QuantConnect
US Index Option Universe
Introduction
The US Index Option Universe 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. It 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 Universe 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 Universe 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 define which contracts should be in your universe, call the SetFilterset_filter method of the IndexOption object.
The AddIndexOptionadd_index_option method provides a daily stream of Option chain data. To get the most recent daily chain, call the OptionChainoption_chain method with the canonical Index Option Symbol. The OptionChainoption_chain method returns data on all the tradable contracts, not just the contracts that pass your universe filter.
class IndexOptionsDataAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2021, 1, 1)
self.set_end_date(2021, 6, 1)
self.set_cash(1_000_000)
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
standard_chain = self.option_chain(standard_option.symbol).data_frame
weekly_option = self.add_index_option(self.index_symbol, "VIXW")
weekly_option.set_filter(self._option_filter)
self.weekly_option_symbol = weekly_option.symbol
weekly_chain = self.option_chain(weekly_option.symbol).data_frame
weekly_chain = weekly_chain[
weekly_chain.index.map(lambda symbol: not IndexOptionSymbol.is_standard(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 standardChain = OptionChain(_standardOptionSymbol);
var weeklyOption = AddIndexOption(_indexSymbol, "VIXW");
weeklyOption.SetFilter(OptionFilter);
_weeklyOptionSymbol = weeklyOption.Symbol;
var weeklyChain = OptionChain(_weeklyOptionSymbol)
.Where(contract => !IndexOptionSymbol.IsStandard(contract.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(100, 500);
}
}
}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 Index Options.
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 Universe data in an algorithm, call the History<OptionUniverse>history method with the canonical Index Option Symbol. This method returns data on all of the tradable contracts, not just the contracts that pass your universe filter. If there is no data in the period you request, the history result is empty.
# DataFrame history_df = self.history(self.standard_option_symbol, timedelta(3)) # OptionUniverse objects history = self.history[OptionUniverse](self.standard_option_symbol, timedelta(3))
// OptionUniverse objects var history = History<OptionUniverse>(_standardOptionSymbol, TimeSpan.FromDays(3)).ToList();
For more information about Index Options Universe data in algorithms, see Historical Data.
Historical Data In Research
To get historical US Index Options Universe data in the Research Environment, call the History<OptionUniverse>history method with the canonical Option Symbol. This method returns data on all of the tradable contracts, not just the contracts that pass your universe filter.
qb = QuantBook()
index_symbol = qb.add_index('VIX').symbol
option = qb.add_index_option(index_symbol) # or qb.add_index_option(index_symbol, "VIXW")
history = qb.history(option.symbol, datetime(2020, 6, 1), datetime(2020, 6, 5)) var qb = new QuantBook();
var indexSymbol = qb.AddIndex("VIX").Symbol;
var option = qb.AddIndexOption(indexSymbol); // or qb.AddIndexOption(indexSymbol, "VIXW");
var history = qb.History<OptionUniverse>(option.Symbol, new DateTime(2020, 6, 1), new DateTime(2020, 6, 6));
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;
}
}For more information about historical Index Options Universe data in the Research Environment, see Universes.
Example Applications
The US Index Options Universe 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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