SPX Call and Put Selection with EMA Trend Signals
Summary
This Lean example trades minute-resolution SPX index options using the underlying index’s exponential moving averages. It adds SPX and a calls-only option subscription, then checks option contracts when index data arrives. When the fast EMA is above the slow EMA, it buys a call; when it is below, it buys a put. The algorithm submits a market order for one contract and attempts to liquidate the corresponding opposite-right option first.
The code demonstrates basic option-chain access, trend-based contract direction, and a guard against opening another position while the portfolio is invested. It does not show contract selection by expiry, strike, liquidity, or price, and the opposite-contract liquidation may not match a currently held position. The sample includes a brief date range and end-of-run assertions, but supplies no performance analysis. Its EMA naming and periods also merit scrutiny: the variable labeled slow is created with a shorter period than the one labeled fast.
Key ideas
- The algorithm uses SPX index data to guide directional option trades.
- It buys calls when the fast EMA exceeds the slow EMA and puts when it falls below.
- The option filter subscribes to calls only, despite the signal branch for puts.
- No expiry, strike, liquidity, or risk-based contract selection is shown.
Tags
Full text
# BasicTemplateIndexOptionsAlgorithm
# BasicTemplateIndexOptionsAlgorithm
## 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 BasicTemplateIndexOptionsAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2021, 1, 4)
self.set_end_date(2021, 2, 1)
self.set_cash(1000000)
self.spx = self.add_index("SPX", Resolution.MINUTE).symbol
spx_options = self.add_index_option(self.spx, Resolution.MINUTE)
spx_options.set_filter(lambda x: x.calls_only())
self.ema_slow = self.ema(self.spx, 80)
self.ema_fast = self.ema(self.spx, 200)
def on_data(self, data: Slice) -> None:
if self.spx not in data.bars or not self.ema_slow.is_ready:
return
for chain in data.option_chains.values():
for contract in chain.contracts.values():
if self.portfolio.invested:
continue
if (self.ema_fast > self.ema_slow and contract.right == OptionRight.CALL) or \
(self.ema_fast < self.ema_slow and contract.right == OptionRight.PUT):
self.liquidate(self.invert_option(contract.symbol))
self.market_order(contract.symbol, 1)
def on_end_of_algorithm(self) -> None:
if self.portfolio[self.spx].total_sale_volume > 0:
raise AssertionError("Index is not tradable.")
if self.portfolio.total_sale_volume == 0:
raise AssertionError("Trade volume should be greater than zero by the end of this algorithm")
def invert_option(self, symbol: Symbol) -> Symbol:
return Symbol.create_option(
symbol.underlying,
symbol.id.market,
symbol.id.option_style,
OptionRight.PUT if symbol.id.option_right == OptionRight.CALL else OptionRight.CALL,
symbol.id.strike_price,
symbol.id.date
)
```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.