Overall Statistics Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 2.751% Drawdown 0.100% Expectancy 0 Net Profit 0.058% Sharpe Ratio 5.584 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.014 Beta 0.041 Annual Standard Deviation 0.004 Annual Variance 0 Information Ratio -9.861 Tracking Error 0.083 Treynor Ratio 0.509 Total Fees \$0.50
from datetime import timedelta

def Initialize(self):
self.SetStartDate(2017, 5, 1)
self.SetEndDate(2017, 5, 8)
self.SetCash(600000)
equity = self.AddEquity("GOOG", Resolution.Minute)
option = self.AddOption("GOOG", Resolution.Minute)
self.symbol = option.Symbol

# set our strike/expiry filter for this option chain
option.SetFilter(-7, 7, timedelta(30), timedelta(60))
# use the underlying equity GOOG as the benchmark
self.SetBenchmark(equity.Symbol)

def OnData(self,slice):

optionchain = slice.OptionChains
for i in slice.OptionChains:
if i.Key != self.symbol: continue
chains = i.Value
contract_list = [x for x in chains]
# if there is no contracts in this optionchain, pass the instance
if (slice.OptionChains.Count == 0) or (len(contract_list) == 0):
return
# if there is no securities in portfolio, trade the options
if not self.Portfolio.Invested:
else:
self.CheckProfit(self.put_low,self.put_high)

for i in optionchain:
if i.Key != self.symbol: continue
chain = i.Value
# sorted the optionchain by expiration date and choose the furthest date
expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True).Expiry
# filter the put options from the contracts expires on that date
put = [i for i in chain if i.Expiry == expiry and i.Right == 1]
# sorted the contracts according to their strike prices
put_contracts = sorted(put,key = lambda x: x.Strike)
if len(put_contracts) == 0: continue
# put option contract with lower strike
self.put_low = put_contracts
# put option contract with higher strike
self.put_high = put_contracts[-1]
self.Sell(self.put_high.Symbol ,1)

def CheckProfit(self, buy, sell):
## buy.AskPrice is the filled price of the long order. Similarly sell.BidPrice is the filled price of the short order.
## Quantity for short order is negative.
## self.Securities[buy.UnderlyingSymbol].Price is the current underlying price.
## Options contracts are for 100 shares, so multiply by 100
## and multiply the number of contracts that will be exercised