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Delta-neutral options alpha stream

I see that it's possible to develop an alpha stream targeting options. I've written an options trading algorithm ( developed locally on my machine ) that I'd like to duplicate on QuantConnect and turn into an alpha stream. My strategy is a non-directional one, that involves buying spreads of many options at a time. But in the alpha streams lab, I only see a way to emit insights that are directional.

So I have 2 questions: First, suppose for simplicity that my algo recommends buying an ATM straddle on MSFT. Is there a way to generate an insight saying that? Second, if there isn't a way to do that, can I do it implicitly by generating separate insights for each option? E.g., in this case, saying "buy the ATM call" and also "buy the atm put". Would that do what I want it to do? Thanks to anyone who can help!

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Hi,

What you're looking for is how to create grouped insights.

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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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