Universes

public class BasicOptionAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    
    public override void Initialize()
    {
        UniverseSettings.Asynchronous = true;
        var option = AddOption("SPY");
        option.SetFilter(Filter);
        _symbol = option.Symbol;
    }

    private OptionFilterUniverse Filter(OptionFilterUniverse universe)
    {
        return universe.Expiration(0, 7).Delta(0.35m, 0.75m);
    } 

    public override void OnData(Slice data)
    {
        if (data.OptionChains.TryGetValue(_symbol, out var chain))
        {
            var contract = chain.OrderBy(x => x.Greeks.Delta).FirstOrDefault();   
        } 
    }
}

class BasicOptionAlgorithm(QCAlgorithm):
    
    def initialize(self):
        self.universe_settings.asynchronous = True
        option = self.add_option("SPY")
        option.set_filter(self._filter)
        self._symbol = option.symbol

    def _filter(self, universe):
        return universe.expiration(0, 7).delta(0.35, 0.75)

    def on_data(self, data):
        chain = data.option_chains.get(self._symbol)
        if chain:
            contract = sorted(chain, key=lambda x: (x.expiry, x.greeks.delta))[0]

// Example 1: Select a Straddle
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Straddle(30));

// Example 2: Select the contracts (including weeklys) that expire in the next 30 days that form an Iron Condor
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Strikes(-20, 20).Expiration(0, 30).IronCondor(30, 5, 10));

// Example 3: Select the 0DTE contracts that form an Strangle
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Expiration(0, 0).Strangle(30, 5, -10));

# Example 1: Select a Straddle
option.set_filter(lambda option_filter_universe: option_filter_universe.straddle(30))

# Example 2: Select the contracts (including weeklys) that expire in the next 30 days that form an Iron Condor
option.set_filter(lambda option_filter_universe: option_filter_universe.strikes(-20, 20).expiration(0, 30).iron_condor(30, 5, 10))

# Example 3: Select the 0DTE contracts that form an Strangle
option.set_filter(lambda option_filter_universe: option_filter_universe.expiration(0, 0).strangle(30, 5, -10))

// Example 1: Select the contracts with delta between 0.25 and 0.75
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Delta(0.25m, 0.75m));

// Example 2: Select the contracts (including weeklys) that expire in the next 90 days with implied volatility below 20% 
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IV(0, 20).Expiration(0, 90));

// Example 3: Select the contracts (including weeklys) that expire in the next 30 days with implied volatility below 20% that forms an Iron Condor
option.SetFilter(optionFilterUniverse => optionFilterUniverse.IV(0, 20).Expiration(0, 30).IronCondor(30, 5, 10));

# Example 1: Select the contracts with delta between 0.25 and 0.75
option.set_filter(lambda option_filter_universe: option_filter_universe.delta(0.25, 0.75))

# Example 2: Select the contracts (including weeklys) that expire in the next 90 days with implied volatility below 20% 
option.set_filter(lambda option_filter_universe: option_filter_universe.iv(0, 20).expiration(0, 90))

# Example 3: Select the contracts (including weeklys) that expire in the next 30 days with implied volatility below 20% that forms an Iron Condor
option.set_filter(lambda option_filter_universe: option_filter_universe.iv(0, 20).expiration(0, 30).iron_condor(30, 5, 10))

// Select the put contracts with the lowest strike price.
option.SetFilter(Selector);
    
private OptionFilterUniverse Selector(OptionFilterUniverse optionFilterUniverse)
{
    return universe
        .Delta(0.5m, 1.5m)
        .Gamma(0.0001m, 0.0006m)
        .Vega(0.01m, 1.5m)
        .Theta(-2.0m, -0.5m)
        .Rho(0.5m, 3.0m)
        .ImpliedVolatility(1.0m, 3.0m)
        .OpenInterest(100, 500);
}

# Select the put contracts with the lowest strike price.
option.set_filter(self._contract_selector)
    
def _contract_selector(self, option_filter_universe: OptionFilterUniverse) -> OptionFilterUniverse:
    return option_filter_universe \
        .delta(0.5, 1.5) \
        .gamma(0.0001, 0.0006) \
        .vega(0.01, 1.5) \
        .theta(-2.0, -0.5) \
        .rho(0.5, 3.0) \
        .implied_volatility(1, 3) \
        .open_interest(100,500)

// Select contracts that have a strike price within 1 strike level above and below the underlying price
option.SetFilter(minStrike: -1, maxStrike: 1);

// Select contracts that expire within 30 days
option.SetFilter(minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30));

// Select contracts that have a strike price within 1 strike level and expire within 30 days
option.SetFilter(minStrike: -1, maxStrike: 1, minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30));

// Select call contracts
option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly());

# Select contracts that have a strike price within 1 strike level above and below the underlying price
option.set_filter(min_strike=-1, max_strike=1)

# Select contracts that expire within 30 days
option.set_filter(min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30))

# Select contracts that have a strike price within 1 strike level and expire within 30 days
option.set_filter(min_strike=-1, max_strike=1, min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30))

# Select call contracts
option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only())

// Example 1: Select the front month call contracts
option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly().FrontMonth());

// Example 2: Select the contracts (including weeklys) that expire in the next 90 days
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Strikes(-20, 20).Expiration(0, 90));

// Example 3: Select the contracts (including weeklys) that expire in the next 30 days that form an Iron Condor
option.SetFilter(optionFilterUniverse => optionFilterUniverse.Strikes(-20, 20).Expiration(0, 30).IronCondor(30, 5, 10));

# Example 1: Select the front month call contracts
option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only().front_month())

# Example 2: Select the contracts (including weeklys) that expire in the next 90 days
option.set_filter(lambda option_filter_universe: option_filter_universe.strikes(-20, 20).expiration(0, 90))

public override void OnData(Slice slice)
{
    // Try to get the OptionChain using the canonical symbol
    if (slice.OptionChains.TryGetValue(_symbol, out var chain))
    {
        // Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
        var contracts = chain
            .Where(x => x.Right == OptionRight.Put)
            .OrderByDescending(x => x.Expiry)
            .ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
            .Take(5);

        // Select the contract with the delta closest to -0.5
        var contract = contracts.OrderBy(x => Math.Abs(-0.5m - x.Greeks.Delta)).FirstOrDefault();
    }
}

def on_data(self, slice: Slice) -> None:
    # Try to get the OptionChain using the canonical symbol
    chain = slice.option_chains.get(self._symbol)
    if chain:
        # Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
        contracts = [x for x in chain if x.right == OptionRight.PUT]
        contracts = sorted(sorted(contracts, \
            key = lambda x: abs(chain.underlying.price - x.strike)), \
            key = lambda x: x.expiry, reverse=True)[:5]
    
        # Select the contract with the delta closest to -0.5
        contract = sorted(contracts, key=lambda x: abs(-0.5 - x.greeks.delta))[0]

public override void OnData(Slice slice)
{
    // Iterate all received Canonical Symbol-OptionChain key-value pairs
    foreach (var kvp in slice.OptionChains)
    {
        var canoncialSymbol = kvp.Key;
        var chain = kvp.Value;
        var contracts = chain.Contracts;
    }
}

def on_data(self, slice: Slice) -> None:
    # Iterate all received Canonical Symbol-OptionChain key-value pairs
    for canonical_symbol, chain in slice.option_chains.items():
        contracts = chain.contracts

// Select the call contracts that expire in 20-40 days and are within 3 strikes of the underlying price.
var contracts = chain.CallsOnly().Expiration(20, 40).Strikes(-3, 3);

# Select the call contracts that expire in 20-40 days and are within 3 strikes of the underlying price.
contracts = chain.calls_only().expiration(20, 40).strikes(-3, 3)

// Select the four legs of an Iron Condor that expires in at least 30 days.
var legs = chain.IronCondor(30, 5, 10);

# Select the four legs of an Iron Condor that expires in at least 30 days.
legs = chain.iron_condor(30, 5, 10)

var liquidContracts = chain.Where(contract => contract.OpenInterest > 100);

liquid_contracts = chain.where(lambda contract: contract.open_interest > 100)

// Get the put contract at 85% of the underlying price, from the expiration closest to 30 days out.
var contract = chain.Select(OptionRight.Put, targetDte: 30, moneyness: -0.15m);

# Get the put contract at 85% of the underlying price, from the expiration closest to 30 days out.
contract = chain.select(OptionRight.PUT, target_dte=30, moneyness=-0.15)

var expiry = chain.ClosestExpiry(targetDte: 45, minDte: 30, maxDte: 60);
var contracts = chain.At(expiry.Value).PutsOnly().Strikes(-2, 0);

expiry = chain.closest_expiry(target_dte=45, min_dte=30, max_dte=60)
contracts = chain.at(expiry).puts_only().strikes(-2, 0)

var strike = chain.StrikePrices.FirstAbove(chain.Underlying.Price);

strike = chain.strike_prices.first_above(chain.underlying.price)

// In the initialize method, create a Scheduled Event to get the Option 
// chain and rebalance the portfolio.
Schedule.On(DateRules.WeekStart(_symbol), TimeRules.AfterMarketOpen(_symbol, 1), Rebalance);

public void Rebalance()
{
    foreach (var optionUniverse in OptionChain(_symbol)) 
    {
        var close = optionUniverse.Close;
        var oi = optionUniverse.OpenInterest;
        var delta = optionUniverse.Greeks.Delta;
    }
}

# In the initialize method, create a Scheduled Event to get the Option 
# chain and rebalance the portfolio.
self.schedule.on(
    self.date_rules.week_start(self._symbol), 
    self.time_rules.after_market_open(self._symbol, 1), 
    self._rebalance
  )

# Define the method.
def _rebalance(self):
    daily_option_chain = self.option_chain(self._symbol, flatten=True)

    # Get the DataFrame format.
    df = daily_option_chain.data_frame
    delta_by_symbol = df.delta
    
    # Get the OptionUniverse objects format.
    for option_universe in daily_option_chain:
        close = option_universe.close
        oi = option_universe.open_interest
        delta = option_universe.greeks.delta

public override void Initialize()
{
    var option = AddOption("SPY");
    option.SetFilter(universe => universe.Delta(0.3m, 0.7m).Expiration(0, 7));
}

def initialize(self):
    option = self.add_option("SPY")
    option.set_filter(lambda universe: universe.delta(0.3, 0.7).expiration(0,7))

// Set PriceModel property to use the Binomial Cox-Ross-Rubinstein model to price the Options.
option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();

// Set price_model field to use the Binomial Cox-Ross-Rubinstein model to price the Options.
option.price_model = OptionPriceModels.binomial_cox_ross_rubinstein()

public class OptionHistoryAlgorithm : QCAlgorithm
{       
    public override void Initialize()
    {
        SetStartDate(2024, 9, 1);
        SetEndDate(2024, 12, 31);
        var option = AddOption("SPY");
        var history = History<OptionUniverse>(option.Symbol, 5);
        foreach (var chain in history)
        {
            var endTime = chain.EndTime;
            var filteredContracts = chain.Data
                .Select(contract => contract as OptionUniverse)
                .Where(contract => contract.Greeks.Delta > 0.3m);
            foreach (var contract in filteredContracts)
            {
                var price = contract.Price;
                var iv = contract.ImpliedVolatility;
            }
        }
    }
}

class OptionHistoryAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        option = self.add_option('SPY')
        # DataFrame example:
        history_df = self.history(option.symbol, 5, flatten=True)
        # OptionUniverse objects example:
        history = self.history[OptionUniverse](option.symbol, 5)
        for chain in history:
            end_time = chain.end_time
            filtered_contracts = [c for c in chain if c.greeks.delta > 0.3]
            for contract in filtered_contracts:
                symbol = contract.symbol
                expiry = contract.id.date
                strike = contract.id.strike_price
                price = contract.close
                iv = contract.implied_volatility