Overall Statistics
Total Trades
8
Average Win
0.14%
Average Loss
-0.37%
Compounding Annual Return
-4.264%
Drawdown
1.100%
Expectancy
-0.316
Net Profit
-0.698%
Sharpe Ratio
-2.455
Probabilistic Sharpe Ratio
6.137%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0.37
Alpha
-0.031
Beta
-0.056
Annual Standard Deviation
0.012
Annual Variance
0
Information Ratio
-0.051
Tracking Error
0.144
Treynor Ratio
0.536
Total Fees
$6.00
Estimated Strategy Capacity
$2200000.00
Lowest Capacity Asset
IBM VOBM1Z09FM2U|IBM R735QTJ8XC9X
Portfolio Turnover
1.57%
 
#region imports
    using System;
    using System.Linq;
    using QuantConnect.Util;
    using QuantConnect.Data;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
#endregion

namespace QuantConnect.Algorithm.CSharp
{
    public class ProtectiveCallAlgorithm : QCAlgorithm
    {
        private Symbol _call, _symbol;
        
        public override void Initialize()
        {
            SetStartDate(2014, 1, 1);
            SetEndDate(2014, 3, 1);
            SetCash(100000);

            var option = AddOption("IBM");
            _symbol = option.Symbol;
            option.SetFilter(-3, 3, 0, 31);

            // use the underlying equity as the benchmark
            SetBenchmark(_symbol.Underlying);
        }

        public override void OnData(Slice slice)
        {
            if (_call != null && Portfolio[_call].Invested) return;

            if (!slice.OptionChains.TryGetValue(_symbol, out var chain)) return;

            // Find ATM call with the farthest expiry
            var expiry = chain.Max(x => x.Expiry);
            var atmCall = chain
                .Where(x=> x.Right == OptionRight.Call && x.Expiry == expiry)
                .OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price))
                .FirstOrDefault();

            if (atmCall == null) return;

            var protectiveCall = OptionStrategies.ProtectiveCall(_symbol, atmCall.Strike, expiry);
            Buy(protectiveCall, 1);

            _call = atmCall.Symbol;
        }
    }
}