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Hi there,
has anyone succesfully implemented Put Credit Preads with QuantConnect?
My Goal:
1. When VXX RSI is over 50 SELL a PUT credit spread on the SPY with a delta of -10 to -20.
2. Liquidate the Option trade when max profit of 70% is reached in IBKR.
any good ways to make that happen? If anyone can help me here I can share my algo with you. It generates around 120-200% a year NOT BACK TESTED. Really ran this for 2 years.
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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Cole S
I have not done a Put Credit Spread specifically, but I have built option algos that sell puts based on the nearest delta. I could probably adjust it quickly to a put credit spread. I'm Cole S in QC slack.
Goldie Yalamanchi
VXX RSI stays over 50 for a variable amount of time, do you always go for the next month options on this?
Rajats179
Goldie Yalamanchi it depends. if you look at the VIX RSI thats not true. Its quite variable. Its also important to look at the VIX channels, channel highs is also an entry criteria.
Goldie Yalamanchi
I am still trying to implement this --- I first had to do a little research, I have other put buying code but I had to research how to check the delta. Once finished I can share the algo.
Quick question -- what is the VIX channel, channels high? Is that like an indicator like a Bollinger Band or something?
I know that even with VIX RSI >= 60, you get about 6-7 high probablity entries on the vertical put spread for SPY -- going out about 7 days to option expiration from the day that VIX RSI got to 60 and making new high compared to 2 days prior RSI. Only scenario that didn't work well was like the March COVID crash which the RSI stayed above 60 for a while and the 7-day out put spread wasn't profitable.
Rajats179
Goldie Yalamanchi can you discuss via Quantconnect SLACK? add me Rajat Sharma
Erik schuh
Rajats179 are you willing to share this code? I was going to make something similar but using IV for the underlying instead. Easier to work from something than try to create it from scratch
Rajats179
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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