Don't roll an ITM put up

If we're rolling a put that's ITM, it can sometimes result in rolling up
to high strike, which is undesirable. Thus, we limit the strike such
that it must be less than or equal to the current put's strike.

Author: brndnmtthws

thetagang/portfolio_manager.py

@@ -1463,6 +1463,11 @@ def roll_positions(
                         ),
                         2,
                     )
+                    # special case: if we're rolling a put that's ITM, we want to roll to an equal or lower strike, not higher
+                    if isinstance(position.contract, Option) and self.put_is_itm(
+                        position.contract
+                    ):
+                        strike_limit = min([strike_limit, position.contract.strike])
 
                 kind = "calls" if right.startswith("C") else "puts"