def Initialize(self):

        self.option_filter_ran = False

        self.SetStartDate(2021, 3, 18)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        es = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, Market.CME)

        es.SetFilter(lambda futureFilter: futureFilter.Expiration(0, 365))

        self.AddFutureOption(es.Symbol, self.OptionContractUniverseFilterFunction)

        self.symbol = es.Symbol



    def OptionContractUniverseFilterFunction(

        self, universe: OptionFilterUniverse

    ) -> OptionFilterUniverse:

        self.option_filter_ran = True

        return universe.IncludeWeeklys().Expiration(

            timedelta(40), timedelta(60)

        )



    def OnData(self, data: Slice):

        # self.Debug(f"Has data? : {data.HasData}")

        if not data.HasData:

            return

        for i in data.OptionChains:  # only one option chain in this case, which is ES

            optionchain: OptionChain = i.Value

            if len([x for x in optionchain]) == 0:

                continue

            self.Debug("underlying price:" + str(optionchain.Underlying.Price))
140890_1634181455.jpg