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Short Strangle delta x example needed. Thanks

Hello, I'm trying to code a simple short strangle strategy dased on delta.

Has someone already coded something similar?

Than you

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Why this doesn't works:

    def OnAssignmentOrderEvent(assignmentEvent):
        self.Liquidate()

My gretest problem is that when an option is assigned, the underlying stay in portolio

Thnaks

 

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Hi Genevieve.

This tutorial on Long Strangle is a good reference for your implementation on shorting a strangle. To short a strangle using the Long Strangle tutorial as a template, use Sell() instead of Buy() and retrieve the delta for the call and the put option:

contract.Greeks.Delta

Check out this documentation on QuantConnect Options API for more information.

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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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0

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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