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_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