Provides methods for creating popular OptionStrategy instances. These strategies can be directly bought and sold via: QCAlgorithm.Buy(OptionStrategy strategy, int quantity) QCAlgorithm.Sell(OptionStrategy strategy, int quantity) More...

Static Public Member Functions
static OptionStrategy	CoveredCall (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Covered Call strategy that consists of selling one call contract and buying 1 lot of the underlying. More...

static OptionStrategy	ProtectiveCall (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Protective Call strategy that consists of buying one call contract and selling 1 lot of the underlying. More...

static OptionStrategy	CoveredPut (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Covered Put strategy that consists of selling 1 put contract and 1 lot of the underlying. More...

static OptionStrategy	ProtectivePut (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Protective Put strategy that consists of buying 1 put contract and 1 lot of the underlying. More...

static OptionStrategy	NakedCall (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Naked Call strategy that consists of selling 1 call contract. More...

static OptionStrategy	NakedPut (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Naked Put strategy that consists of selling 1 put contract. More...

static OptionStrategy	BearCallSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bear Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is below the strike of the long call. This is a credit spread. More...

static OptionStrategy	BearPutSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bear Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is below the strike of the long put. This is a debit spread. More...

static OptionStrategy	BullCallSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bull Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is higher than the strike of the long call. This is a debit spread. More...

static OptionStrategy	BullPutSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bull Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is above the strike of the long put. This is a credit spread. More...

static OptionStrategy	Straddle (Symbol canonicalOption, decimal strike, DateTime expiration)
	Method creates new Straddle strategy, that is a combination of buying a call and buying a put, both with the same strike price and expiration. More...

static OptionStrategy	ShortStraddle (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Short Straddle strategy that consists of selling a call and a put, both with the same strike price and expiration. More...

static OptionStrategy	Strangle (Symbol canonicalOption, decimal callLegStrike, decimal putLegStrike, DateTime expiration)
	Method creates new Strangle strategy, that buying a call option and a put option with the same expiration date The strike price of the call is above the strike of the put. More...

static OptionStrategy	ShortStrangle (Symbol canonicalOption, decimal callLegStrike, decimal putLegStrike, DateTime expiration)
	Creates a Short Strangle strategy that consists of selling a call and a put, with the same expiration date and the call strike being above the put strike. More...

static OptionStrategy	CallButterfly (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Call Butterfly strategy, that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ButterflyCall (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Call strategy that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ShortButterflyCall (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Call strategy that consists of two long calls at a middle strike, and one short call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	PutButterfly (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Put Butterfly strategy, that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ButterflyPut (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Put strategy that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ShortButterflyPut (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Put strategy that consists of two long puts at a middle strike, and one short put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	CallCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the long call having a further expiration date. More...

static OptionStrategy	ShortCallCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Short Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the short call having a further expiration date. More...

static OptionStrategy	PutCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the long put having a further expiration date. More...

static OptionStrategy	ShortPutCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Short Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the short put having a further expiration date. More...

static OptionStrategy	IronCondor (Symbol canonicalOption, decimal longPutStrike, decimal shortPutStrike, decimal shortCallStrike, decimal longCallStrike, DateTime expiration)
	Creates a new Iron Condor strategy which consists of a long put, a short put, a short call and a long option, all with the same expiration date and with increasing strikes prices in the mentioned order. More...

Detailed Description

Provides methods for creating popular OptionStrategy instances. These strategies can be directly bought and sold via: QCAlgorithm.Buy(OptionStrategy strategy, int quantity) QCAlgorithm.Sell(OptionStrategy strategy, int quantity)

Member Function Documentation

◆ CoveredCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CoveredCall	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Covered Call strategy that consists of selling one call contract and buying 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the call option contract
expiration	The expiration date for the call option contract

Returns: Option strategy specification

Definition at line 45 of file OptionStrategies.cs.

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◆ ProtectiveCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ProtectiveCall	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Protective Call strategy that consists of buying one call contract and selling 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the call option contract
expiration	The expiration date for the call option contract

Returns: Option strategy specification

Definition at line 82 of file OptionStrategies.cs.

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◆ CoveredPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CoveredPut	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Covered Put strategy that consists of selling 1 put contract and 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the put option contract
expiration	The expiration date for the put option contract

Returns: Option strategy specification

Definition at line 95 of file OptionStrategies.cs.

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◆ ProtectivePut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ProtectivePut	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Protective Put strategy that consists of buying 1 put contract and 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the put option contract
expiration	The expiration date for the put option contract

Returns: Option strategy specification

Definition at line 132 of file OptionStrategies.cs.

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◆ NakedCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.NakedCall	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Naked Call strategy that consists of selling 1 call contract.

Parameters

canonicalOption	Option symbol
strike	The strike price for the call option contract
expiration	The expiration date for the call option contract

Returns: Option strategy specification

Definition at line 145 of file OptionStrategies.cs.

◆ NakedPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.NakedPut	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Naked Put strategy that consists of selling 1 put contract.

Parameters

canonicalOption	Option symbol
strike	The strike price for the put option contract
expiration	The expiration date for the put option contract

Returns: Option strategy specification

Definition at line 172 of file OptionStrategies.cs.

◆ BearCallSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BearCallSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bear Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is below the strike of the long call. This is a credit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the short call
leg2Strike	The strike price of the long call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 201 of file OptionStrategies.cs.

◆ BearPutSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BearPutSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bear Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is below the strike of the long put. This is a debit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the long put
leg2Strike	The strike price of the short put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 244 of file OptionStrategies.cs.

◆ BullCallSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BullCallSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bull Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is higher than the strike of the long call. This is a debit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the long call
leg2Strike	The strike price of the short call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 288 of file OptionStrategies.cs.

◆ BullPutSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BullPutSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bull Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is above the strike of the long put. This is a credit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the short put
leg2Strike	The strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 331 of file OptionStrategies.cs.

◆ Straddle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.Straddle	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Method creates new Straddle strategy, that is a combination of buying a call and buying a put, both with the same strike price and expiration.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 373 of file OptionStrategies.cs.

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◆ ShortStraddle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortStraddle	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Short Straddle strategy that consists of selling a call and a put, both with the same strike price and expiration.

Parameters

canonicalOption	Option symbol
strike	The strike price for the option contracts
expiration	The expiration date for the option contracts

Returns: Option strategy specification

Definition at line 406 of file OptionStrategies.cs.

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◆ Strangle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.Strangle	(	Symbol	canonicalOption,
		decimal	callLegStrike,
		decimal	putLegStrike,
		DateTime	expiration
	)

static

Method creates new Strangle strategy, that buying a call option and a put option with the same expiration date The strike price of the call is above the strike of the put.

Parameters

canonicalOption	Option symbol
callLegStrike	The strike price of the long call
putLegStrike	The strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 421 of file OptionStrategies.cs.

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◆ ShortStrangle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortStrangle	(	Symbol	canonicalOption,
		decimal	callLegStrike,
		decimal	putLegStrike,
		DateTime	expiration
	)

static

Creates a Short Strangle strategy that consists of selling a call and a put, with the same expiration date and the call strike being above the put strike.

Parameters

canonicalOption	Option symbol
callLegStrike	The strike price of the short call
putLegStrike	The strike price of the short put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 465 of file OptionStrategies.cs.

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◆ CallButterfly()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CallButterfly	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Call Butterfly strategy, that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long call
middleStrike	The middle strike price of the two short calls
lowerStrike	The lower strike price of the long call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 481 of file OptionStrategies.cs.

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◆ ButterflyCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ButterflyCall	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Call strategy that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long call
middleStrike	The middle strike price of the two short calls
lowerStrike	The lower strike price of the long call
expiration	Option expiration date

Returns: Option strategy specification

Alias for CallButterfly

Definition at line 535 of file OptionStrategies.cs.

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◆ ShortButterflyCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortButterflyCall	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Call strategy that consists of two long calls at a middle strike, and one short call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the short call
middleStrike	The middle strike price of the two long calls
lowerStrike	The lower strike price of the short call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 552 of file OptionStrategies.cs.

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◆ PutButterfly()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.PutButterfly	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Put Butterfly strategy, that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long put
middleStrike	The middle strike price of the two short puts
lowerStrike	The lower strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 570 of file OptionStrategies.cs.

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◆ ButterflyPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ButterflyPut	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Put strategy that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long put
middleStrike	The middle strike price of the two short puts
lowerStrike	The lower strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Alias for PutButterfly

Definition at line 627 of file OptionStrategies.cs.

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◆ ShortButterflyPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortButterflyPut	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Put strategy that consists of two long puts at a middle strike, and one short put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the short put
middleStrike	The middle strike price of the two long puts
lowerStrike	The lower strike price of the short put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 644 of file OptionStrategies.cs.

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◆ CallCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CallCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the long call having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the short option
farExpiration	Far expiration date for the long option

Returns: Option strategy specification

Definition at line 661 of file OptionStrategies.cs.

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◆ ShortCallCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortCallCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Short Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the short call having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the long option
farExpiration	Far expiration date for the short option

Returns: Option strategy specification

Definition at line 701 of file OptionStrategies.cs.

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◆ PutCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.PutCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the long put having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the short option
farExpiration	Far expiration date for the long option

Returns: Option strategy specification

Definition at line 717 of file OptionStrategies.cs.

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◆ ShortPutCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortPutCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Short Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the short put having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the long option
farExpiration	Far expiration date for the short option

Returns: Option strategy specification

Definition at line 757 of file OptionStrategies.cs.

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◆ IronCondor()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.IronCondor	(	Symbol	canonicalOption,
		decimal	longPutStrike,
		decimal	shortPutStrike,
		decimal	shortCallStrike,
		decimal	longCallStrike,
		DateTime	expiration
	)

static

Creates a new Iron Condor strategy which consists of a long put, a short put, a short call and a long option, all with the same expiration date and with increasing strikes prices in the mentioned order.

Parameters

canonicalOption	Option symbol
longPutStrike	Long put option strike price
shortPutStrike	Short put option strike price
shortCallStrike	Short call option strike price
longCallStrike	Long call option strike price
expiration	Expiration date for all the options

Returns: Option strategy specification

Definition at line 775 of file OptionStrategies.cs.

The documentation for this class was generated from the following file:

Common/Securities/Option/OptionStrategies.cs

Static Public Member Functions

Detailed Description

Member Function Documentation

◆ CoveredCall()

◆ ProtectiveCall()

◆ CoveredPut()

◆ ProtectivePut()

◆ NakedCall()

◆ NakedPut()

◆ BearCallSpread()

◆ BearPutSpread()

◆ BullCallSpread()

◆ BullPutSpread()

◆ Straddle()

◆ ShortStraddle()

◆ Strangle()

◆ ShortStrangle()

◆ CallButterfly()

◆ ButterflyCall()

◆ ShortButterflyCall()

◆ PutButterfly()

◆ ButterflyPut()

◆ ShortButterflyPut()

◆ CallCalendarSpread()

◆ ShortCallCalendarSpread()

◆ PutCalendarSpread()

◆ ShortPutCalendarSpread()

◆ IronCondor()