Selling Options on Bond ETFs

1from AlgorithmImports import *
2class SellingOptionsonBondETFs(QCAlgorithm):
3def Initialize(self):
4self.SetStartDate(2000, 1, 1)
5self.SetCash(100000)
6
7data = self.AddEquity("BIL", Resolution.Minute)
8self.bills = data.Symbol
9data.SetLeverage(5)
10
11data = self.AddEquity("TLT", Resolution.Minute)
12self.symbol = data.Symbol
13data.SetLeverage(5)
14
15option = self.AddOption("TLT", Resolution.Minute)
16option.SetFilter(-20, 20, 25, 35)
17
18self.last_day = -1
19
20def OnData(self,slice):
21# Check once a day.
22if self.Time.day == self.last_day:
23    return
24self.last_day = self.Time.day
25
26for i in slice.OptionChains:
27    chains = i.Value
28    # Only bill position is opened.
29    invested = [x.Key for x in self.Portfolio if x.Value.Invested]
30    if len(invested) <= 1:
31        calls = list(filter(lambda x: x.Right == OptionRight.Call, chains))
32        puts = list(filter(lambda x: x.Right == OptionRight.Put, chains))
33        
34        if not calls or not puts: return
35    
36        underlying_price = self.Securities[self.symbol].Price
37        expiries = [i.Expiry for i in puts]
38        
39        # Determine expiration date nearly one month.
40        expiry = min(expiries, key=lambda x: abs((x.date()-self.Time.date()).days-30))
41        strikes = [i.Strike for i in puts]
42        
43        # Determine at-the-money strike.
44        strike = min(strikes, key=lambda x: abs(x-underlying_price))
45        
46        atm_call = [i for i in calls if i.Expiry == expiry and i.Strike == strike]
47        atm_put = [i for i in puts if i.Expiry == expiry and i.Strike == strike]
48
49        if atm_call and atm_put:
50            options_q = int(self.Portfolio.MarginRemaining / (underlying_price * 100))
51            # Set max leverage.
52            self.Securities[atm_call[0].Symbol].MarginModel = BuyingPowerModel(5)
53            self.Securities[atm_put[0].Symbol].MarginModel = BuyingPowerModel(5)
54            
55            # Sell at-the-money straddle.
56            self.Sell(atm_call[0].Symbol, options_q)
57            self.Sell(atm_put[0].Symbol, options_q)
58            
59            # Buy treasury bill.
60            self.SetHoldings(self.bills, 1)
61
62    if self.Portfolio.Invested:
63        self.Liquidate(self.symbol)