Try all OTM strikes in offset when nearest fails leverage.

Closest Call@1920 at 152x no longer blocks 1930/1940 that already clear 200x.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-08 14:52:26 +08:00
parent 5ea54db43b
commit 6f983ed2ab
3 changed files with 110 additions and 52 deletions
+24 -8
View File
@@ -46,18 +46,19 @@ def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
return min(strikes, key=lambda s: (abs(s - mark_px), s))
def pick_otm_strike(
def list_otm_strikes(
strikes: list[float],
mark_px: float,
*,
option_side: str,
max_offset: float,
) -> float | None:
) -> list[float]:
"""
虚值:Call K>S、Put K<S;取最接近标的且 |KS|≤max_offset 的一档。
虚值候选Call K>S、Put K<S 且 |KS|≤max_offset
按靠近标的优先排序(近→远)。
"""
if not strikes or mark_px <= 0:
return None
return []
side = (option_side or "").strip().lower()
spot = float(mark_px)
cap = max(0.0, float(max_offset))
@@ -74,10 +75,25 @@ def pick_otm_strike(
if float(s) < spot - 1e-9 and spot - float(s) <= cap + 1e-9
]
else:
return None
if not cands:
return None
return min(cands, key=lambda s: (abs(s - spot), s))
return []
return sorted(cands, key=lambda s: (abs(s - spot), s))
def pick_otm_strike(
strikes: list[float],
mark_px: float,
*,
option_side: str,
max_offset: float,
) -> float | None:
"""虚值:取最接近标的且 |K−S|≤max_offset 的一档。"""
cands = list_otm_strikes(
strikes,
mark_px,
option_side=option_side,
max_offset=max_offset,
)
return cands[0] if cands else None
def is_otm(*, option_side: str, strike: float, mark_px: float) -> bool: