Is there a list of which symbols you have option data for?  To be fair, I'm assuming that's the issue (symbol universe) Tried run a basice option backtest on QQQ (PowerShares ETF).  Could not get a single option chain to return.  Other symbols like SPY (S&P500 ETF) and AAPL pulled results with no issues with the same code/parameters.  

used these date ranges:

SetStartDate(2015, 8, 8);
SetEndDate(2015,9, 8);