Provides methods for creating popular OptionStrategy instances. These strategies can be directly bought and sold via: QCAlgorithm.Buy(OptionStrategy strategy, int quantity) QCAlgorithm.Sell(OptionStrategy strategy, int quantity) More...

Static Public Member Functions
static OptionStrategy	CoveredCall (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Covered Call strategy that consists of selling one call contract and buying 1 lot of the underlying. More...

static OptionStrategy	ProtectiveCall (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Protective Call strategy that consists of buying one call contract and selling 1 lot of the underlying. More...

static OptionStrategy	CoveredPut (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Covered Put strategy that consists of selling 1 put contract and 1 lot of the underlying. More...

static OptionStrategy	ProtectivePut (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Protective Put strategy that consists of buying 1 put contract and 1 lot of the underlying. More...

static OptionStrategy	ProtectiveCollar (Symbol canonicalOption, decimal callStrike, decimal putStrike, DateTime expiration)
	Creates a Protective Collar strategy that consists of buying 1 put contract and 1 lot of the underlying. More...

static OptionStrategy	Conversion (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Conversion strategy that consists of buying 1 put contract, 1 lot of the underlying and selling 1 call contract. Put and call must have the same expiration date, underlying (multiplier), and strike price. More...

static OptionStrategy	ReverseConversion (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Reverse Conversion strategy that consists of buying 1 put contract and 1 lot of the underlying. More...

static OptionStrategy	NakedCall (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Naked Call strategy that consists of selling 1 call contract. More...

static OptionStrategy	NakedPut (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Naked Put strategy that consists of selling 1 put contract. More...

static OptionStrategy	BearCallSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bear Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is below the strike of the long call. This is a credit spread. More...

static OptionStrategy	BearPutSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bear Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is below the strike of the long put. This is a debit spread. More...

static OptionStrategy	BullCallSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bull Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is higher than the strike of the long call. This is a debit spread. More...

static OptionStrategy	BullPutSpread (Symbol canonicalOption, decimal leg1Strike, decimal leg2Strike, DateTime expiration)
	Method creates new Bull Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is above the strike of the long put. This is a credit spread. More...

static OptionStrategy	Straddle (Symbol canonicalOption, decimal strike, DateTime expiration)
	Method creates new Straddle strategy, that is a combination of buying a call and buying a put, both with the same strike price and expiration. More...

static OptionStrategy	ShortStraddle (Symbol canonicalOption, decimal strike, DateTime expiration)
	Creates a Short Straddle strategy that consists of selling a call and a put, both with the same strike price and expiration. More...

static OptionStrategy	Strangle (Symbol canonicalOption, decimal callLegStrike, decimal putLegStrike, DateTime expiration)
	Method creates new Strangle strategy, that buying a call option and a put option with the same expiration date The strike price of the call is above the strike of the put. More...

static OptionStrategy	ShortStrangle (Symbol canonicalOption, decimal callLegStrike, decimal putLegStrike, DateTime expiration)
	Creates a Short Strangle strategy that consists of selling a call and a put, with the same expiration date and the call strike being above the put strike. More...

static OptionStrategy	CallButterfly (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Call Butterfly strategy, that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ButterflyCall (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Call strategy that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ShortButterflyCall (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Call strategy that consists of two long calls at a middle strike, and one short call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	PutButterfly (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Put Butterfly strategy, that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ButterflyPut (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Put strategy that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	ShortButterflyPut (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Creates a new Butterfly Put strategy that consists of two long puts at a middle strike, and one short put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike. More...

static OptionStrategy	CallCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the long call having a further expiration date. More...

static OptionStrategy	ShortCallCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Short Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the short call having a further expiration date. More...

static OptionStrategy	PutCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the long put having a further expiration date. More...

static OptionStrategy	ShortPutCalendarSpread (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Short Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the short put having a further expiration date. More...

static OptionStrategy	IronButterfly (Symbol canonicalOption, decimal otmPutStrike, decimal atmStrike, decimal otmCallStrike, DateTime expiration)
	Creates a new Iron Butterfly strategy which consists of a short ATM call, a short ATM put, a long OTM call, and a long OTM put. all with the same expiration date and with increasing strikes prices in the mentioned order. More...

static OptionStrategy	ShortIronButterfly (Symbol canonicalOption, decimal otmPutStrike, decimal atmStrike, decimal otmCallStrike, DateTime expiration)
	Creates a new Short Iron Butterfly strategy which consists of a long ATM call, a long ATM put, a short OTM call, and a short OTM put, all with the same expiration date and with increasing strikes prices in the mentioned order. More...

static OptionStrategy	IronCondor (Symbol canonicalOption, decimal longPutStrike, decimal shortPutStrike, decimal shortCallStrike, decimal longCallStrike, DateTime expiration)
	Creates a new Iron Condor strategy which consists of a long put, a short put, a short call and a long option, all with the same expiration date and with increasing strikes prices in the mentioned order. More...

static OptionStrategy	ShortIronCondor (Symbol canonicalOption, decimal shortPutStrike, decimal longPutStrike, decimal longCallStrike, decimal shortCallStrike, DateTime expiration)
	Creates a new Short Iron Condor strategy which consists of a short put, a long put, a long call and a short call, all with the same expiration date and with increasing strikes prices in the mentioned order. More...

static OptionStrategy	BoxSpread (Symbol canonicalOption, decimal higherStrike, decimal lowerStrike, DateTime expiration)
	Creates a Box Spread strategy which consists of a long call and a short put (buy side) of the same strikes, coupled with a short call and a long put (sell side) of higher but same strikes. All options have the same expiry. More...

static OptionStrategy	ShortBoxSpread (Symbol canonicalOption, decimal higherStrike, decimal lowerStrike, DateTime expiration)
	Creates a Short Box Spread strategy which consists of a long call and a short put (buy side) of the same strikes, coupled with a short call and a long put (sell side) of lower but same strikes. All options have the same expiry. More...

static OptionStrategy	JellyRoll (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Jelly Roll strategy which combines a long call calendar spread and a short put calendar spread with the same strikes and the same pair of expiration dates. More...

static OptionStrategy	ShortJellyRoll (Symbol canonicalOption, decimal strike, DateTime nearExpiration, DateTime farExpiration)
	Creates new Short Jelly Roll strategy which combines a long call calendar spread and a short put calendar spread with the same strikes and the same pair of expiration dates. More...

static OptionStrategy	BearCallLadder (Symbol canonicalOption, decimal lowerStrike, decimal middleStrike, decimal higherStrike, DateTime expiration)
	Method creates new Bear Call Ladder strategy, that consists of three calls with the same expiration but different strikes. The strike price of the short call is below the strikes of the two long calls. More...

static OptionStrategy	BearPutLadder (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Bear Put Ladder strategy, that consists of three puts with the same expiration but different strikes. The strike price of the long put is above the strikes of the two short puts. More...

static OptionStrategy	BullCallLadder (Symbol canonicalOption, decimal lowerStrike, decimal middleStrike, decimal higherStrike, DateTime expiration)
	Method creates new Bull Call Ladder strategy, that consists of three calls with the same expiration but different strikes. The strike price of the long call is below the strikes of the two short calls. More...

static OptionStrategy	BullPutLadder (Symbol canonicalOption, decimal higherStrike, decimal middleStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Bull Put Ladder strategy, that consists of three puts with the same expiration but different strikes. The strike price of the short put is above the strikes of the two long puts. More...

static OptionStrategy	CallBackspread (Symbol canonicalOption, decimal lowerStrike, decimal higherStrike, DateTime expiration)
	Method creates new Long Call Backspread strategy, that consists of two calls with the same expiration but different strikes. It involves selling the lower strike call, while buying twice the number of the higher strike call. More...

static OptionStrategy	PutBackspread (Symbol canonicalOption, decimal higherStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Long Put Backspread strategy, that consists of two puts with the same expiration but different strikes. It involves selling the higher strike put, while buying twice the number of the lower strike put. More...

static OptionStrategy	ShortCallBackspread (Symbol canonicalOption, decimal lowerStrike, decimal higherStrike, DateTime expiration)
	Method creates new Short Call Backspread strategy, that consists of two calls with the same expiration but different strikes. It involves buying the lower strike call, while shorting twice the number of the higher strike call. More...

static OptionStrategy	ShortPutBackspread (Symbol canonicalOption, decimal higherStrike, decimal lowerStrike, DateTime expiration)
	Method creates new Short Put Backspread strategy, that consists of two puts with the same expiration but different strikes. It involves buying the higher strike put, while selling twice the number of the lower strike put. More...

Detailed Description

Provides methods for creating popular OptionStrategy instances. These strategies can be directly bought and sold via: QCAlgorithm.Buy(OptionStrategy strategy, int quantity) QCAlgorithm.Sell(OptionStrategy strategy, int quantity)

Member Function Documentation

◆ CoveredCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CoveredCall	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Covered Call strategy that consists of selling one call contract and buying 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the call option contract
expiration	The expiration date for the call option contract

Returns: Option strategy specification

Definition at line 45 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ProtectiveCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ProtectiveCall	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Protective Call strategy that consists of buying one call contract and selling 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the call option contract
expiration	The expiration date for the call option contract

Returns: Option strategy specification

Definition at line 82 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ CoveredPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CoveredPut	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Covered Put strategy that consists of selling 1 put contract and 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the put option contract
expiration	The expiration date for the put option contract

Returns: Option strategy specification

Definition at line 95 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ProtectivePut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ProtectivePut	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Protective Put strategy that consists of buying 1 put contract and 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the put option contract
expiration	The expiration date for the put option contract

Returns: Option strategy specification

Definition at line 132 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ProtectiveCollar()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ProtectiveCollar	(	Symbol	canonicalOption,
		decimal	callStrike,
		decimal	putStrike,
		DateTime	expiration
	)

static

Creates a Protective Collar strategy that consists of buying 1 put contract and 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
callStrike	The strike price for the call option contract
putStrike	The strike price for the put option contract
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 146 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ Conversion()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.Conversion	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Conversion strategy that consists of buying 1 put contract, 1 lot of the underlying and selling 1 call contract. Put and call must have the same expiration date, underlying (multiplier), and strike price.

Parameters

canonicalOption	Option symbol
strike	The strike price for the call and put option contract
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 175 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ReverseConversion()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ReverseConversion	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Reverse Conversion strategy that consists of buying 1 put contract and 1 lot of the underlying.

Parameters

canonicalOption	Option symbol
strike	The strike price for the put option contract
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 189 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ NakedCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.NakedCall	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Naked Call strategy that consists of selling 1 call contract.

Parameters

canonicalOption	Option symbol
strike	The strike price for the call option contract
expiration	The expiration date for the call option contract

Returns: Option strategy specification

Definition at line 202 of file OptionStrategies.cs.

◆ NakedPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.NakedPut	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Naked Put strategy that consists of selling 1 put contract.

Parameters

canonicalOption	Option symbol
strike	The strike price for the put option contract
expiration	The expiration date for the put option contract

Returns: Option strategy specification

Definition at line 229 of file OptionStrategies.cs.

◆ BearCallSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BearCallSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bear Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is below the strike of the long call. This is a credit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the short call
leg2Strike	The strike price of the long call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 258 of file OptionStrategies.cs.

◆ BearPutSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BearPutSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bear Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is below the strike of the long put. This is a debit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the long put
leg2Strike	The strike price of the short put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 301 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ BullCallSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BullCallSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bull Call Spread strategy, that consists of two calls with the same expiration but different strikes. The strike price of the short call is higher than the strike of the long call. This is a debit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the long call
leg2Strike	The strike price of the short call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 345 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ BullPutSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BullPutSpread	(	Symbol	canonicalOption,
		decimal	leg1Strike,
		decimal	leg2Strike,
		DateTime	expiration
	)

static

Method creates new Bull Put Spread strategy, that consists of two puts with the same expiration but different strikes. The strike price of the short put is above the strike of the long put. This is a credit spread.

Parameters

canonicalOption	Option symbol
leg1Strike	The strike price of the short put
leg2Strike	The strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 388 of file OptionStrategies.cs.

◆ Straddle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.Straddle	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Method creates new Straddle strategy, that is a combination of buying a call and buying a put, both with the same strike price and expiration.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 430 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ShortStraddle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortStraddle	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	expiration
	)

static

Creates a Short Straddle strategy that consists of selling a call and a put, both with the same strike price and expiration.

Parameters

canonicalOption	Option symbol
strike	The strike price for the option contracts
expiration	The expiration date for the option contracts

Returns: Option strategy specification

Definition at line 463 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ Strangle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.Strangle	(	Symbol	canonicalOption,
		decimal	callLegStrike,
		decimal	putLegStrike,
		DateTime	expiration
	)

static

Method creates new Strangle strategy, that buying a call option and a put option with the same expiration date The strike price of the call is above the strike of the put.

Parameters

canonicalOption	Option symbol
callLegStrike	The strike price of the long call
putLegStrike	The strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 478 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ShortStrangle()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortStrangle	(	Symbol	canonicalOption,
		decimal	callLegStrike,
		decimal	putLegStrike,
		DateTime	expiration
	)

static

Creates a Short Strangle strategy that consists of selling a call and a put, with the same expiration date and the call strike being above the put strike.

Parameters

canonicalOption	Option symbol
callLegStrike	The strike price of the short call
putLegStrike	The strike price of the short put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 522 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ CallButterfly()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CallButterfly	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Call Butterfly strategy, that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long call
middleStrike	The middle strike price of the two short calls
lowerStrike	The lower strike price of the long call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 538 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ButterflyCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ButterflyCall	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Call strategy that consists of two short calls at a middle strike, and one long call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long call
middleStrike	The middle strike price of the two short calls
lowerStrike	The lower strike price of the long call
expiration	Option expiration date

Returns: Option strategy specification

Alias for CallButterfly

Definition at line 592 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ShortButterflyCall()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortButterflyCall	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Call strategy that consists of two long calls at a middle strike, and one short call each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the short call
middleStrike	The middle strike price of the two long calls
lowerStrike	The lower strike price of the short call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 609 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ PutButterfly()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.PutButterfly	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Put Butterfly strategy, that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long put
middleStrike	The middle strike price of the two short puts
lowerStrike	The lower strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 627 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ButterflyPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ButterflyPut	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Put strategy that consists of two short puts at a middle strike, and one long put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the long put
middleStrike	The middle strike price of the two short puts
lowerStrike	The lower strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Alias for PutButterfly

Definition at line 684 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ShortButterflyPut()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortButterflyPut	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a new Butterfly Put strategy that consists of two long puts at a middle strike, and one short put each at a lower and upper strike. The upper and lower strikes must both be equidistant from the middle strike.

Parameters

canonicalOption	Option symbol
higherStrike	The upper strike price of the short put
middleStrike	The middle strike price of the two long puts
lowerStrike	The lower strike price of the short put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 701 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ CallCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CallCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the long call having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the short option
farExpiration	Far expiration date for the long option

Returns: Option strategy specification

Definition at line 718 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ShortCallCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortCallCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Short Call Calendar Spread strategy which consists of a short and a long call with the same strikes but with the short call having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the long option
farExpiration	Far expiration date for the short option

Returns: Option strategy specification

Definition at line 758 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ PutCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.PutCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the long put having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the short option
farExpiration	Far expiration date for the long option

Returns: Option strategy specification

Definition at line 774 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ShortPutCalendarSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortPutCalendarSpread	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Short Put Calendar Spread strategy which consists of a short and a long put with the same strikes but with the short put having a further expiration date.

Parameters

canonicalOption	Option symbol
strike	The strike price of the both legs
nearExpiration	Near expiration date for the long option
farExpiration	Far expiration date for the short option

Returns: Option strategy specification

Definition at line 814 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ IronButterfly()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.IronButterfly	(	Symbol	canonicalOption,
		decimal	otmPutStrike,
		decimal	atmStrike,
		decimal	otmCallStrike,
		DateTime	expiration
	)

static

Creates a new Iron Butterfly strategy which consists of a short ATM call, a short ATM put, a long OTM call, and a long OTM put. all with the same expiration date and with increasing strikes prices in the mentioned order.

Parameters

canonicalOption	Option symbol
otmCallStrike	OTM call option strike price
atmStrike	2 ATM options strike price
otmPutStrike	OTM put option strike price
expiration	Expiration date for all the options

Returns: Option strategy specification

Definition at line 831 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ShortIronButterfly()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortIronButterfly	(	Symbol	canonicalOption,
		decimal	otmPutStrike,
		decimal	atmStrike,
		decimal	otmCallStrike,
		DateTime	expiration
	)

static

Creates a new Short Iron Butterfly strategy which consists of a long ATM call, a long ATM put, a short OTM call, and a short OTM put, all with the same expiration date and with increasing strikes prices in the mentioned order.

It is the inverse of an IronButterfly.

Parameters

canonicalOption	Option symbol
otmCallStrike	OTM call option strike price
atmStrike	2 ATM options strike price
otmPutStrike	OTM put option strike price
expiration	Expiration date for all the options

Returns: Option strategy specification

Definition at line 855 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ IronCondor()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.IronCondor	(	Symbol	canonicalOption,
		decimal	longPutStrike,
		decimal	shortPutStrike,
		decimal	shortCallStrike,
		decimal	longCallStrike,
		DateTime	expiration
	)

static

Creates a new Iron Condor strategy which consists of a long put, a short put, a short call and a long option, all with the same expiration date and with increasing strikes prices in the mentioned order.

Parameters

canonicalOption	Option symbol
longPutStrike	Long put option strike price
shortPutStrike	Short put option strike price
shortCallStrike	Short call option strike price
longCallStrike	Long call option strike price
expiration	Expiration date for all the options

Returns: Option strategy specification

Definition at line 873 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ShortIronCondor()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortIronCondor	(	Symbol	canonicalOption,
		decimal	shortPutStrike,
		decimal	longPutStrike,
		decimal	longCallStrike,
		decimal	shortCallStrike,
		DateTime	expiration
	)

static

Creates a new Short Iron Condor strategy which consists of a short put, a long put, a long call and a short call, all with the same expiration date and with increasing strikes prices in the mentioned order.

Parameters

canonicalOption	Option symbol
shortPutStrike	Short put option strike price
longPutStrike	Long put option strike price
longCallStrike	Long call option strike price
shortCallStrike	Short call option strike price
expiration	Expiration date for all the options

Returns: Option strategy specification

Definition at line 923 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ BoxSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BoxSpread	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a Box Spread strategy which consists of a long call and a short put (buy side) of the same strikes, coupled with a short call and a long put (sell side) of higher but same strikes. All options have the same expiry.

Parameters

canonicalOption	Option symbol
higherStrike	The strike price of the sell side legs
lowerStrike	The strike price of the buy side legs
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 939 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ShortBoxSpread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortBoxSpread	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Creates a Short Box Spread strategy which consists of a long call and a short put (buy side) of the same strikes, coupled with a short call and a long put (sell side) of lower but same strikes. All options have the same expiry.

Parameters

canonicalOption	Option symbol
higherStrike	The strike price of the buy side
lowerStrike	The strike price of the sell side
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 968 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ JellyRoll()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.JellyRoll	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Jelly Roll strategy which combines a long call calendar spread and a short put calendar spread with the same strikes and the same pair of expiration dates.

Parameters

canonicalOption	Option symbol
strike	The strike price of the all legs
nearExpiration	Near expiration date for the short call and the long put
farExpiration	Far expiration date for the long call and the short put

Returns: Option strategy specification

Definition at line 983 of file OptionStrategies.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ShortJellyRoll()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortJellyRoll	(	Symbol	canonicalOption,
		decimal	strike,
		DateTime	nearExpiration,
		DateTime	farExpiration
	)

static

Creates new Short Jelly Roll strategy which combines a long call calendar spread and a short put calendar spread with the same strikes and the same pair of expiration dates.

Parameters

canonicalOption	Option symbol
strike	The strike price of the all legs
nearExpiration	Near expiration date for the short call and the long put
farExpiration	Far expiration date for the long call and the short put

Returns: Option strategy specification

Definition at line 1006 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ BearCallLadder()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BearCallLadder	(	Symbol	canonicalOption,
		decimal	lowerStrike,
		decimal	middleStrike,
		decimal	higherStrike,
		DateTime	expiration
	)

static

Method creates new Bear Call Ladder strategy, that consists of three calls with the same expiration but different strikes. The strike price of the short call is below the strikes of the two long calls.

Parameters

canonicalOption	Option symbol
lowerStrike	The strike price of the short call
middleStrike	The middle strike price of one long call
higherStrike	The strike price of one long call with higher strike price
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 1021 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ BearPutLadder()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BearPutLadder	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Bear Put Ladder strategy, that consists of three puts with the same expiration but different strikes. The strike price of the long put is above the strikes of the two short puts.

Parameters

canonicalOption	Option symbol
higherStrike	The strike price of the long put
middleStrike	The middle strike price of one short put
lowerStrike	The strike price of one short put with lower strike price
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 1071 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ BullCallLadder()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BullCallLadder	(	Symbol	canonicalOption,
		decimal	lowerStrike,
		decimal	middleStrike,
		decimal	higherStrike,
		DateTime	expiration
	)

static

Method creates new Bull Call Ladder strategy, that consists of three calls with the same expiration but different strikes. The strike price of the long call is below the strikes of the two short calls.

Parameters

canonicalOption	Option symbol
lowerStrike	The strike price of the long call
middleStrike	The middle strike price of one short call
higherStrike	The strike price of one short call with higher strike price
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 1122 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ BullPutLadder()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.BullPutLadder	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	middleStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Bull Put Ladder strategy, that consists of three puts with the same expiration but different strikes. The strike price of the short put is above the strikes of the two long puts.

Parameters

canonicalOption	Option symbol
higherStrike	The strike price of the short put
middleStrike	The middle strike price of one long put
lowerStrike	The strike price of one long put with lower strike price
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 1143 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ CallBackspread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.CallBackspread	(	Symbol	canonicalOption,
		decimal	lowerStrike,
		decimal	higherStrike,
		DateTime	expiration
	)

static

Method creates new Long Call Backspread strategy, that consists of two calls with the same expiration but different strikes. It involves selling the lower strike call, while buying twice the number of the higher strike call.

Parameters

canonicalOption	Option symbol
lowerStrike	The strike price of the short call
higherStrike	The strike price of the long call
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 1163 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ PutBackspread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.PutBackspread	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Long Put Backspread strategy, that consists of two puts with the same expiration but different strikes. It involves selling the higher strike put, while buying twice the number of the lower strike put.

Parameters

canonicalOption	Option symbol
higherStrike	The strike price of the short put
lowerStrike	The strike price of the long put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 1206 of file OptionStrategies.cs.

Here is the caller graph for this function:

◆ ShortCallBackspread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortCallBackspread	(	Symbol	canonicalOption,
		decimal	lowerStrike,
		decimal	higherStrike,
		DateTime	expiration
	)

static

Method creates new Short Call Backspread strategy, that consists of two calls with the same expiration but different strikes. It involves buying the lower strike call, while shorting twice the number of the higher strike call.

Parameters

canonicalOption	Option symbol
lowerStrike	The strike price of the long call
higherStrike	The strike price of the short call
expiration	Option expiration date

Definition at line 1248 of file OptionStrategies.cs.

Here is the call graph for this function:

◆ ShortPutBackspread()

static OptionStrategy QuantConnect.Securities.Option.OptionStrategies.ShortPutBackspread	(	Symbol	canonicalOption,
		decimal	higherStrike,
		decimal	lowerStrike,
		DateTime	expiration
	)

static

Method creates new Short Put Backspread strategy, that consists of two puts with the same expiration but different strikes. It involves buying the higher strike put, while selling twice the number of the lower strike put.

Parameters

canonicalOption	Option symbol
higherStrike	The strike price of the long put
lowerStrike	The strike price of the short put
expiration	Option expiration date

Returns: Option strategy specification

Definition at line 1267 of file OptionStrategies.cs.

Here is the call graph for this function:

The documentation for this class was generated from the following file:

Common/Securities/Option/OptionStrategies.cs

Static Public Member Functions

Detailed Description

Member Function Documentation

◆ CoveredCall()

◆ ProtectiveCall()

◆ CoveredPut()

◆ ProtectivePut()

◆ ProtectiveCollar()

◆ Conversion()

◆ ReverseConversion()

◆ NakedCall()

◆ NakedPut()

◆ BearCallSpread()

◆ BearPutSpread()

◆ BullCallSpread()

◆ BullPutSpread()

◆ Straddle()

◆ ShortStraddle()

◆ Strangle()

◆ ShortStrangle()

◆ CallButterfly()

◆ ButterflyCall()

◆ ShortButterflyCall()

◆ PutButterfly()

◆ ButterflyPut()

◆ ShortButterflyPut()

◆ CallCalendarSpread()

◆ ShortCallCalendarSpread()

◆ PutCalendarSpread()

◆ ShortPutCalendarSpread()

◆ IronButterfly()

◆ ShortIronButterfly()

◆ IronCondor()

◆ ShortIronCondor()

◆ BoxSpread()

◆ ShortBoxSpread()

◆ JellyRoll()

◆ ShortJellyRoll()

◆ BearCallLadder()

◆ BearPutLadder()

◆ BullCallLadder()

◆ BullPutLadder()

◆ CallBackspread()

◆ PutBackspread()

◆ ShortCallBackspread()

◆ ShortPutBackspread()