Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-0.668
Tracking Error
0.176
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class OptionHistoryAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 1, 1)
        option = self.add_index_option('SPX', 'SPXW')
        history = self.history[OptionUniverse](option.symbol, 5)
        for chain in history:
            end_time = chain.end_time
            filtered_contracts = [c for c in chain if c.greeks.delta > 0.3]
            for contract in filtered_contracts:
                symbol = contract.symbol
                expiry = contract.id.date
                strike = contract.id.strike_price
                price = contract.close
                iv = contract.implied_volatility