Option assignment when out of the money.

Here are the identified issues in the provided code that could lead to unexpected behavior, such as option assignment:

1. Symbol Assignment: The line self.symbol = self.qqq.symbol should be self.symbol = self.qqq.Symbol.

2. Consolidate Method: The consolidate method call should be self.consolidate(self.symbol, timedelta(days=1), self.consolidation_handler). Ensure timedelta is imported.

3. Brokerage Name: Use BrokerageName.QuantConnectBrokerage instead of BrokerageName.QUANTCONNECT_BROKERAGE.

4. Benchmark Setting: The set_benchmark method should be passed a function that returns a float, not self.symbol.

5. Datetime and Timedelta: Ensure datetime and timedelta are imported.

6. Color Attributes: Use Color.Red and Color.Blue instead of Color.red and Color.blue.

7. Option Chain Provider: The get_option_contract_list method should be called with self.symbol.Value or simply self.symbol.

8. Numpy Module: Ensure numpy is imported as import numpy as np.

9. Data Access: Access data with data.Bars[self.symbol] or similar, depending on the data structure.

10. Liquidate Method: The liquidate method should be called with self.symbol.Value or simply self.symbol.

11. Type Errors: Ensure correct types are used, particularly with list comprehensions and indexing.

By addressing these issues, the algorithm should function more reliably and avoid unexpected behavior such as incorrect option assignments.

Sources: Momentum Effect In Commodities Futures, Option Expiration Week Effect, Leveraged ETFs With Systematic Risk Management, Greeks and IV Implementation, Order Errors - QuantConnect.com

This does not answer my question. I already fixed all suggested fixes. 

Hi Maksat

The underlying price is $393.95, which is higher than the strike, so the shorted call is being assigned. I don't see any issue here. You may want to check the raw price of SPY with a third-party source but not the adjusted price.

Best
Louis

Hi Louis Szeto , 

Thanks for checking this. Please see trading view price on Dec 21st. 

$393.95 is actually next days closing price (Dec 22nd). For this particular day, option has not been closed at midnight even though it has expired (and was out of money).  

 

Hi Jared Broad, Louis Szeto 

Can you guys please help me to debug this issue? I have tried many things (such as disabling OptionAssignment Model, etc.) and can't find solution.  

As I shown above (both from 3rd party and QuantConnect data), QQQ price indeed closed well below Call strike price of $391 on option expiration day. However, backtest still triggered early assignment. 

Maybe, another information can be helpfull. 

During backtesting, I realized options contract was not closed during the midnight, which was not the case on other days. 

Hi Maksat

The order log shows that the option was assigned at midnight on 23 Dec using 22 Dec's close price of $393.95. The contract is indeed expiring on 22 Dec 2021 market close. There is no error here.

Best
Louis