SPY Covered Call Strategy getting Sparse Option Chain

Hello Quant Connect Community,

I have the following python code, where I would like to backtest a covered call strategy with SPY and hold to maturity each time on a daily basis. However the option chain is very sparse and enable to sell call option everyday. Could I get some pointers/assistance why this is the case?  

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#region imports
from AlgorithmImports import *
#endregion
import datetime
import math
import json
from dataclasses import dataclass, asdict
from typing import List, Any
from QuantConnect.Securities.Option import OptionPriceModels

from datetime import timedelta
from QuantConnect.Data.UniverseSelection import * 

SYMBOL = "SPY"
TARGET_CASH_UTILIZATION = 1
REBALANCE_THRESHOLD = 0.01
STARTING_CASH = 50000
TARGET_CONTRACT_DAYS_IN_FUTURE = 2
SHOULD_LOG = True
MIN_EXPIRY = 2
MAX_EXPIRY = 4

"""
1. Put everything into SPY
2. Trade covered call on weekly basis
3. If exercised, buy back into SPY
"""
# the time of backtesting is covered in the log


@dataclass
class EquitySummary:
    total_value: float = -1
    cash_value: float = -1

    eq_buy_count: int = -1
    eq_count: int = -1
    eq_price: float = -1 # equity price


@dataclass
class OptionSummary:
    op_count: int = -1 
    op_buy_count: int = -1
    op_value_total: float = -1

    op_inventory: List[Any] = None


class CoveredCallAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 1, 1)
        self.SetEndDate(2023, 8, 1)
        self.SetCash(STARTING_CASH)
        self.TargetDelta = float(self.GetParameter("target_delta"))
        self.LimitOrderRatio = float(self.GetParameter("limit_order_ratio"))
        self.InitialSpyValue = None
        # Resolution.Daily, Resolution.Hour, Resolution.Minute
        equity = self.AddEquity(SYMBOL, Resolution.Daily)
        option = self.AddOption(SYMBOL, Resolution.Hour)
        self.Log(f'option.Symbol: {str(option.Symbol)}')
        self.symbol = option.Symbol
        self.UniverseSettings.Resolution = Resolution.Daily

        # Look for options that are within 30 days of the target contract date.
        # Options should be at or 60 strikes above present price.
        # timedelta(max(0, TARGET_CONTRACT_DAYS_IN_FUTURE - 30))
        # timedelta(TARGET_CONTRACT_DAYS_IN_FUTURE + 30)
        option.SetFilter(1, 10, timedelta(MIN_EXPIRY), timedelta(MAX_EXPIRY))
        # option.PriceModel = OptionPriceModels.CrankNicolsonFD()
        option.PriceModel = OptionPriceModels.BjerksundStensland()        
        # Give a generous warm-up to allow the options price model to initialize.
        # self.SetWarmUp(TimeSpan.FromDays(10))
        
        self.SetBenchmark(equity.Symbol)
        self.LastDay = None
 
    def OnData(self, slice):
        """Processes the slice up to 1x per day."""
        if self.IsWarmingUp:
            return
        
        if self.LastDay == self.Time.day:
            return

        self.LastDay = self.Time.day
        
        equity_summary = self.BalancePortfolio(slice)
        option_summary = self.TradeOptions(slice)
        if SHOULD_LOG:
            output = {}
            output.update(asdict(equity_summary))
            output.update(asdict(option_summary))
            self.Log(json.dumps(output))

    def BalancePortfolio(self, slice):
        """Transacts the underlying symbol as needed to arrive at the target cash utilization.
        
        Buys or sells as necessary to keep the underlying symbol's value at TARGET_CASH_UTILIZATION
        of the total portfolio value. Does not transact unless the imbalance is greater than REBALANCE_THRESHOLD.
        """

        equity_summary = EquitySummary()
        equity_summary.eq_buy_count = 0
        if SYMBOL in slice and slice[SYMBOL] is not None:
            # Get the current value and plot to main figure window.
            current_spy = slice[SYMBOL].Close
            equity_summary.eq_price = current_spy

            if self.InitialSpyValue is None:
                self.InitialSpyValue = current_spy
            self.Plot("Strategy Equity", "SPY", STARTING_CASH * current_spy / self.InitialSpyValue)

            # Calculate how many shares should be owned to hit target cash utilization.
            value = self.Portfolio.TotalPortfolioValue
            actual_n_shares = self.Portfolio[SYMBOL].Quantity
            desired_n_shares = math.floor(value / current_spy)

            equity_summary.total_value = value
            equity_summary.cash_value = self.Portfolio.Cash
            equity_summary.eq_count = actual_n_shares

            delta_shares = desired_n_shares - actual_n_shares
            # TODO isn't ie better to just calculate the cash? 

            # Always buy into SPY
            if delta_shares > 1:
                self.MarketOrder(SYMBOL, delta_shares)
                equity_summary.eq_buy_count = delta_shares

        return equity_summary

    def TradeOptions(self, slice):
        """If enough shares exist to use as collateral, sells a call and places a limit order for that call."""

        option_summary = OptionSummary()
        number_of_contracts_available = math.floor(self.Portfolio[SYMBOL].Quantity / 100)
        number_of_contracts = 0

        option_summary.op_inventory = []

        for symbol, holding in self.Portfolio.items():
            if holding.Invested and holding.Type==SecurityType.Option:
                contract = self.Securities[symbol]
                strike_price = contract.StrikePrice
                expiration_date = contract.Expiry.strftime('%Y-%m-%d')
                sell_cost = holding.HoldingsCost

                option_summary.op_inventory.append({
                    # 'id': str(symbol),
                    'strike_price': strike_price,
                    'expiration_date': expiration_date,
                    'sell_cost': sell_cost,
                })

                number_of_contracts += -holding.Quantity
        options_to_buy = number_of_contracts_available - number_of_contracts
        
        option_summary.op_count = int(number_of_contracts)

        option_summary.op_buy_count = 0
        if options_to_buy < 1:
            return option_summary
        option_summary.op_buy_count = options_to_buy

        """
        if SHOULD_LOG:
            self.Log(f"I presently own {self.Portfolio[SYMBOL].Quantity} shares of {SYMBOL}.")
            self.Log(f"I presently have {number_of_contracts_available} that I can hold and "
                     f"only own {number_of_contracts}. I plan to buy {options_to_buy} more")
        """

        chain = slice.OptionChains.GetValue(self.symbol)
        contract = self.GetClosestContract(chain, self.Time + datetime.timedelta(TARGET_CONTRACT_DAYS_IN_FUTURE))
        if contract is None:
            return option_summary
        """
        if SHOULD_LOG:
            self.Log(f"Selling contract: Price: {contract.AskPrice} Underlying Price: {contract.UnderlyingLastPrice:1.2f} "
                     f"Strike: {contract.Strike:1.2f} Expiry: {contract.Expiry} Delta: {contract.Greeks.Delta:1.2f}")
        """
        self.Sell(contract.Symbol, options_to_buy)
        # self.LimitOrder(contract.Symbol, options_to_buy, round(contract.AskPrice * self.LimitOrderRatio, 2))
        return option_summary

    def GetClosestContract(self, chain, desired_expiration):
        """Gets the contract nearest the target delta and expiry."""
        if not chain:
            self.Log('empty chain')
            return None
            
        calls = [contract for contract in chain if contract.Right == OptionRight.Call]
        if not calls:
            self.Log('empty calls')
            return None

        for call in calls:
            self.Log(f'Expiry: {call.Expiry} price: {call.Strike} ask:{call.AskPrice} bid:{call.BidPrice}')
        # TODO be specific in the expiration and strike price
        # Calculate the option expiry date nearest the target.
        available_expirations = list({contract.Expiry for contract in calls})
        nearest_expiration = sorted(available_expirations, key=lambda expiration: abs(expiration-desired_expiration))[0]
        
        # For all contracts that match the target expiration, find the one with delta nearest target.
        calls_at_target_expiration = [contract for contract in calls if contract.Expiry == nearest_expiration]
        calls_at_target_expiration = sorted(calls_at_target_expiration, key = lambda contract: abs(contract.Greeks.Delta - self.TargetDelta))

        if not calls_at_target_expiration:
            return None

        return calls_at_target_expiration[0]