SpreadOptionsStrategy#

class sigtech.framework.strategies.options_baskets.SpreadOptionsStrategy

Baseclasses: OptionsStrategyBase

Is a two-part strategy that takes long and short positions in call or put options with the same expiration but different strike price.

A bull call spread contains one long call with a lower strike price and one short call with a higher strike price.

A bear call spread contains one short call with a lower strike price and one long call with a higher strike price.

A bull put spread contains one short put with a higher strike price and one long put with a lower strike price.

A bear put spread contains one long put with a higher strike price and one short put with a lower strike price.

Parameters are the same as in the base OptionsStrategyBase strategy.

Additional attributes:

strike_1: The price at which the first options leg contract can be exercised. For FX can be also 'ATM+/-XX%' if strike_type is set to ATM type ('SPOT', 'FWD', or 'DN') (both call and put).

strike_2: The price at which the second options leg contract can be exercised. For FX can be also 'ATM+/-XX%' if strike_type is set to ATM type ('SPOT', 'FWD', or 'DN') (both call and put).

group_name: Name of the option group to trade options for.

exercise_type: 'European' or 'American'. Optional, if omitted, group default is used.

option_type: 'Call' or 'Put'. Optional, if omitted, 'Call' is used by default.

spread_direction: 'Bull' or 'Bear' option spread. Optional, 'Bull' is used by default.

Example usage:

import datetime as dtm
import sigtech.framework as sig

group = sig.obj.get('USDJPY OTC OPTION GROUP')

spread = sig.SpreadOptionsStrategy(
    start_date=dtm.date(2021, 1, 4),
    end_date=dtm.date(2023, 1, 4),
    currency=group.underlying_obj.currency,
    group_name=group.name,
    maturity='12M',
    option_type='Call',
    spread_direction='Bull',
    strike_type='SPOT',
    strike_1='ATM',
    strike_2='ATM+3%',
    target_type='Vega',
    target_quantity=10.0
)

currency: Optional[str]

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

group_name: str

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

spread_direction: Optional[Literal['Bull', 'Bear']]

strike_1: Union[float, int, str]

strike_2: 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.