Using VIX to Time Options Writing

1from collections import deque
2from AlgorithmImports import *
3import numpy as np
4from QuantConnect.Python import PythonQuandl
5class UsingVIXtoTimeOptionsWriting(QCAlgorithm):
6def Initialize(self):
7self.SetStartDate(2015, 1, 1)
8self.SetCash(100000)
9
10self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
11data = self.AddEquity("BIL", Resolution.Minute)
12data.SetLeverage(2)
13self.bills = data.Symbol
14
15# SPY options.
16option = self.AddOption("SPY", Resolution.Minute)
17option.SetFilter(-20, 20, 25, 35)
18# Vix spot.
19self.vix_spot = self.AddData(CBOE, 'VIX', Resolution.Daily).Symbol
20
21# VIX historical monthly data.
22self.data = None
23# Get vix history.
24history = self.History(self.vix_spot, 10*12*30, Resolution.Daily)
25if 'close' in history.columns:
26    closes = history['close']
27    self.data = deque(closes)
28
29# Next expiration date.
30self.expiration_date = None
31def OnData(self, slice):
32# store VIX price
33if self.vix_spot in slice and slice[self.vix_spot]:
34    price = slice[self.vix_spot].Value
35    self.data.append(price)
36    
37# Open new trades only on market close.
38if not (self.Time.hour == 15 and self.Time.minute == 59):
39    return
40
41# At least year of data is ready.
42if len(self.data) < 12 * 30: return
43if self.expiration_date:
44    if self.Time.date() < self.expiration_date.date(): 
45        return
46
47if self.Portfolio.Invested:
48    self.Liquidate()
49
50vix_median = np.median(self.data)
51# Last month VIX median.
52vix_median_t1 = np.median([x for x in self.data][-21:])
53        
54for i in slice.OptionChains:
55    chains = i.Value
56    if not self.Portfolio.Invested:
57        puts = list(filter(lambda x: x.Right == OptionRight.Put, chains))
58        if not puts: return
59    
60        underlying_price = self.Securities[self.symbol].Price
61        expiries = [i.Expiry for i in puts]
62        # Determine expiration date nearly one month.
63        expiry = min(expiries, key=lambda x: abs((x.date()-self.Time.date()).days-30))
64        strikes = [i.Strike for i in puts]
65        # determine at-the-money strike
66        strike = min(strikes, key=lambda x: abs(x-underlying_price))
67        atm_put = [i for i in puts if i.Expiry == expiry and i.Strike == strike]
68        if atm_put:
69            if not self.expiration_date:
70                self.expiration_date = atm_put[0].Expiry
71                return
72            
73            self.expiration_date = atm_put[0].Expiry
74            if vix_median_t1 < vix_median:
75                self.SetHoldings(self.symbol, 1)
76                return
77            options_q = int(self.Portfolio.MarginRemaining / (underlying_price * 100))
78            self.Securities[atm_put[0].Symbol].MarginModel = BuyingPowerModel(5)
79            
80            self.SetHoldings(self.bills, 1)
81            self.Sell(atm_put[0].Symbol, options_q)
82    if self.Portfolio.Invested:
83        self.Liquidate(self.symbol)