OptionsStrategy

class sigtech.framework.strategies.options_baskets.OptionsStrategy

Baseclasses: OptionsStrategyBase

A strategy that takes a position in either a call or put option.

Parameters are the same as in the base OptionsStrategyBase strategy:

See also

sigtech.framework.strategies.options_strategy_base.OptionsStrategyBase

Additional attributes:

• option_type (string): Type of option, either ‘Call’, or ‘Put’.

• strike (any): Strike of option in either price, delta terms, premium or ATM offset (e.g. 'ATM+5%') if strike type is 'Spot'.

• group_name (string): Name of the option group to trade options for.

• exercise_type (string): 'European' or 'American'. Optional, if omitted, group default is used.

Example object creation:

from datetime import date
import sigtech.framework as sig
sig.init()

rc = sig.OptionsStrategy(currency='USD',
                         start_date=date(2019, 1, 4),
                         group_name='SPX INDEX OTC OPTION GROUP',
                         option_type='Call',
                         maturity='3M',
                         strike_type='SPOT',
                         strike='ATM+10%',
                         target_quantity=1
)

currency: Optional[str]

exercise_type: Optional[Literal['European', 'American']]

group_name: str

option_type: Literal['Call', 'Put']

strike: Optional[Union[float, int, str]]

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.

validate()

Validate strikes for options.