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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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Genevieve Odette Rona Magnan
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
Â
Halldor Andersen
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.DeltaCheck out this documentation on QuantConnect Options API for more information.
Tb
Halldor Andersen can you address the second part of her question? I too am seeing this problem of liquidating after an assignment event doesn't liquidate the underlying that just got assigned. This is the most expedient way to deal with assignment events that can mess up your strategy so it would be great to get an example of how its supposed to work.Â
Louis Szeto
Hi Tb
Please refer to this thread's reply.
Best
Louis Szeto
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.
Genevieve Odette Rona Magnan
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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