v8 Framework
Search…
⌃K

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:
Python
Output
eurusd_3m_delta??
@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_hedgedmethod 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