Generate a universe of stocks that have options expiring this week.

Hi .ekz.

I believe the filter in coarse / fine selection is only accepting timedelta function. Meanwhile, one way to do it is include filter of (timedelta(days=1), timedelta(days=7)), then use Expiry function to filter again.

def OnData(self, slice):
		for chain in slice.OptionChains.Value:
    			expireThisWeek = [option for option in chain if option.Expiry <= Expiry.EndOfWeek(self.Time)]

Cheers
Louis

Unfortunately, this would not work Louis Szeto . I need the filtering done at the universe level, before we subscribe to any data that comes through onData. 

Also, we wouldn't filter on such a low level (looking at individual contract expiries). We aren't talking about a universe of Option contracts. We want to filter out companies.

The timetable of stocks options expirations is publicly available.  Eg we know that TSLA has weekly options, as mentioned on the CBOE site. Ideally we should be able to access this information when filtering universes, the same way we can filter out companies that had recent earnings announcement. I'm hoping  there is a way to could solve my problem, by filtering against something like: Company.nextExpiryDate. I'm just not sure what it is.

Hope my question is more clear now.

Hi .ekz.,
In the coarse universe selection function, we can use the OptionChainProvider to search for equities that have contracts expiring according to our requirements. In backtesting, we have to rely upon the use of the OptionChainProvider solely to search for these equities. In live trading, we can import a custom data source like this. See the attached backtest for a demonstration of backtesting.

Best,
Varad Kabade

Got it. I had thought of this, but I assumed there was a more performant approach.

I'll go this approach and see how it performs, but may end up creating a static data source of expiration schedules and load it into backtests via dropbox. We'll see. 

Thanks Varad kabade