Iron Butterfly Options Strategy

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Environment

import sigtech.framework as sig

import datetime as dtm
import seaborn as sns

sns.set(rc={'figure.figsize': (18, 6)})
env = sig.init(env_date=dtm.date(2024, 2, 22))

Define the investment universe

straddle_dir = 'SHORT'
strangle_dir = 'LONG'
maturity = '1M'
delta_strangle = 0.05
option_grp = sig.obj.get('SPX INDEX OTC OPTION GROUP')

start_date = dtm.datetime(2010, 1, 4)

Create the strategy

atm_straddle = sig.RollingStraddleOptionStrategy(
    # Specify the currency the strategy will be denominated in
    currency='USD',

    # Start date of the strategy
    start_date=start_date,

    # Name of the option group to trade options for
    group_name=option_grp.name,

    # Strike type set to ATM of the underlying
    strike_type='SPOT',

    # Maturity or tenor of underlying options
    maturity=maturity,

    # Set roll dates date of the strategy
    rolling_frequencies=[maturity],

    # Target Quantity to trade at wach roll (denoted in contracts)
    target_quantity=-1 if straddle_dir == 'SHORT' else 1,

    # Name of strategy
    ticker=f'{straddle_dir} SPX OTC STRADDLE ATM'
)

oom_strangle = sig.RollingStrangleOptionStrategy(
    # Specify the currency the strategy will be denominated in
    currency='USD',

    # Start date of the strategy
    start_date=start_date,

    # Name of the option group to trade options for
    group_name=option_grp.name,

    # Strike type of the underlying options
    strike_type='Delta',

    # Strike of Call (in delta)
    call_strike=delta_strangle,

     # Strike of Put (in delta)
    put_strike=-1 * delta_strangle,

    # Maturity or tenor of underlying options
    maturity=maturity,

    # Set roll dates date of the strategy
    rolling_frequencies=[maturity],

    # Target Quantity to trade at wach roll (denoted in contracts)
    target_quantity=1 if strangle_dir == 'LONG' else -1,

    # Name of strategy
    ticker=f'{strangle_dir} SPX OTC STRANGLE {delta_strangle}',
)

strategies = [atm_straddle, oom_strangle]

Construct the portfolio

roll_ds = sig.SchedulePeriodic(
    # Start date of custom roll table
    start_date=start_date,

    # End date of custom roll table, which is
    # taken from the environment variable
    end_date=env.asofdate,

    # Holidays
    holidays=option_grp.holidays,

    # Business day count
    bdc=sig.calendar.BDC_FOLLOWING,

    # Frequency
    frequency="1M",
).all_data_dates()[1:]

basket_strategy = sig.BasketStrategy(
    # Specify the currency the strategy will be denominated in
    currency="USD",

    # List of constituent tickers
    constituent_names=[
        strategy.name for strategy in strategies
    ],

    # Start date of strategy
    start_date=start_date,

    # List of constituents weights expressed as floats.
    weights=[1/len(strategies)] * len(strategies),

    # List of customised roll dates
    rebalance_dates=roll_ds,

    # Name of strategy
    ticker=f'IRON BUTTERFLY'
)

basket_strategy.history().plot(title='IRON BUTTERFLY');

Generate the performance report

strategies.append(basket_strategy)
sig.PerformanceReport(
    strategies,
    cash=sig.CashIndex.from_currency('USD')
).report()