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Individual Contracts

Introduction

The add_future_option_contract method enables you to add an individual Option contract to your algorithm. To check which contracts are currently available to add to your algorithm, use the option_chain method. If you want to subscribe to a set of contracts instead of individual contracts one-by-one, see Universes.

Create Subscriptions

Before you can subscribe to an Option contract, you must configure the underlying Future and get the contract Symbol.

Select Language: 
class BasicFutureOptionAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self._future = self.add_future(
            Futures.Indices.SP_500_E_MINI,
            extended_market_hours=True,
            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
            contract_depth_offset=0
        )
        self._future.set_filter(0, 182)
        self._contract_symbol = None
    
    def on_data(self, data):
        if not self._contract_symbol:
            # Method 1: Add the desired option chain for the mapped contract
            self._contract_symbol = self._select_option_contract(self._future.mapped)
            self.add_future_option_contract(self._contract_symbol)

            # Method 2: Get all future contracts from the Future chain provider
            future_contract_symbol = list(self.futures_chain(self._future.symbol))[0].symbol
            symbol = self._select_option_contract(future_contract_symbol)
            self.add_future_option_contract(symbol)

            # Method 3: Iterate all Future chains to find the desired future options contracts         
            for symbol, chain in data.future_chains.items():
                expiry = min([contract.expiry for contract in chain])
                future_contract = next(contract for contract in chain if contract.expiry == expiry)
                symbol = self._select_option_contract(future_contract.symbol)
                self.add_future_option_contract(symbol)

    def _select_option_contract(self, future_contract_symbol):
        chain = self.option_chain(future_contract_symbol, flatten=True).data_frame
        expiry = chain.expiry.min()
        return chain[
            (chain.expiry == expiry) & (chain.right == OptionRight.CALL) 
        ].sort_values('strike').index[-1]

Configure the Underlying Futures Contracts

In most cases, you should subscribe to the underlying Futures contract before you subscribe to a Futures Option contract.

Select Language: 
self._future = self.add_future(
    Futures.Indices.SP_500_E_MINI,
    extended_market_hours=True,
    data_mapping_mode=DataMappingMode.OPEN_INTEREST,
    data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
    contract_depth_offset=0
)

To get a Symbol of a specific Futures contract, use the mapped property of the Future object or the symbol property of the FutureContract objects in the Slice.future_chains collection.

Get Contract Symbols

To subscribe to a Future Option contract, you need the contract Symbol. The preferred method to getting Option contract Symbol objects is to use the option_chain method. This method returns an OptionChain object, which represent an entire chain of Option contracts for a single underlying security. You can even format the chain data into a DataFrame where each row in the DataFrame represents a single contract. With the chain, sort and filter the data to find the specific contract(s) you want to trade.

Select Language: 
# Get the contracts available to trade (in DataFrame format).
chain = self.option_chain(future_contract_symbol, flatten=True).data_frame

# Select a contract.
expiry = chain.expiry.min()
self._contract_symbol = chain[
    # Select call contracts with the closest expiry.
    (chain.expiry == expiry) & (chain.right == OptionRight.CALL) 
    # Select the contract with the lowest strike price.
].sort_values('strike').index[0]

Subscribe to Contracts

To create a Future Option contract subscription, pass the contract Symbol to the add_future_option_contract method. Save a reference to the contract symbol so you can easily access the Option contract in the OptionChain that LEAN passes to the on_data method. This method returns an Option object. To override the default pricing model of the Option, set a pricing model.

Select Language: 
option = self.add_future_option_contract(self._contract_symbol)
option.price_model = OptionPriceModels.binomial_cox_ross_rubinstein()

Warm Up Contract Prices

If you subscribe to a Future Option contract with add_future_option_contract, you'll need to wait until the next Slice to receive data and trade the contract. To trade the contract in the same time step you subscribe to the contract, set the current price of the contract in a security initializer.

Select Language: 
seeder = FuncSecuritySeeder(self.get_last_known_prices)
self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, seeder))

Supported Assets

To view the supported assets in the US Future Options dataset, see the Supported Assets.

Resolutions

The following table shows the available resolutions and data formats for Future Option contract subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
TICK

SECOND

MINUTEgreen checkgreen check
HOURgreen checkgreen check
DAILYgreen checkgreen check

There is only one resolution option, so you don't need to pass a resolution argument to the add_future_option_contract method.

Select Language: 
self.add_future_option_contract(self._option_contract_symbol, Resolution.MINUTE)

To create custom resolution periods, see Consolidating Data.

Supported Markets

The following Market enumeration members are available for Future Options:

Market Select Language:
    CBOT
  • CBOT: string
    • Comex
  • COMEX: string
    • London International Financial Futures and Options Exchange
  • NYSELIFFE: string

You don't need to pass a Market argument to the add_future_option_contract method because the contract Symbol already contains the market.

Fill Forward

Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.

To disable fill forward for a security, set the fill_forward argument to false when you create the security subscription.

Select Language: 
self.add_future_option_contract(self._option_contract_symbol, fill_forward=False)

Margin and Leverage

LEAN models buying power and margin calls to ensure your algorithm stays within the margin requirements. Future Options are already leveraged products, so you can't change their leverage.

Extended Market Hours

By default, your security subscriptions only cover regular trading hours. To subscribe to pre and post-market trading hours for a specific asset, enable the extended_market_hours argument when you create the security subscription.

Select Language: 
self.add_future_option_contract(self._option_contract_symbol, extended_market_hours=True)

You only receive extended market hours data if you create the subscription with minute, second, or tick resolution. If you create the subscription with daily or hourly resolution, the bars only reflect the regular trading hours.

To view the schedule of regular and extended market hours, see Market Hours.

Data Normalization

The data normalization mode doesn't affect the data that LEAN passes to on_data or the data from history request. If you change the data normalization mode, it won't change the outcome.

Remove Subscriptions

To remove a contract subscription that you created with add_future_option_contract, call the remove_option_contract method. This method is an alias for remove_security.

Select Language: 
self.remove_option_contract(self._option_contract_symbol)

The remove_option_contract method cancels your open orders for the contract and liquidates your holdings.

Properties

The add_future_option_contract method returns an Option object, which have the following properties:

Option Select Language:

Helper Methods

The Option object provides methods you can use for basic calculations. These methods require the underlying price. To get the Option object and the Security object for its underlying in any function, use the Option symbol to access the value in the securities object.

Select Language: 
option = self.securities[self._option_contract_symbol]
underlying = self.securities[self._option_contract_symbol.underlying]
underlying_price = underlying.price

To get the Option payoff, call the get_pay_off method.

Select Language: 
pay_off = option.get_pay_off(underlying_price)

To get the Option intrinsic value, call the get_intrinsic_value method.

Select Language: 
intrinsic_value = option.get_intrinsic_value(underlying_price)

To get the Option out-of-the-money amount, call the out_of_the_money_amount method.

Select Language: 
otm_amount = option.out_of_the_money_amount(underlying_price)

To check whether the Option can be automatic exercised, call the is_auto_exercised method.

Select Language: 
is_auto_exercised = option.is_auto_exercised(underlying_price)

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