Entry on long straddles to anticipate earnings surprises

Hi there,

I'm trying to create code that identifies those underlyings that are having earnings days in 7 days, add them to my universe to buy a long straddle, then sell those positions on earnings day.

With my code it seems to be identifying those items in the universe that are having earnings days in 7 days and adding them, however:

                if (data.OptionChains.TryGetValue(OptionSymbol, out chain))

this is never evaluating to true (and I'm thus never executing a trade). I've debuged the OptionSymbol object and it's not undefined or anything, thoughts? According to this file: 'fb,' for instance, should have options data.

My code is attached.

Thanks for the help!

Update Backtest

@Alexandre Catarino, in your example of OnSecuritiesChanged what would happen with options that are currently in the universe? Wouldn't they automatically get included in RemovedSecurities next time CoarseSelection function runs, since it only returns underlying equities? So even if your equity ticker remains in the universe it seems its Options will be removed.


Update Backtest


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