I have played with the examples in the documentation and I see how to get IV values of a contract within the OnData function. But in this current test project of allocating portfolio based on iv each month, I'm getting 0 returned for every contract. For some reason it is not calculating the IV. The indicator is either None or not Ready, but I don't know why. And neither does Mia.
 

  1. from AlgorithmImports import *
  3. class MonthlyOptionsAllocation(QCAlgorithm):
  4.     def Initialize(self):
  5.         # Set start and end dates for backtesting
  6.         self.SetStartDate(2015, 1, 1)
  7.         self.SetEndDate(2024, 12, 1)
  8.         self.SetCash(100000)
  9.         self.SetWarmUp(timedelta(days=30)) # for IV indicator calculation
  10.         
  12.         # List of stock tickers
  13.         self.tickers = [
  14.             "AAPL", "MSFT", "GOOG", "AMZN", "TSLA", "META", 
  15.             "NFLX", "NVDA", "BABA", "AMD", "SPY", "QQQ", 
  16.             "INTC", "XOM", "BA", "JPM", "V", "MA", "DIS", "COST"
  17.         ]
  19.         # Add equities and their options
  20.         self.symbols = []
  21.         for ticker in self.tickers:
  22.             equity = self.add_equity(ticker, Resolution.DAILY).Symbol
  23.             option = self.add_option(ticker, Resolution.MINUTE).Symbol
  24.             self.symbols.append((equity, option))
  25.             self._iv = self.iv(self.option)
  27.         # Schedule monthly portfolio rebalancing
  28.         self.schedule.on(
  29.             self.date_rules.month_start(self.tickers[0]), 
  30.             self.time_rules.at(10, 0), 
  31.             self.rebalance_portfolio
  32.         )
  34.         # Keep track of performance metrics
  35.         self.sharpe_ratios = {}
  37.     def rebalance_portfolio(self):
  38.         selected_symbols = []
  39.         for equity, option in self.symbols:
  40.             history = self.history(equity, 252, Resolution.DAILY)
  41.             if len(history) < 252:
  42.                 continue
  43.             daily_returns = history['close'].pct_change().dropna()
  44.             if daily_returns.std() == 0:
  45.                 sharpe_ratio = 0
  46.             else:
  47.                 sharpe_ratio = (252 ** 0.5) * daily_returns.mean() / daily_returns.std()
  48.             self.sharpe_ratios[equity] = sharpe_ratio
  49.             if sharpe_ratio > 0:
  50.                 selected_symbols.append(option)
  51.         
  52.         # Allocate capital based on IV
  53.         self.set_holdings_based_on_iv(selected_symbols)
  54.  
  56.     def set_holdings_based_on_iv(self, selected_symbols):
  57.         """Allocate weights to selected tickers based on IV."""
  58.         total_iv = 0
  59.         ivs = {}
  61.         for option_symbol in selected_symbols:
  62.             chain = self.option_chain_provider.get_option_contract_list(option_symbol, self.Time)
  63.             if not chain:
  64.                 self.debug(f"No chain found for: {option_symbol}")
  65.                 continue
  67.             # Filter for monthly contracts expiring in the current month
  68.             monthly_contracts = [
  69.                 c for c in chain 
  70.                 if c.ID.Date.month == self.Time.month and c.ID.Date.year == self.Time.year
  71.             ]
  72.             if not monthly_contracts:
  73.                 self.debug(f"No monthly contracts: {option_symbol}")
  74.                 continue
  76.             # Select the ATM contract
  77.             underlying_price = self.Securities[option_symbol.Underlying].Price
  78.             atm_contract = min(
  79.                 monthly_contracts, 
  80.                 key=lambda x: abs(x.ID.StrikePrice - underlying_price), 
  81.                 default=None
  82.             )
  84.             if atm_contract is None:
  85.                 self.debug(f"No ATM contract found for: {option_symbol}")
  86.                 continue
  88.             # Add the contract and calculate IV
  89.             self.AddOptionContract(atm_contract, Resolution.Minute)
  90.             iv_indicator = self.iv(atm_contract, option_model=OptionPricingModelType.BLACK_SCHOLES)
  91.             if iv_indicator is None or not iv_indicator.IsReady:
  92.                 self.debug(f"IV indicator not ready for contract: {atm_contract}")
  93.                 continue
  95.             iv = iv_indicator.Current.Value
  96.             if iv <= 0:
  97.                 self.debug(f"Invalid IV value for contract: {atm_contract}")
  98.                 continue
  100.             self.debug(f"Contract {atm_contract} IV: {iv}")
  101.             ivs[option_symbol] = iv
  102.             total_iv += iv
  104.         # Allocate capital proportionally based on IV
  105.         if total_iv > 0:
  106.             for option_symbol, iv in ivs.items():
  107.                 weight = iv / total_iv
  108.                 self.SetHoldings(option_symbol.Underlying, weight)
  109.         else:
  110.             self.debug("Total implied volatility is zero, no holdings set.")
  113.     def OnData(self, data):
  114.         """Handles incoming data."""
  115.         pass
  116.  
+ Expand

Author

Matt

December 2024