuantConnect.com