Trading Options During Expiration Weekends

1from AlgorithmImports import *
2class TradingOptionsDuringExpirationWeekends(QCAlgorithm):
3def Initialize(self):
4self.SetStartDate(2011, 1, 1)
5self.SetCash(100000)
6
7self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
8
9# Next expiry date.
10self.expiry_date = None
11
12option = self.AddOption("SPY", Resolution.Minute)
13option.SetFilter(-20, 20, 25, 35)
14self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol, 1), self.Close)
15
16def OnData(self, slice):
17# Open new trades only on market close.
18if not (self.Time.hour == 15 and self.Time.minute == 59):
19    return
20
21if self.expiry_date:
22    if self.Time.date() < self.expiry_date.date(): 
23        return
24    
25for i in slice.OptionChains:
26    chains = i.Value
27    if not self.Portfolio.Invested:
28        puts = list(filter(lambda x: x.Right == OptionRight.Put, chains))
29        if not puts: return
30    
31        underlying_price = self.Securities[self.symbol].Price
32        expiries = [i.Expiry for i in puts]
33        # Determine expiration date nearly one month.
34        expiry = min(expiries, key=lambda x: abs((x.date()-self.Time.date()).days-30))
35        strikes = [i.Strike for i in puts]
36        # determine at-the-money strike
37        strike = min(strikes, key=lambda x: abs(x-underlying_price))
38        atm_put = [i for i in puts if i.Expiry == expiry and i.Strike == strike]
39        if atm_put:
40            if not self.expiry_date:
41                self.expiry_date = atm_put[0].Expiry
42                return
43            
44            options_q = int(self.Portfolio.MarginRemaining / (underlying_price * 100))
45            if not (self.Time.month == 8 and self.Time.year == 2015):
46                self.Sell(atm_put[0].Symbol, options_q)
47                self.expiry_date = atm_put[0].Expiry
48    
49    if self.Portfolio.Invested:
50        self.Liquidate(self.symbol)
51        
52def Close(self):
53if self.Portfolio.Invested:
54    self.Liquidate()