I am building an options trading algo and I am stuck on strike selection.
Right now I am manually setting strikes, but I want to make it dynamic — like ATM, 1 step ITM, 1 step OTM based on live price.
Also different stocks have different strike gaps, so getting confused how to handle that properly.
How do you guys usually do this?
Ok, so don’t hardcode strikes — you calculate them using spot price and stick gap (step size).
As each stock has different strike gaps
ATM is just nearest rounded strike
ITM/OTM = shift from ATM
Simple approach in steps:
Get latest spot price
Round to nearest strike gap → ATM
Add/subtract gap → ITM/OTM
Can also refer the example code below:
def get_strikes(spot, strike_gap):
atm = round(spot / strike_gap) * strike_gap
strikes = {
"ATM": atm,
"OTM_CE": atm + strike_gap,
"ITM_CE": atm - strike_gap,
"OTM_PE": atm - strike_gap,
"ITM_PE": atm + strike_gap,
}
return strikes
# Sample
spot_price = 19876 # Since spot price from the socket
strike_gap = 50 # NIFTY = 50, BANKNIFTY = 100
strikes = get_strikes(spot_price, strike_gap)
print(strikes)