Naked Call Construction with an Options Strategy Helper
Summary
This example demonstrates constructing and submitting a naked call position through an options strategy helper. It selects an option contract from the available chain by sorting for proximity to the underlying price and then by expiration, before submitting an order for two strategy units. The position check expects a single call option position with a quantity of negative two, indicating the resulting short call exposure.
The example also shows how to close the position by submitting the opposite strategy order. It is primarily an implementation example for batching orders and checking the expected position group, rather than a full trading system: it gives no entry rationale, market view, risk controls, or performance evidence. A naked short call can have substantial and theoretically unlimited loss if the underlying rises, and this document does not discuss collateral, assignment, or position sizing beyond the example quantity.
Key ideas
- The example creates a naked call position using an options strategy helper.
- It chooses a contract by proximity to the underlying price and then expiration ordering.
- The resulting position check expects one short call contract position group with quantity negative two.
- The position is closed by submitting the opposite strategy order.
- The example provides no risk management rules or evidence of strategy performance.
Tags
Full text
# NakedCallStrategyAlgorithm
# NakedCallStrategyAlgorithm
This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies. In this case, the algorithm tests the Naked Call strategy.
## Source (Apache-2.0)
```python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
from OptionStrategyFactoryMethodsBaseAlgorithm import *
### <summary>
### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
### In this case, the algorithm tests the Naked Call strategy.
### </summary>
class NakedCallStrategyAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
def expected_orders_count(self) -> int:
return 2
def trade_strategy(self, chain: OptionChain, option_symbol: Symbol):
contracts = sorted(sorted(chain, key = lambda x: abs(chain.underlying.price - x.strike)),
key = lambda x: x.expiry, reverse=True)
if len(contracts) == 0: return
contract = contracts[0]
if contract != None:
self._naked_call = OptionStrategies.naked_call(option_symbol, contract.strike, contract.expiry)
self.buy(self._naked_call, 2)
def assert_strategy_position_group(self, position_group: IPositionGroup, option_symbol: Symbol):
positions = list(position_group.positions)
if len(positions) != 1:
raise AssertionError(f"Expected position group to have 1 positions. Actual: {len(positions)}")
option_position = [position for position in positions if position.symbol.security_type == SecurityType.OPTION][0]
if option_position.symbol.id.option_right != OptionRight.CALL:
raise AssertionError(f"Expected option position to be a call. Actual: {option_position.symbol.id.option_right}")
expected_option_position_quantity = -2
if option_position.quantity != expected_option_position_quantity:
raise AssertionError(f"Expected option position quantity to be {expected_option_position_quantity}. Actual: {option_position.quantity}")
def liquidate_strategy(self):
# We can liquidate by selling the strategy
self.sell(self._naked_call, 2)
```Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.