Overall Statistics
Total Orders
3
Average Win
0.42%
Average Loss
0%
Compounding Annual Return
5.446%
Drawdown
1.200%
Expectancy
-1
Start Equity
100000
End Equity
100856
Net Profit
0.856%
Sharpe Ratio
1.485
Sortino Ratio
1.74
Probabilistic Sharpe Ratio
64.891%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.034
Beta
0.126
Annual Standard Deviation
0.021
Annual Variance
0
Information Ratio
0.508
Tracking Error
0.119
Treynor Ratio
0.242
Total Fees
$2.00
Estimated Strategy Capacity
$61000000.00
Lowest Capacity Asset
IBM 2ZN0UI19JRV52|IBM R735QTJ8XC9X
Portfolio Turnover
0.33%
 
#region imports
    using System;
    using System.Linq;
    using QuantConnect.Util;
    using QuantConnect.Data;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
#endregion

namespace QuantConnect.Algorithm.CSharp
{
    public class NakedPutAlgorithm : QCAlgorithm
    {
        private Symbol _put, _symbol;
        
        public override void Initialize()
        {
            SetStartDate(2014, 1, 1);
            SetEndDate(2014, 3, 1);
            SetCash(100000);

            var option = AddOption("IBM");
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().NakedPut(30, 0));

            // use the underlying equity as the benchmark
            SetBenchmark(_symbol.Underlying);
        }

        public override void OnData(Slice slice)
        {
            if (_put != null && Portfolio[_put].Invested) return;

            if (!slice.OptionChains.TryGetValue(_symbol, out var chain)) return;

            // Find ATM put with the farthest expiry
            var expiry = chain.Max(x => x.Expiry);
            var atmPut = chain
                .Where(x=> x.Right == OptionRight.Put && x.Expiry == expiry)
                .OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price))
                .FirstOrDefault();

            if (atmPut == null) return;

            var nakedPut = OptionStrategies.NakedPut(_symbol, atmPut.Strike, expiry);
            Buy(nakedPut, 1);

            _put = atmPut.Symbol;
        }
    }
}