Incorrect tracking of covered call assignments, please help

This happened again last night.  Same thing.  Stock ended up above the call at close of day but after regular hours the price dropped a bit.  I held on to the QQQ shares because the price at settlement was below the strike but the algo still thinks I assigned them and sold them even though I didn't.  Then the portfolio value is all messed up the next day.  

Hi David,

It seems like there might be a discrepancy in how your algorithm is handling the assignment of the covered call. In QuantConnect, the OnAssignmentOrderEvent method is invoked when an option gets assigned. This method should manage the changes in your portfolio due to the assignment. If this method is not correctly implemented, it could lead to the issues you're experiencing.

As for the unexpected sell order, without seeing your code, it's challenging to pinpoint the exact cause. However, it's possible that your algorithm is trying to maintain a certain portfolio composition and is selling shares to achieve that. If the assignment wasn't properly accounted for, your algorithm might think it has more shares than it actually does, leading to the sell order.

Regarding the discrepancy in the price at which the option was exercised, it's crucial to note that options can be exercised at any time before expiration if they are American style options. The decision to exercise an option early is usually based on factors like dividends or interest rates, not just the price of the underlying asset. It's possible that the option was exercised early for reasons other than the price dipping below the strike price.

To avoid these issues in the future, you might want to consider adding some checks to your algorithm to ensure that the portfolio composition is as expected and that all assignments are properly handled. You could also consider using a protective collar strategy, which involves buying a put option along with the covered call to limit potential losses.

Here is an example of how to implement a protective collar strategy in Python:

def Initialize(self) -> None:
 self.SetStartDate(2017, 4, 1)
 self.SetEndDate(2017, 4, 30)
 self.SetCash(100000)

 self.equity_symbol = self.AddEquity("GOOG").Symbol
 option = self.AddOption("GOOG", Resolution.Minute)
 self.option_symbol = option.Symbol
 option.SetFilter(-10, +10, timedelta(0), timedelta(30))

(Source: Protective Collar)

I hope this helps! Let me know if you have any other questions.