Options_Algorithm

A simple options trading algorithm inside of the QuantConnect platform using the python programming language. This options strategy looks at the SPY ETF, the largest ETF in the world. This strategy of this algorithm is not a very 'active' one. The goal of the strategy is to reduce volatility and protect against downside moves in an existing long equity position. This is done by purchasing put options. These options can prove to be expensive and negatively impact overall performance. So put options are only warranted whenever we suspect an upcoming market decline. This is measured by the normalized implied volatility (IV) of the past half-year. If it is high, a put option is purchased.