Default rolling option strategies#
Introduction#
The following default strategies are created using our Straddle
building block. They each have a strike of 0.5 delta, maturity of 3M and rolling frequency of 1M.
These default strategies can be imported via the following:
from sigtech.framework.default_strategy_objects.rolling_options import *
The easiest way to see which parameters are used is to look at the source code of any given default strategy. An example is shown below:
Python:
eurusd_3m_delta??
Output:
@recorded_lru_cache()
def eurusd_3m_delta():
"""
Define a straddle in USD with option group ``'EURUSD OTC OPTION GROUP'``, strike type ``'Delta'``, strike 0.5,
maturity ``'3M'`` and rolling frequency ``'1M'``.
"""
return Straddle({'currency': 'USD', 'start_date': dtm.date(2010, 1, 4), 'group_name': 'EURUSD OTC OPTION GROUP',
'strike_type': 'Delta', 'strike': 0.5, 'maturity': '3M', 'rolling_frequencies': ['1M', ],
'db_ticker': 'EURUSD LONG ROLLING STRADDLE'})
Default strategies list#
The spx_index_3m_delta_hedged
method simply overlays a DeltaHedgingStrategy
building block over the spx_index_3m_delta
straddle default strategy.
Method |
Underlying |
---|---|
eurusd_3m_delta |
EURUSD OTC Option Group |
gbpusd_3m_delta |
GBPUSD OTC Option Group |
usdjpy_3m_delta |
USDJPY OTC Option Group |
usdchf_3m_delta |
USDCHF OTC Option Group |
spx_index_3m_delta |
SPX INDEX OTC Option Group |
nky_index_3m_delta |
NKY INDEX OTC Option Group |
sx5e_index_3m_delta |
SX5E INDEX OTC Option Group |
co_comdty_3m |
CO COMDTY OTC Option Group |
gc_comdty_3m |
GC COMDTY OTC Option Group |
spx_index_3m_delta_hedged |
SPX INDEX OTC Option Group |