QuantConnect
US Index Option Universe
Introduction
The US Equity Option Chain Master dataset by QuantConnect lists the available US Index Options contracts and the current Implied Volatility and Greeks. The data covers European Option contracts for 3 US Indices: SPX, VIX, and NDX, starts in January 2012, and is delivered on a daily update frequency. To create this dataset, we use our implementation of the forward tree pricing model, which accounts for the interest rate, dividend payments, and daily closing prices. The values in this dataset are the same values you can get from daily indicators with mirror Options.
This dataset does not contain market data. For market data, see US Index Options by AlgoSeek.
For more information about the US Index Option Universe dataset, including CLI commands and pricing, see the dataset listing.
About the Provider
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Getting Started
The following snippet demonstrates how to request data from the US Index Options dataset:
option = self.add_index_option('VIX')
option.set_filter(lambda universe: universe.delta(0.4, 0.6))
self.option_symbol = option.symbol var option = AddIndexOption("VIX");
option.SetFilter(universe => universe.delta(0.4m, 0.6m));
_optionSymbol = option.Symbol;Data Summary
The following table describes the dataset properties:
| Property | Value | ||||
|---|---|---|---|---|---|
| Start Date | January 2012 | ||||
| Asset Coverage | 7 Index Options | ||||
| Data Density | Dense | ||||
| Resolution | Daily | ||||
| Timezone | New York |
| Underlying Index | Underlying Ticker | Target Ticker | Standard Contracts | Weekly Contracts | Tradable on Expiry Day |
|---|---|---|---|---|---|
| S&P500 | VIX |  | |||
| S&P500 | VIX | VIXW | | ||
| S&P500 | SPX | | |||
| S&P500 | SPX | SPXW | | | |
| NASDAQ-100 | NDX | | |||
| NASDAQ-100 | NDX | NDXP | | | |
| NASDAQ-100 | NDX | NQX | | | |
For more information about each underlying Index, see Supported Indices.
Requesting Data
To add US Index Options data to your algorithm, call the AddIndexOptionadd_index_option method. Save a reference to the Index Option Symbol so you can access the data later in your algorithm.
To set a contract filter, call the SetFilterset_filter method of the Option object.
class IndexOptionsDataAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2021, 1, 1);
self.set_end_date(2021, 6, 1);
self.set_cash(1000000);
self.universe_settings.asynchronous = True
self.index_symbol = self.add_index('VIX').symbol
standard_option = self.add_index_option(self.index_symbol)
standard_option.set_filter(self._option_filter)
self.standard_option_symbol = standard_option.symbol
weekly_option = self.add_index_option(self.index_symbol, "VIXW")
weekly_option.set_filter(self._option_filter)
self.weekly_option_symbol = weekly_option.symbol
def _option_filter(self, universe: OptionFilterUniverse) -> OptionFilterUniverse:
# Contracts can be filtered by greeks, implied volatility, open interest:
return 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)namespace QuantConnect
{
public class IndexOptionsDataAlgorithm : QCAlgorithm
{
private Symbol _indexSymbol, _standardOptionSymbol, _weeklyOptionSymbol;
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetEndDate(2021, 6, 1);
SetCash(100000);
UniverseSettings.Asynchronous = True;
_indexSymbol = AddIndex("VIX").Symbol;
var standardOption = AddIndexOption(_indexSymbol);
standardOption.SetFilter(OptionFilter);
_standardOptionSymbol = standardOption.Symbol;
var weeklyOption = AddIndexOption(_indexSymbol, "VIXW");
weeklyOption.SetFilter(OptionFilter);
_weeklyOptionSymbol = weeklyOption.Symbol;
}
private virtual OptionFilterUniverse OptionFilter(OptionFilterUniverse universe)
{
// Contracts can be filtered by greeks, implied volatility, open interest:
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(100m, 500m);
}
}
}
The Index resolution must be less than or equal to the Index Option resolution. For example, if you set the Index resolution to minute, then you must set the Index Option resolution to minute, hour, or daily.
For more information about creating US Index Option subscriptions, see Requesting Data.
Accessing Data
For information about accessing US Equity Options data, see Handling Data.
Historical Data
You can get historical US Index Options data in an algorithm and the Research Environment.
Historical Data In Algorithms
To get historical US Index Options data in an algorithm, call the Historyhistory method with the Index Option chain Symbol. If there is no data in the period you request, the history result is empty.
# DataFrame history_df = self.history(self.option_symbol, 3, Resolution.MINUTE)
// TradeBar objects
var history = History(option, 3, Resolution.Daily).ToList(); For more information about historical data in algorithms, see History Requests.
Historical Data In Research
To get historical US Index Options data in the Research Environment for an entire Option chain, call the OptionHistoryoption_history method with the canonical Option Symbol.
qb = QuantBook()
index_symbol = qb.add_index('VIX').symbol
option = qb.add_index_option(index_symbol) # or qb.add_index_option(index_symbol, "VIXW")
option.set_filter(-2, 2, 0, 90)
history = qb.option_history(option.symbol, datetime(2020, 6, 1), datetime(2020, 6, 5))
all_history = history.get_all_data()
expiries = history.get_expiry_dates()
strikes = history.get_strikes() var qb = new QuantBook();
var indexSymbol = qb.AddIndex("VIX").Symbol;
var option = qb.AddIndexOption(indexSymbol); // or qb.AddIndexOption(indexSymbol, "VIXW");
option.SetFilter(-2, 2, 0, 90);
var history = qb.OptionHistory(option.Symbol, new DateTime(2020, 6, 1), new DateTime(2020, 6, 5));
var contracts = history.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys)).Distinct().ToList();
var expiries = contracts.Select(x => x.ID.Date).Distinct().ToList();
var strikes = contracts.Select(x => x.ID.StrikePrice).Distinct().ToList();
To get historical data for a single US Index Option contract, call the Historyhistory method like you would in an algorithm but on the QuantBook object. For more information about historical data in the Research Environment, see Index Options.
Example Applications
The US Index Options dataset enables you to accurately design strategies for Index Options. Examples include the following strategies:
- Buying VIX call Options to hedge against upcoming volatility
- Buying VIX put Options to capture the natural downward price movement in the VIX index
- Buying SPX put Options to protect against downward price movement in the S&P 500
For more example algorithms, see Examples.
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