SPX Bear Put Spread Strategy

Article Strategy library · Author: QuantConnect

Summary

This algorithm constructs a bearish put spread from weekly SPX index options. It subscribes to minute-resolution index and option data, filters for weekly contracts at nearby strikes with same-day expiration, and selects the nearest expiry in the available chain. It then sorts the puts by strike and buys a bear put spread using the highest and lowest selected strikes, with a single spread contract.

The algorithm avoids placing another spread while its tracked option tickets show an invested position. It does not define a market-direction signal, a profit target, or a separate loss exit; position closure depends on the options position no longer being invested. The code sets a historical simulation window and starting cash, but the document includes no backtest results. Because expiration is constrained to the current day and the spread is chosen from the available filtered chain, the example’s behavior depends on data availability, contract selection, and the execution model. It illustrates order construction, not evidence of a profitable strategy.

Key ideas

The algorithm trades a bearish vertical spread using SPX weekly puts.
It chooses the nearest available expiration and sorts eligible puts by strike.
The spread uses the highest and lowest selected strikes and opens one contract.
A new spread is skipped while the tracked position remains invested.
The code gives no directional entry signal, explicit profit target, or reported performance results.

Tags

Options Equities US markets Derivatives pricing Backtesting

Full text

# IndexOptionBearPutSpreadAlgorithm


# IndexOptionBearPutSpreadAlgorithm









## 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 IndexOptionBearPutSpreadAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2022, 1, 1)
        self.set_end_date(2022, 7, 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(5, 10).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 bear put spread
        bear_put_spread = OptionStrategies.bear_put_spread(self.spxw, puts[-1].strike, puts[0].strike, expiry)
        self.tickets = self.buy(bear_put_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.

SPX Weekly Bear Put Spread with Nearest-Expiry Options

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