INNER CODE UNIT · Python

find_strangle

ldt9/PyOptionTrader · models/futures/short_strangle.py:325

    def find_strangle(self, call_delta=0.16, put_delta=-0.16, order='SELL'):

        '''
        Get the specified delta call and put to trade at that expiration
        Get only 1 contract of each
        :param call_delta: delta of the call we want to order
        :param put_delta: delta of the put we want to order
        :param order: whether we are buying or selling the option
        '''

        try:
            # Get the current IV of the chain expiration
            nearestDTE = self.nearestDTE.strftime('%Y%m%d')
            self.get_chain_iv(nearestDTE=nearestDTE)

            # get the call strike to sell
            callToTrade = self.get_strike(delta=call_delta, option_type='C')

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