SPX Weekly Iron Condor Strategy

Article Strategy library · Author: QuantConnect

Summary

The algorithm selects weekly SPX index options with near-term expirations and a bounded range of strikes. It waits until the portfolio is flat, chooses the closest expiry, then sorts calls and puts by strike and constructs a four-leg position from the outer and inner contracts. A daily Bollinger Band comparison determines whether the option-leg quantities are entered in one direction or reversed. The combo is submitted as a market order.

The source sets a short historical run and minute-level option data, but provides no reported performance, fill analysis, or explanation of why the band condition should predict favorable iron condor positioning. The code also does not specify explicit risk exits or position management after entry beyond waiting for the portfolio to become flat. These omissions make the example useful as an illustration of contract selection and order construction, not as evidence of a robust options strategy.

Key ideas

The algorithm filters for weekly SPX options with expirations within two weeks and strikes near the index level.
It selects the nearest expiry and builds a four-leg call-and-put combination.
Daily Bollinger Band position determines whether the leg quantities are reversed.
No performance results, exit rules, or risk analysis are provided.

Tags

Options US markets Volatility Execution

Full text

# IndexOptionIronCondorAlgorithm


# IndexOptionIronCondorAlgorithm









## 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 IndexOptionIronCondorAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2019, 9, 1)
        self.set_end_date(2019, 11, 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, 5).expiration(0, 14))
        self.spxw = option.symbol

        self._bb = self.bb(index, 10, 2, resolution=Resolution.DAILY)
        self.warm_up_indicator(index, self._bb)

    def on_data(self, slice: Slice) -> None:
        if self.portfolio.invested: return

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

        # Get the closest expiry date
        expiry = min([x.expiry for x in chain])
        contracts = [x for x in chain if x.expiry == expiry]

        # Separate the call and put contracts and sort by Strike to find OTM contracts
        calls = sorted([x for x in contracts if x.right == OptionRight.CALL], key=lambda x: x.strike, reverse=True)
        puts = sorted([x for x in contracts if x.right == OptionRight.PUT], key=lambda x: x.strike)
        if len(calls) < 3 or len(puts) < 3: return

        # Create combo order legs
        price = self._bb.price.current.value
        quantity = 1
        if price > self._bb.upper_band.current.value or price < self._bb.lower_band.current.value:
            quantity = -1

        legs = [
            Leg.create(calls[0].symbol, quantity),
            Leg.create(puts[0].symbol, quantity),
            Leg.create(calls[2].symbol, -quantity),
            Leg.create(puts[2].symbol, -quantity)
        ]

        self.combo_market_order(legs, 10, asynchronous=True)

```

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 Iron Condor Selection with Bollinger Band Direction

Summary

Key ideas

Tags