DefaultOptionAssignmentModel

QuantConnect.Securities.Option.DefaultOptionAssignmentModel

DefaultOptionAssignmentModel(
    required_in_the_money_percent: float = 0.05,
    prior_expiration: Optional[timedelta] = None,
)

Bases: Object, IOptionAssignmentModel

The option assignment model emulates exercising of short option positions in the portfolio. Simulator implements basic no-arb argument: when time value of the option contract is close to zero it assigns short legs getting profit close to expiration dates in deep ITM positions. User algorithm then receives assignment event from LEAN. Simulator randomly scans for arbitrage opportunities every two hours or so.

Creates a new instance

Parameters:

Name	Type	Description	Default
required_in_the_money_percent	float	The percent in the money the option has to be to trigger the option assignment	0.05
prior_expiration	Optional[timedelta]	For OptionStyle.AMERICAN, the time span prior to expiration were we will try to evaluate option assignment	None

get_assignment

get_assignment(
    parameters: OptionAssignmentParameters,
) -> OptionAssignmentResult

Get's the option assignments to generate if any

Parameters:

Name	Type	Description	Default
parameters	OptionAssignmentParameters	The option assignment parameters data transfer class	required

Returns:

Type	Description
OptionAssignmentResult	The option assignment result.