Overall Statistics
Total Orders
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
-1.333%
Drawdown
0.100%
Expectancy
0
Start Equity
500000
End Equity
499436.7
Net Profit
-0.113%
Sharpe Ratio
-12.39
Sortino Ratio
-12.725
Probabilistic Sharpe Ratio
28.569%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.014
Beta
0.002
Annual Standard Deviation
0.001
Annual Variance
0
Information Ratio
-8.228
Tracking Error
0.058
Treynor Ratio
-8.466
Total Fees
$3.30
Estimated Strategy Capacity
$710000.00
Lowest Capacity Asset
GOOCV WIJN1A64I33A|GOOCV VP83T1ZUHROL
Portfolio Turnover
0.04%
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion

namespace QuantConnect.Algorithm.CSharp
{
    public class BearPutSpreadStrategy : QCAlgorithm
    {
        private Symbol _symbol;

        public override void Initialize()
        {
            SetStartDate(2017, 2, 1);
            SetEndDate(2017, 3, 5);
            SetCash(500000);

            var option = AddOption("GOOG", Resolution.Minute);
            _symbol = option.Symbol;
            option.SetFilter(universe => universe.IncludeWeeklys().CallButterfly(30, 5));
        }

        public override void OnData(Slice slice)
        {
            if (Portfolio.Invested) return;

            // Get the OptionChain of the symbol
            var chain = slice.OptionChains.get(_symbol, null);
            if (chain == null || chain.Count() == 0) return;

            // sorted the optionchain by expiration date and choose the furthest date
            var expiry = chain.OrderByDescending(x => x.Expiry).First().Expiry;
            
            // filter the call options from the contracts which expire on the furthest expiration date in the option chain.
            var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call);
            if (calls.Count() == 0) return;

            // sort the call options with the same expiration date according to their strike price.
            var callStrikes = calls.Select(x => x.Strike).OrderBy(x => x);

            // get at-the-money strike
            var atmStrike = calls.OrderBy(x => Math.Abs(x.Strike - chain.Underlying.Price)).First().Strike;

            // Get the distance between lowest strike price and ATM strike, and highest strike price and ATM strike. 
            // Get the lower value as the spread distance as equidistance is needed for both side.
            var spread = Math.Min(Math.Abs(callStrikes.First() - atmStrike), Math.Abs(callStrikes.Last() - atmStrike));

            // select the strike prices for forming the option legs
            var itmStrike = atmStrike - spread;
            var otmStrike = atmStrike + spread;

            var optionStrategy = OptionStrategies.CallButterfly(_symbol, otmStrike, atmStrike, itmStrike, expiry);
            // We open a position with 1 unit of the option strategy
            Buy(optionStrategy, 1);    // if long call butterfly
            //Sell(optionStrategy, 1);   // if short call butterfly
        }
    }
}