Adds Naked Put Strategy

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/18 Naked Put/01 Introduction.html

@@ -0,0 +1 @@
+<p>A <span class="new-term">Naked Put</span>, also known as an <span class="new-term">uncovered put</span>, involves the sale of put Options without having a corresponding short position in the underlying security. It is called "naked" because the seller does not have any cover or protection in the form of a short position in the underlying asset, which exposes them to potentially unlimited risk. Naked puts aim to profit from the Option premium by selling puts. At any time for American Options or at expiration for European Options, if the stock moves above the strike price, you keep the premium. If the underlying price moves below the strike, the Option buyer can <a href='/docs/v2/writing-algorithms/trading-and-orders/order-types/option-exercise-orders'>exercise the Options contract</a>, which means you need sell the underlying at market price to fulfill your obligation to buy it at the strike price and keep the premium.</p>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/18 Naked Put/02 Implementation.php

@@ -0,0 +1,80 @@
+<p>Follow these steps to implement the naked put strategy:</p>
+
+<ol>
+    <li>In the <code>Initialize</code> method, set the start date, end date, starting cash, and <a href="/docs/v2/writing-algorithms/universes/equity-options">Options universe</a>.</li>
+    <div class="section-example-container">
+        <pre class="csharp">private Symbol _put, _symbol;
+
+public override void Initialize()
+{
+    SetStartDate(2014, 1, 1);
+    SetEndDate(2014, 3, 1);
+    SetCash(100000);
+
+    var option = AddOption("IBM");
+    _symbol = option.Symbol;
+    option.SetFilter(-3, 3, 0, 31);
+}</pre>
+        <pre class="python">def Initialize(self) -&gt; None:
+    self.SetStartDate(2014, 1, 1)
+    self.SetEndDate(2014, 3, 1)
+    self.SetCash(100000)
+
+    option = self.AddOption("IBM")
+    self.symbol = option.Symbol
+    self.put = None
+
+    option.SetFilter(-3, 3, 0, 31)</pre>
+    </div>
+
+    <li>In the <code>OnData</code> method, select the Option contract.</li>
+    <div class="section-example-container">
+        <pre class="csharp">public override void OnData(Slice slice)
+{
+    if (_put != null &amp;&amp; Portfolio[_put].Invested) return;
+
+    if (!slice.OptionChains.TryGetValue(_symbol, out var chain)) return;
+
+    // Find ATM put with the farthest expiry
+    var expiry = chain.Max(x =&gt; x.Expiry);
+    var atmCall = chain
+        .Where(x =&gt; x.Right == OptionRight.Call &amp;&amp; x.Expiry == expiry)
+        .OrderBy(x =&gt; Math.Abs(x.Strike - chain.Underlying.Price))
+        .FirstOrDefault();</pre>
+        <pre class="python">def OnData(self, slice: Slice) -&gt; None:
+    if self.put and self.Portfolio[self.put].Invested:
+        return
+
+    chain = slice.OptionChains.get(self.symbol)
+    if not chain:
+        return
+
+    # Find ATM put with the farthest expiry
+    expiry = max([x.Expiry for x in chain])
+    put_contracts = sorted([x for x in chain
+        if x.Right == OptionRight.Call and x.Expiry == expiry],
+        key=lambda x: abs(chain.Underlying.Price - x.Strike))
+
+    if not put_contracts:
+        return
+
+    atm_put = put_contracts[0]</pre>
+</div>
+
+    <li>In the <code>OnData</code> method, call the <code>OptionStrategies.NakedPut</code> method and then submit the order.</li>
+    <div class="section-example-container">
+        <pre class="csharp">var nakedCall = OptionStrategies.NakedPut(_symbol, atmCall.Strike, expiry);
+Buy(nakedCall, 1);
+
+_put = atmCall.Symbol;</pre>
+        <pre class="python">naked_put = OptionStrategies.NakedPut(self.symbol, atm_put.Strike, expiry)
+self.Buy(naked_put, 1)
+
+self.put = atm_put.Symbol</pre>
+    </div>
+
+<? 
+$methodNames = array("Buy");
+include(DOCS_RESOURCES."/trading-and-orders/option-strategy-extra-args.php"); 
+?>
+</ol>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/18 Naked Put/03 Strategy Payoff.html

@@ -0,0 +1,30 @@
+<script type="text/x-mathjax-config">
+  MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\\(','\\)']]}});
+</script>
+<script type="text/javascript" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.1/MathJax.js?config=TeX-AMS-MML_HTMLorMML">
+</script>
+
+<p>The payoff of the strategy is</p>
+$$
+\begin{array}{rcll}
+P^{K}_T &amp; = &amp; (K - S_T)^{+}\\
+P_T &amp; = &amp; (P^{K}_0 - P^{K}_T)\times m - fee
+\end{array}
+$$
+$$
+\begin{array}{rcll}
+\textrm{where} &amp; P^{K}_T &amp; = &amp; \textrm{Put value at time T}\\
+&amp; S_T &amp; = &amp; \textrm{Underlying asset price at time T}\\
+&amp; K &amp; = &amp; \textrm{Put strike price}\\
+&amp; P_T &amp; = &amp; \textrm{Payout total at time T}\\
+&amp; P^{K}_0 &amp; = &amp; \textrm{Put price when the trade opened (credit received)}\\
+&amp; m &amp; = &amp; \textrm{Contract multiplier}\\
+&amp; T &amp; = &amp; \textrm{Time of expiration}
+\end{array}
+$$
+<br>
+<p>The following chart shows the payoff at expiration:</p>
+<!--img class="docs-image" src="https://cdn.quantconnect.com/tutorials/i/Tutorial01-naked-put.png" alt="naked put strategy payoff"-->
+<p>The maximum profit is $P^{K}_0$, which occurs when the underlying price is at or above the strike price of the put at expiration.</p>
+<p>The maximum loss is $K - P^{K}_0$ which ocurrs when the underlying price drops to zero.</p>
+<p>If the Option is American Option, there is risk of early assignment on the sold contract.</p>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/18 Naked Put/99 Example.php

@@ -0,0 +1,47 @@
+<script type="text/x-mathjax-config">
+    MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\\(','\\)']]}});
+</script>
+<script type="text/javascript" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.1/MathJax.js?config=TeX-AMS-MML_HTMLorMML">
+</script>
+<p>The following table shows the price details of the assets in the algorithm:</p>
+
+<table class="table qc-table" id="payoff-table">
+<thead>
+<tr><th>Asset</th><th>Price ($)</th><th>Strike ($)</th></tr>
+</thead>
+<tbody>
+<tr><td>Put</td><td>1.37</td><td>185.00</td></tr>
+<tr><td>Underlying Equity at expiration</td><td>190.01</td><td>-</td></tr>
+</tbody>
+</table>
+
+<style>
+#payoff-table td:nth-child(2), 
+#payoff-table th:nth-child(2), 
+#payoff-table td:nth-child(3), 
+#payoff-table th:nth-child(3) {
+    text-align: right;
+}
+</style>
+
+<p>Therefore, the payoff is</p>
+$$
+\begin{array}{rcll}
+P^{K}_T &amp; = &amp; (K - S_T)^{+}\\
+&amp; = &amp; (185 - 190.01)^{+}\\
+&amp; = &amp; 0.0\\
+P_T &amp; = &amp; (P^{K}_0 - P^{K}_T)\times m - fee\\
+&amp; = &amp; (1.37 - 0.0)\times m - fee\\
+&amp; = &amp; 1.37 \times 100 - 1\\
+&amp; = &amp; 136
+\end{array}
+$$
+<br>
+<p>So, the strategy gains $136.</p>
+
+<?
+$optionStrategyName = "a naked put";
+$pythonBacktestHash = "f81ecd25b7db05a4174cfdea6277a46b" ;
+$csharpBacktestHash = "e3654011cfc55607efdb6cabba7bb2ef" ;
+include(DOCS_RESOURCES."/trading-and-orders/option-strategy-embedded-backtest.php"); 
+?>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/18 Naked Put/metadata.json

@@ -0,0 +1,12 @@
+{
+    "type": "metadata",
+    "values": {
+        "description": "A Naked Put, also known as an uncovered put, involves the sale of put Options without having a corresponding short position in the underlying security.",
+        "keywords": "naked put, profit from the Option premium, Strategy Payoff, risk of early assignment, option strategy",
+        "og:description": "A Naked Put, also known as an uncovered put, involves the sale of put Options without having a corresponding short position in the underlying security.",
+        "og:title": "Naked Put - Documentation QuantConnect.com",
+        "og:type": "website",
+        "og:site_name": "Naked Put - QuantConnect.com",
+        "og:image": "https://cdn.quantconnect.com/docs/i/writing-algorithms/trading-and-orders/option-strategies/naked-put.png"
+    }
+}