In This Page

Introduction

Create Universes

Filter Contracts

Navigate Option Chains

Selection Frequency

Examples

Universes

Future Options

Introduction

A Future Option universe lets you select a basket of Option contracts on the contracts in a Futures universe.

Create Universes

To add a universe of Future Option contracts, in the Initializeinitialize method, define a Future universe and then pass the canonical Symbolsymbol to the AddFutureOptionadd_future_option method.

Select Language:

UniverseSettings.Asynchronous = true;
var future = AddFuture(Futures.Metals.Gold);
future.SetFilter(0, 90);
AddFutureOption(future.Symbol);

self.universe_settings.asynchronous = True
future = self.add_future(Futures.Metals.GOLD)
future.set_filter(0, 90)
self.add_future_option(future.symbol)

The following table describes the AddFutureOptionadd_future_option method arguments:

Argument	Data Type	Description	Default Value
`symbol`	`Symbol`	The continuous Future contract Symbol. To view the supported assets in the US Future Options dataset, see Supported Assets.
`optionFilteroption_filter`	`Func<OptionFilterUniverse, OptionFilterUniverse>Callable[[OptionFilterUniverse], OptionFilterUniverse]`	A function that selects Future Option contracts	`nullNone`

To override the default pricing model of the Option, set a pricing model in a security initializer.

Select Language:

// In Initialize
var seeder = SecuritySeeder.Null;
SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, seeder, this));

// Outside of the algorithm class
class MySecurityInitializer : BrokerageModelSecurityInitializer
{
    private QCAlgorithm _algorithm;

    public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, QCAlgorithm algorithm)
        : base(brokerageModel, securitySeeder) 
    {
        _algorithm = algorithm;
    }
    
    public override void Initialize(Security security)
    {
        // First, call the superclass definition
        // This method sets the reality models of each security using the default reality models of the brokerage model
        base.Initialize(security);

        // Next, set the price model
        if (security.Type == SecurityType.FutureOption) // Option type
        {
            security.PriceModel = OptionPriceModels.CrankNicolsonFD();
        }
    }
}

# In Initialize
seeder = SecuritySeeder.NULL
self.set_security_initializer(MySecurityInitializer(self.brokerage_model, seeder, self))

# Outside of the algorithm class
class MySecurityInitializer(BrokerageModelSecurityInitializer):

    def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None:
        super().__init__(brokerage_model, security_seeder)

    def initialize(self, security: Security) -> None:
        # First, call the superclass definition
        # This method sets the reality models of each security using the default reality models of the brokerage model
        super().initialize(security)

        # Next, set the price model
        if security.type == SecurityType.FUTURE_OPTION: # Option type
            security.price_model = OptionPriceModels.crank_nicolson_fd()

To override the initial guess of implied volatility, set and warm up the underlying volatility model.

Filter Contracts

By default, LEAN subscribes to the Option contracts that have the following characteristics:

Standard type (weeklies and non-standard contracts are not available)
Within 1 strike price of the underlying asset price
Expire within 35 days

To adjust the universe of contracts, set a filter. The filter usually runs at every time step in your algorithm. When the filter selects a contract that isn't currently in your universe, LEAN adds the new contract data to the next Slice that it passes to the OnDataon_data method.

To set a contract filter, in the Initializeinitialize method, pass a filter function to the AddFutureOptionadd_future_option method. The following table describes the available filter techniques:

Select Language:

AddFutureOption(future.Symbol, optionFilterUniverse => optionFilterUniverse.Strikes(-1, 1));

self.add_future_option(future.symbol, lambda option_filter_universe: option_filter_universe.strikes(-1, 1))

The following table describes the filter methods of the OptionFilterUniverse class:

strikes(min_strike: int, max_strike: int)

Selects contracts that are within minStrikem_strike strikes below the underlying price and maxStrikemax_strike strikes above the underlying price.

calls_only()

Selects call contracts.

puts_only()

Selects put contracts.

standards_only()

Selects standard contracts.

include_weeklys()

Selects non-standard weeklys contracts.

weeklys_only()

Selects weekly contracts.

front_month()

Selects the front month contract.

back_months()

Selects the non-front month contracts.

back_month()

Selects the back month contracts.

expiration(min_expiryDays: int, max_expiryDays: int)

Selects contracts that expire within a range of dates relative to the current day.

contracts(contracts: List[Symbol])

Selects a list of contracts.

contracts(contract_selector: Callable[[List[Symbol]], List[Symbol]])

Selects contracts that a selector function selects.

The preceding methods return an OptionFilterUniverse, so you can chain the methods together.

Select Language:

AddFutureOption(future.Symbol, optionFilterUniverse => optionFilterUniverse.Strikes(-1, 1).CallsOnly());

self.add_future_option(future.symbol, lambda option_filter_universe: option_filter_universe.strikes(-1, 1).calls_only())

To perform thorough filtering on the OptionFilterUniverse, define an isolated filter method.

Select Language:

# In Initialize
AddFutureOption(future.Symbol, Selector);
        
private OptionFilterUniverse Selector(OptionFilterUniverse optionFilterUniverse)
{
    var symbols = optionFilterUniverse.PutsOnly();
    var strike = symbols.Select(symbol => symbol.ID.StrikePrice).Min();
    symbols = symbols.Where(symbol => symbol.ID.StrikePrice == strike);
    return optionFilterUniverse.Contracts(symbols);
}

# In Initialize
self.add_future_option(future.Symbol, self._contract_selector)

def _contract_selector(self, option_filter_universe: OptionFilterUniverse) -> OptionFilterUniverse:
    symbols = option_filter_universe.PutsOnly()
    strike = min([symbol.id.strike_price for symbol in symbols])
    symbols = [symbol for symbol in symbols if symbol.id.strike_price == strike]
    return option_filter_universe.contracts(symbols)

Some of the preceding filter methods only set an internal enumeration in the OptionFilterUniverse that it uses later on in the filter process. This subset of filter methods don't immediately reduce the number of contract Symbol objects in the OptionFilterUniverse.

Navigate Option Chains

OptionChain objects represent an entire chain of Option contracts for a single underlying security.

To get the OptionChain, loop through the OptionChainsoption_chains property. After you get the OptionChain, you can sort and filter the Option contracts in the chain.

Select Language:

public override void OnData(Slice slice)
{
    foreach (var kvp in slice.OptionChains)
    {
        var optionChain = kvp.Value;
        // Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
        var contracts = optionChain
            .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:
    for _, option_chain in slice.option_chains.items():
        # Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
        contracts = [x for x in option_chain if x.right == OptionRight.PUT]
        contracts = sorted(sorted(contracts, \
            key=lambda x: abs(option_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]

You can also iterate through the FuturesChainsfutures_chains first.

Select Language:

public override void OnData(Slice slice)
{
    foreach (var kvp in slice.FuturesChains)
    {
        var continuousContractSymbol = kvp.Key;
        var futuresChain = kvp.Value;
        
        // Select a Future Contract and create its canonical FOP Symbol
        var futuresContract = futuresChain.First();
        var canonicalFOPSymbol = QuantConnect.Symbol.CreateCanonicalOption(futuresContract.Symbol);
        if (slice.OptionChains.TryGetValue(canonicalFOPSymbol, out var fopChain))
        {
            foreach (var contract in fopChain)
            {
                // 
            }
        }
    }
}

def on_data(self, slice: Slice) -> None:
    for continuous_future_symbol, futures_chain in slice.futures_chains.items():
        # Select a Future Contract and create its canonical FOP Symbol
        futures_contract = [contract for contract in futures_chain][0]
        canonical_fop_symbol = Symbol.create_canonical_option(futures_contract.symbol)
        fop_chain = slice.option_chains.get(canonical_fop_symbol)
        if fop_chain:
            for contract in fop_chain:
                pass

OptionChain objects have the following properties:

OptionChain Select Language:

Gets the most recent trade information for the underlying. This may be a QuantConnect.Data.Market.Tick or a QuantConnect.Data.Market.TradeBar

underlying: BaseData

Gets all ticks for every option contract in this chain, keyed by option symbol

ticks: Ticks

Gets all trade bars for every option contract in this chain, keyed by option symbol

trade_bars: TradeBars

Gets all quote bars for every option contract in this chain, keyed by option symbol

quote_bars: QuoteBars

Gets all contracts in the chain, keyed by option symbol

contracts: OptionContracts

Gets the set of symbols that passed the QuantConnect.Securities.Option.Option.ContractFilter

filtered_contracts: HashSet<Symbol>

The data frame representation of the option chain

data_frame: PyObject

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

data_type: MarketDataType

True if this is a fill forward piece of data

is_fill_forward: bool

Current time marker of this data packet.

time: DateTime

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

end_time: DateTime

Symbol representation for underlying Security

symbol: Symbol

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

value: decimal

As this is a backtesting platform we'll provide an alias of value as price.

price: decimal

Selection Frequency

By default, Future Option universes run at the first time step of each day to select their contracts.

Examples

The following examples demonstrate some common Future Option universes.

Example 1: 0DTE Contracts

0DTE Options are Option contracts that expire on the same day you trade them. The following algorithm selects 0DTE Future Option contracts for the E-mini S&P 500 that fall within 3 strikes of the underlying price.

Select Language:

public class ZeroDTEFutureOptionUniverseAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2021, 1, 1);
        SetEndDate(2021, 4, 1);
        
        var future = AddFuture(Futures.Indices.SP500EMini);
        future.SetFilter(0, 90);
        AddFutureOption(
            future.Symbol,
            u => u.IncludeWeeklys().Expiration(0, 0).Strikes(-3, 3)
        );
    }
}

class ZeroDTEFutureOptionUniverseAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2021, 4, 1)

        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        future.set_filter(0, 90)
        self.add_future_option(
            future.symbol,
            lambda u: u.include_weeklys().expiration(0, 0).strikes(-3, 3)
        )

For full trading examples of Future Options, see Examples.

You can also see our Videos. You can also get in touch with us via Discord.

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Hello

Universes

Future Options

Introduction

Create Universes

Filter Contracts

Navigate Option Chains

Selection Frequency

Examples

Example 1: 0DTE Contracts

▶
Key Concepts

▶
Securities

▶
Portfolio

▶
Universes

▶
Datasets

▶
Importing Data

▶
Consolidating Data

▶
Historical Data

▶
Trading and Orders

▶
Reality Modeling

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Indicators

▶
Optimization

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Machine Learning

▶
Algorithm Framework

▶
Statistics

▶
Live Trading

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Migrations