SPX Bull Put Spread Algorithm

Article Strategy library · Author: QuantConnect

Summary

This example algorithm trades a bull put spread on weekly SPX index options. It requests minute-resolution index and option data, filters for contracts expiring that day within a specified range of strikes, then selects the nearest expiry and sorts its puts by strike. It constructs a spread using the two endpoint strikes and submits one spread when no position from its tracked tickets is currently invested. The example is a rules-based illustration of option-chain filtering and multi-leg order construction rather than a complete discussion of an options strategy.

The code sets a one-year backtest window and starting cash, but the document gives no performance results, payoff analysis, or rationale for its strike selection. It does not specify a profit target, loss exit, volatility filter, or other ongoing position management. The spread’s risk and outcome depend on option prices, contract selection, execution, and expiry behavior, so the example alone does not establish suitability or profitability.

Key ideas

The algorithm selects same-day-expiry SPX put options from a filtered weekly option chain.
It sorts eligible puts by strike and constructs a bull put spread from the endpoint strikes.
A new spread is submitted only when none of the tracked tickets represents an invested position.
The example specifies a backtest period and starting cash but reports no performance or risk analysis.
The code does not describe profit-taking, loss exits, or other position management after entry.

Tags

Options Derivatives pricing Execution Backtesting Risk management

Full text

# IndexOptionBullPutSpreadAlgorithm


# IndexOptionBullPutSpreadAlgorithm









## 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 *

class IndexOptionBullPutSpreadAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2019, 1, 1)
        self.set_end_date(2020, 1, 1)
        self.set_cash(100000)

        index = self.add_index("SPX", Resolution.MINUTE).symbol
        option = self.add_index_option(index, "SPXW", Resolution.MINUTE)
        option.set_filter(lambda x: x.weeklys_only().strikes(-10, -5).expiration(0, 0))
        
        self.spxw = option.symbol
        self.tickets = []

    def on_data(self, slice: Slice) -> None:
        # Return if open position exists
        if any([self.portfolio[x.symbol].invested for x in self.tickets]):
            return

        # Get option chain
        chain = slice.option_chains.get(self.spxw)
        if not chain: return

        # Get the nearest expiry date of the contracts
        expiry = min([x.expiry for x in chain])
        
        # Select the put Option contracts with the nearest expiry and sort by strike price
        puts = sorted([i for i in chain if i.expiry == expiry and i.right == OptionRight.PUT], 
                        key=lambda x: x.strike)
        if len(puts) < 2: return

        # Buy the bull put spread
        bull_call_spread = OptionStrategies.bull_put_spread(self.spxw, puts[-1].strike, puts[0].strike, expiry)
        self.tickets = self.buy(bull_call_spread, 1)
```

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.

Selecting a Near-Expiry SPX Bull Put Spread

Summary

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