Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-1.264
Tracking Error
0.103
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
from AlgorithmImports import *
from datetime import datetime, timedelta

class VIXGapStrangle(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2024, 10, 1)  # Set start date
        self.SetCash(100000)  # Set strategy cash
        self.SetWarmup(timedelta(minutes=30))


        self.vix = self.AddIndex("VIX", Resolution.Minute).Symbol
        self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol

        # regular option SPX contracts
        self.spx_options = self.add_index_option("SPX")
        self.spx_options.set_filter(lambda u: (u.strikes(-3, 3).expiration(0, 0))) # 0dte only

        # weekly option SPX contracts
        spxw = self.add_index_option("SPX", "SPXW")
        spxw.set_filter(lambda u: (u.strikes(-10, 10)
                                     .expiration(0, 0)
                                     .include_weeklys())) # 0dte only
        
        self.spxw_option = spxw.symbol

        self.previous_vix_close = None


        # Schedule the strategy check for 9:30 AM EST each day
        self.Schedule.On(self.DateRules.EveryDay(), 
                        self.TimeRules.At(9, 30), 
                        self.CheckVIXGap)
        
        # Schedule recording previous day's VIX close at 4:15 PM EST
        self.Schedule.On(self.DateRules.EveryDay(), 
                        self.TimeRules.At(16, 15), 
                        self.RecordVIXClose)

    def RecordVIXClose(self):
        """Record VIX close at 4:15 PM EST"""
        vix_price = self.Securities[self.vix].Price
        self.Debug(f"VIX close: {vix_price}")
        self.previous_vix_close = vix_price

    def CheckVIXGap(self):
        """Check for VIX gap down"""
        if self.previous_vix_close is None:
            return

        current_vix = self.Securities[self.vix].Price
        self.Debug(f"VIX open: {current_vix}")
        vix_gap = self.previous_vix_close - current_vix
        
   
        self.Debug(f"VIX gap is {vix_gap:.2f}")
   
        
    

    def on_data(self, data):
        pass