Option Expiries Not Appearing within Specified Expiration Period

Hi Farouk 

Yes you are right! Some contracts weren't there since they had no data for that particular slice. If you want to focus on managing option contracts rather than the whole option chain, you may use this more computationally efficient method, with an instance to hold all inclusive contracts:

class Test(QCAlgorithm):
    def Initialize(self):
        self.symbol = [self.AddEquity(ticker).Symbol for ticker in ["SPY", "AAPL"]]
        self.option_contracts = {}
        
        # Set a scheduled event on reselecting option contracts
        self.Schedule.On(self.DateRules.EveryDay("SPY"),
                 self.TimeRules.At(9, 0),
                 self.OptionSelection)
    
    def OptionSelection(self):
        for symbol in self.symbols:
            contracts = self.OptionChainProvider.GetOptionContractList(symbol, self.Time)
            # say you want -20 to 20 strike step within 0 to 180 days expiry
            self.option_contracts[symbol]= self.InitialFilter(self.underlyingSymbol, contracts, -20, 20, 0, 180)
            
    def OnData(self, slice):
        for symbol, contract_symbol in self.option_contracts.items():
            # your trading logic

    def InitialFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry):
        ''' This method is an initial filter of option contracts
            based on the range of strike price and the expiration date '''
        if len(symbol_list) == 0 : return None
        # fitler the contracts based on the expiry range
        contract_list = [i for i in symbol_list if min_expiry <= (i.ID.Date.date() - self.Time.date()).days <= max_expiry]
        if not contract_list: return None
        # find the strike price of ATM option
        atm_strike = sorted(contract_list,
                            key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice
        strike_list = sorted(set([i.ID.StrikePrice for i in contract_list]))
        # find the index of ATM strike in the sorted strike list
        atm_strike_rank = strike_list.index(atm_strike)
        try: 
            min_strike = strike_list[atm_strike_rank + min_strike_rank + 1]
            max_strike = strike_list[atm_strike_rank + max_strike_rank - 1]

        except:
            min_strike = strike_list[0]
            max_strike = strike_list[-1]
            
        # skip weekly options
        filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike \
                                                        and i.ID.StrikePrice <= max_strike]

        # Add to Subscription and add a reference of their symbol
        return [self.AddOptionContract(contract, Resolution.Minute).Symbol 
                for contract in filtered_contracts]

Best
Louis