SPX/RUT option support?

At the moment, we don't have index options. It's on our TODO list, but we do not have a date.

All major .NET features are available, except System.IO

@Alexandre, thanks. Makes sense re System.IO.

I think lack of Index Options would be a deal-killer for me long-term, but short-term I could use SPY and IWM options - at least to sketch out the algorithms.

Please keep me updated, if possible, re index options.

I would agree that having index options data would be very useful. A lot of the systematic options based strategies do tend to be on indexes.

+1 !!!  Need SPX and RUT pretty plz!

Any updates on ETA for Index Options? This one is pretty big for a lot of good strategies.

To add a bit more background, one of the big advantages of index options over stock options is that they are European exercise instead of American exercise. This makes a huge difference, as you can first imply from the option prices an interest rate, repo rate, and dividend yield and then the implied volatilities. With American option its not this easy...

Having the implied volatility (for each option) opens up a lot of possibilities. You can find over/under priced options and run a delta hedging strategy to try an extract the spread between implied and realised volatility. Or, you could run a mean reversion strategy on say the spread between SPX/RUT implied volatility, and obviously there are many other possibilities as well.

But, the main point being, in order to run the type of strategies that they run in a bank, or say a volatility arbitrage hedge fund, you need to be able to first get the implied volatilities and this is vastly easier with index options. 

Thanks all we're aware its a popular feature. Options are a hard one to get perfect, and although we have US Equities support it is still 1) not fast, 2) not updated daily, 3) free of holes, 4) we still can't backtest before 2010, and are 5) forced to liquidate before an equities split.... 

We prefer to make sure existing code is rock solid before adding more features. From January - June 2018 we were fixing hundreds of bugs in LEAN and QuantConnect to make this rock solid for you. We're getting better and better every day so please bear with us! 

To build a sustainable company we also had to crack business model questions first -- this required us to launch Alpha Streams as the future revenue engine for the company. A strong community-driven revenue-engine allows us to build more awesome features for the community. Alpha Streams first client Tibra trades globally so adding European options is important for us as well!

If you would like to help bring these things to life faster please get in touch. There is a shortage of engineers at the level we need to solve LEAN problems -- we're cracking some of the hardest problems in the world and pushing boundaries of technology every day.

Thanks, Jared.  I'd love to help out, but at the present time I rarely get time to work on my QC algorithms <sad panda>, let alone contribute to the LEAN project.  Someday I'll quit my day job and I'll be able to help out more earnestly.

Question related to this topic.  Let's say that I had an QC algoirthm that was able to get SPX and RUT values (somewhat delayed) through a private data source (dropbox file, web service, whatever...).  Say that the algorithm then triggers a buy or sell signal based on this external data.  Even if QC can't provide the SPX and RUT bars to my algorithm, can my algorithm still place an automated trade on these indexes through my IB broker account?

@TedVZ - If you're running locally with LEAN you can probably hack it to work; but in the cloud we'd try and place the order as an option-security-type (vs Index) which would likely fail on the IB-API with a "no such security" error.

If hacking locally you could look for your symbol and map it to an index. This would be in the InteractiveBrokersBrokerage class.

Hey Bert,

It's on our TODO list. You can follow the github issue for updates. However, we are not actively working on it at the moment.