Default rolling option strategies
Primer on default rolling option strategies available within the framework.
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'})
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 |
Last modified 1yr ago