Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe 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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$2.00
Estimated Strategy Capacity
$120000000.00
 
from QuantConnect.Securities.Option import OptionStrategies
class SillyBullPutSpreadStrategy(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 9, 1)  # Set Start Date
        self.SetEndDate(2020, 9, 2)
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddOption("SPY").Symbol
    def OnData(self, data):
        if self.Portfolio.Invested:
            return
        chain = data.OptionChains[self.symbol]
        nearExpiry = min([x.Expiry for x in chain])
        strikes = list(set([x.Strike for x in chain]))
        strategy = OptionStrategies.BullPutSpread(self.symbol, strikes[-1], strikes[0], nearExpiry)
        self.Buy(strategy, 1)