Update Poor Man's Covered Call Strategy to Handle Separate OptionChains

[joaquinbejar]

Description

The Poor Man's Covered Call strategy requires handling two separate OptionChains for its calculations. This is because the long call has a later expiration date than the short call, and currently, the implementation assumes both options use the same OptionChain. To accurately calculate metrics such as best_ratio and best_area, the strategy must load and process two independent OptionChains.

Requirements:

1. Load and manage two OptionChains:
   • One for the long call (later expiration).
   • One for the short call (earlier expiration).
2. Update the calculation of:
   • best_ratio: Optimize based on the delta and premium of both options.
   • best_area: Evaluate the profit area considering the differences in expiration and premiums.
3. Ensure the strategy remains compatible with the existing architecture.

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Tasks

Implementation:

• Update the Poor Man's Covered Call logic to accept and process two OptionChains.
• Modify the calculation methods:
  • best_ratio: Incorporate deltas and premiums from both OptionChains.
  • best_area: Account for the time difference between expirations.
• Adjust the OptionChain loader to support fetching data for two expiration dates.

Testing:

• Create unit tests to validate the updated best_ratio and best_area calculations.
• Add tests for edge cases:
  • Large differences between expiration dates.
  • High implied volatility scenarios.
  • Deep ITM/OTM options for either leg.
• Verify results with example scenarios to ensure accuracy and robustness.

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Examples

Scenario 1: Small Expiration Gap

• Long call: Expires in 3 months.
• Short call: Expires in 1 month.
• Validate that the calculations correctly optimize the premium collected relative to the cost of the long call.

Scenario 2: Large Expiration Gap

• Long call: Expires in 1 year.
• Short call: Expires in 1 month.
• Ensure that the strategy adjusts for higher theta decay on the short call while maintaining sufficient delta coverage from the long call.

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Additional Notes

• Ensure compatibility with the existing OptionChain structure and interfaces.
• Consider performance optimizations for handling multiple OptionChains simultaneously.
• Provide flexibility for future extensions, such as incorporating additional legs or alternative hedging strategies.

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Labels

enhancement, poor man's covered call, option chains, best ratio, best area, testing