SPX Weekly Bull Call Spreads

Article Strategy library · Author: QuantConnect

Summary

This algorithm demonstrates a basic index-option bull call spread workflow. It subscribes to SPY and the SPX index, then selects weekly SPX options within a bounded strike range and a specified expiration window. When the portfolio has no existing option position, it finds the nearest available expiry, sorts its call contracts by strike, and buys a spread using the lowest and highest listed strikes in that selected set.

The algorithm also opens a fixed SPY share position when none is held. The code labels the option-position check as a hedge check, but it does not describe a hedge ratio or explain how the SPY holding offsets the spread’s risk. No performance results, volatility criteria, spread-width controls, or position-sizing rationale are provided. The example illustrates contract selection and order construction; it does not establish that the chosen strikes or holding pattern are suitable for a particular market outlook or risk target.

Key ideas

The example selects weekly SPX options within configured strike and expiry bounds.
It chooses the nearest expiry represented in the available option chain.
The bull call spread uses the lowest and highest call strikes in the selected expiry set.
A fixed SPY share position is opened separately from the option spread.
The example provides no hedge-ratio method or performance evidence.

Tags

Options Derivatives pricing Execution US markets

Full text

# IndexOptionBullCallSpreadAlgorithm


# IndexOptionBullCallSpreadAlgorithm









## 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.

#region imports
from AlgorithmImports import *
#endregion

class IndexOptionBullCallSpreadAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)

        self.spy = self.add_equity("SPY", Resolution.MINUTE).symbol

        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, 5).expiration(40, 60))
        
        self.spxw = option.symbol
        self.tickets: list[OrderTicket] = list()

    def on_data(self, slice: Slice) -> None:
        if not self.portfolio[self.spy].invested:
            self.market_order(self.spy, 100)
        
        # Return if hedge position presents
        if any([self.portfolio[x.symbol].invested for x in self.tickets]):
            return

        # Return if hedge position presents
        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 call Option contracts with the nearest expiry and sort by strike price
        calls = sorted([i for i in chain if i.expiry == expiry and i.right == OptionRight.CALL], 
                        key=lambda x: x.strike)
        if len(calls) < 2: return

        # Buy the bull call spread
        bull_call_spread = OptionStrategies.bull_call_spread(self.spxw, calls[0].strike, calls[-1].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.

SPX Weekly Bull Call Spreads with a SPY Equity Position

Summary

Key ideas

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