Overall Statistics
Total Trades
4
Average Win
0.08%
Average Loss
0%
Compounding Annual Return
0.279%
Drawdown
1.900%
Expectancy
0
Net Profit
0.093%
Sharpe Ratio
0.117
Probabilistic Sharpe Ratio
27.195%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0
Beta
0.276
Annual Standard Deviation
0.034
Annual Variance
0.001
Information Ratio
-0.105
Tracking Error
0.088
Treynor Ratio
0.014
Total Fees
$2.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
SPY R735QTJ8XC9X
#region imports
from AlgorithmImports import *
#endregion
class VirtualYellowGiraffe(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 4, 17)
        self.SetEndDate(2019, 8, 17)
        self.SetCash(100000) 
        self.equity = self.AddEquity("SPY", Resolution.Minute)
        
        self.InitOptionsAndGreeks(self.equity)
        self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

    ## Initialize Options settings, chain filters, pricing models, etc
    ## ====================================================================
    def InitOptionsAndGreeks(self, theEquity ):

        ## 1. Specify the data normalization mode (must be 'Raw' for options)
        theEquity.SetDataNormalizationMode(DataNormalizationMode.Raw)
        
        ## 2. Set Warmup period of at leasr 30 days
        self.SetWarmup(30, Resolution.Daily)

        ## 3. Set the security initializer to call SetMarketPrice
        self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

        ## 4. Subscribe to the option feed for the symbol
        theOptionSubscription = self.AddOption(theEquity.Symbol)

        ## 5. set the pricing model, to calculate Greeks and volatility
        theOptionSubscription.PriceModel = OptionPriceModels.CrankNicolsonFD()  # both European & American, automatically
                
        ## 6. Set the function to filter out strikes and expiry dates from the option chain
        theOptionSubscription.SetFilter(self.OptionsFilterFunction)

    def OnData(self, data):
        
        ## If we're done warming up, and not invested, Sell a put. 
        if (not self.IsWarmingUp) and (not self.Portfolio.Invested):
            self.SellAnOTMPut()
      
    ## Sell an OTM Put Option.
    ## Use Delta to select a put contract to sell
    ## ==================================================================
    def SellAnOTMPut(self):
        
        ## Sell a 20 delta put expiring in 2 weeks (14 days)
        putContract = self.SelectContractByDelta(self.equity.Symbol, .30, 10, OptionRight.Put)
        if putContract is None:
            return
        ## construct an order message -- good for debugging and order rrecords
        orderMessage = f"Stock @ ${self.CurrentSlice[self.equity.Symbol].Close} |" + \
                       f"Sell {putContract.Symbol} "+ \
                       f"({round(putContract.Greeks.Delta,2)} Delta)"
                       
        self.Debug(f"{self.Time} {orderMessage}")
        self.Order(putContract.Symbol, -1, False, orderMessage  )   
           
   
    ## Get an options contract that matches the specified criteria:
    ## Underlying symbol, delta, days till expiration, Option right (put or call)
    ## ============================================================================
    def SelectContractByDelta(self, symbolArg, strikeDeltaArg, expiryDTE, optionRightArg= OptionRight.Call):

        if not self.CurrentSlice.ContainsKey(symbolArg):
            return None
        canonicalSymbol = self.AddOption(symbolArg)
       
        theOptionChain  = self.CurrentSlice.OptionChains[canonicalSymbol.Symbol]
       
        theExpiryDate   = self.Time + timedelta(days=expiryDTE)
        
        ## Filter the Call/Put options contracts
        filteredContracts = [x for x in theOptionChain if x.Right == optionRightArg] 

        ## Sort the contracts according to their closeness to our desired expiry
        contractsSortedByExpiration = sorted(filteredContracts, key=lambda p: abs(p.Expiry - theExpiryDate), reverse=False)
        closestExpirationDate = contractsSortedByExpiration[0].Expiry                                        
                                            
        ## Get all contracts for selected expiration
        contractsMatchingExpiryDTE = [contract for contract in contractsSortedByExpiration if contract.Expiry == closestExpirationDate]
    
        ## Get the contract with the contract with the closest delta
        closestContract = min(contractsMatchingExpiryDTE, key=lambda x: abs(abs(x.Greeks.Delta)-strikeDeltaArg))

        return closestContract

    ## The options filter function.
    ## Filter the options chain so we only have relevant strikes & expiration dates. 
    ## =============================================================================
    def OptionsFilterFunction(self, optionsContractsChain):

        strikeCount  = 100 # no of strikes around underyling price => for universe selection
        minExpiryDTE = 10  # min num of days to expiration => for uni selection
        maxExpiryDTE = 40  # max num of days to expiration => for uni selection
        
        return optionsContractsChain.IncludeWeeklys()\
                                    .Strikes(-strikeCount, strikeCount)\
                                    .Expiration(timedelta(minExpiryDTE), timedelta(maxExpiryDTE))