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Delta-hedged straddle

Below an example of a delta-hedged straddle on the SPY. 

Strategy in a nutshell: 

  • sell 1-month At-The-Money call and put options on the SPY, 
  • delta-hedge once a day (if delta above a threshold), 
  • close other option in case one is assigned (or both on their last trading day),
  • Repeat.
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Alex - Thank you for sharing this!! Excellent work

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You're welcome ;-)

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Hi Alex, thanks for posting this excellent straddle algorithm. 

LEAN has this method to get all American public holidays.

self.TradingCalendar.GetDaysByType(TradingDayType.PublicHoliday, startDate, EndDate)

Here is an example to demonstrate this method 

https://www.quantconnect.com/tutorials/strategy-library/pre-holiday-effect
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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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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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