Options SetFilter by strike percent

Hi Gil,

Yes, we can do that in OnData() method. I've attached a backtest to get the option chain of stock from -5% to  +5%, please check out the code and log. For more information about option data, please visit this page. Thanks!

 

Hi, 

but in the line:

Daniel Chen ?

Hi,

If you are interested in an options spread income strat with the possibility to tune the strikes, maybe that may look like this: 

#region imports
from AlgorithmImports import *
#endregion
class TransdimensionalCalibratedRadiator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)  # Set Start Date
        self.SetCash(15000)  # Set Strategy Cash

        option = self.AddOption("SPY")
        self.symbol = option.Symbol
        option.SetFilter(-40, 40, timedelta(10), timedelta(10))

    def OnData(self, slice: Slice) -> None:
        
        if self.Portfolio.Invested: return

        # Get the OptionChain
        chain = slice.OptionChains.get(self.symbol, None)
        if not chain: return

        # Get the furthest expiration date of the contracts
        expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry
        
        # Select the put Option contracts with the furthest expiry
        puts = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Put]
        if len(puts) == 0: return

        # Select the ITM and OTM contract strikes from the remaining contracts
        put_strikes = sorted([x.Strike for x in puts])
        for kvp in slice.OptionChains:
            if kvp.Key != self.symbol: continue
            chain = kvp.Value
            contracts = [i for i in chain]
            if len(contracts) == 0: continue
            contracts = sorted(contracts, key=lambda x: (x.Strike))
            self.shortContract = min(contracts, key=lambda x: x.Strike < 1.055*chain.Underlying.Price)
            self.longContract = min([c for c in contracts if c.Expiry==self.shortContract.Expiry], key=lambda x: x.Strike > 0.92*chain.Underlying.Price)
        
        #self.Buy(option_strategy, 1)
            if self.shortContract != self.longContract: 
                pass
                self.allChecksPassed = True
                self.Sell(self.shortContract.Symbol, 1)
                self.Buy(self.longContract.Symbol, 1)
                self.expirydate = self.longContract.Expiry 
                break