VIX Bear Call Spread

Article Strategy library · Author: QuantConnect

Summary

This example builds an options workflow around VIX index options. It subscribes to minute data, filters contracts to a bounded strike range and expirations within a selected window, then selects the nearest available expiry. From that expiry it sorts call contracts by strike and constructs a bear call spread using the lowest and highest available call strikes, entering one spread position when no tracked option position is active.

The algorithm also opens a long position in SPY if it is not already invested, but it does not explain the purpose or sizing relationship of that holding. The document supplies a sample implementation and date range, not performance results or a rationale for the selected strikes. It does not describe spread payoff limits, volatility assumptions, assignment handling, or exit management, so the example is best read as a contract-selection and order-construction demonstration rather than a complete trading plan.

Key ideas

The example filters VIX option contracts by strike distance and time to expiry.
It selects the nearest expiry and sorts its call contracts by strike.
It constructs a bear call spread using the lowest and highest selected call strikes.
It opens a long SPY position when needed and places one spread only when no tracked option position is invested.
The document provides no performance evidence or spread exit and risk management rules.

Tags

Options Volatility Execution US markets Backtesting

Full text

# IndexOptionBearCallSpreadAlgorithm


# IndexOptionBearCallSpreadAlgorithm









## 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 IndexOptionBearCallSpreadAlgorithm(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("VIX", Resolution.MINUTE).symbol
        option = self.add_index_option(index, "VIXW", Resolution.MINUTE)
        option.set_filter(lambda x: x.strikes(-5, 5).expiration(15, 45))
        
        self.vixw = option.symbol
        self.tickets = []

    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.vixw)
        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 bear call spread
        bear_call_spread = OptionStrategies.bear_call_spread(self.vixw, calls[0].strike, calls[-1].strike, expiry)
        self.tickets = self.buy(bear_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.

VIX Index Option Bear Call Spread with Expiry and Strike Filters

Summary

Key ideas

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