Default rolling option strategies

Primer on default rolling option strategies available within the framework.

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:

eurusd_3m_delta??

Default strategies list

The spx_index_3m_delta_hedgedmethod simply overlays a DeltaHedgingStrategy building block over the spx_index_3m_delta straddle default strategy.

MethodUnderlying

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

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