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Thanks @Venugopal! Options is in beta - please join the slack conversation here to hear about the updates: http://qnt.co/slack

Thank you Jared.

In case anyone else is having this issue, you need to set a pricing model as in this algo:

Hi, I'm also getting 0 for implied volatility.  I started w/ the basic algo from github 

for future options and added a pricing model.  I'd attach a backtest, but it's not showing in the list.

The following never triggers - 

            if contract.ImpliedVolatility > 0:

                self.Log(f"{contract} {contract.ImpliedVolatility}")

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

#

# Licensed under the Apache License, Version 2.0 (the "License");

# you may not use this file except in compliance with the License.

# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

#

# Unless required by applicable law or agreed to in writing, software

# distributed under the License is distributed on an "AS IS" BASIS,

# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.

# See the License for the specific language governing permissions and

# limitations under the License.



from AlgorithmImports import *



### <summary>

### The demonstration algorithm shows some of the most common order methods when working with FutureOption assets.

### </summary>

### <meta name="tag" content="using data" />

### <meta name="tag" content="using quantconnect" />

### <meta name="tag" content="trading and orders" />



class BasicTemplateFutureOptionAlgorithm(QCAlgorithm):



    def Initialize(self):

        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2022, 1, 1)

        self.SetEndDate(2022, 2, 1)

        self.SetCash(100000)



        self.SetWarmup(30, Resolution.Daily)

        self.SetSecurityInitializer(self.CustomSecurityInitializer)



        gold_futures = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)

        gold_futures.SetFilter(0, 180)

        self.symbol = gold_futures.Symbol

        option = self.AddFutureOption(self.symbol, lambda universe: universe.Strikes(-5, +5)

                                                                    .CallsOnly()

                                                                    .BackMonth()

                                                                    .OnlyApplyFilterAtMarketOpen())



        # Historical Data

        history = self.History(self.symbol, 60, Resolution.Daily)

        self.Log(f"Received {len(history)} bars from {self.symbol} FutureOption historical data call.")



    def CustomSecurityInitializer(self, security: Security) -> None:

        security.SetMarketPrice(self.GetLastKnownPrice(security))

        if security.Type == SecurityType.FutureOption:

            security.PriceModel = OptionPriceModels.CrankNicolsonFD()



    def OnData(self, data):

        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

        Arguments:

            slice: Slice object keyed by symbol containing the stock data

        '''

        # Access Data

        for kvp in data.OptionChains:

            underlying_future_contract = kvp.Key.Underlying

            chain = kvp.Value



            if not chain: continue



            for contract in chain:

                self.Log(f"""Canonical Symbol: {kvp.Key}; 

                    Contract: {contract}; 

                    Right: {contract.Right}; 

                    Expiry: {contract.Expiry}; 

                    Bid price: {contract.BidPrice}; 

                    Ask price: {contract.AskPrice}; 

                    Implied Volatility: {contract.ImpliedVolatility}""")



            	if contract.ImpliedVolatility > 0:

               		self.Log(f"{contract} {contract.ImpliedVolatility}")



            if not self.Portfolio.Invested:

                atm_strike = sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike))[0].Strike

                selected_contract = sorted([contract for contract in chain if contract.Strike == atm_strike], \

                           key = lambda x: x.Expiry, reverse=True)[0]

                self.MarketOrder(selected_contract.Symbol, 1)



    def OnOrderEvent(self, orderEvent):

        self.Debug("{} {}".format(self.Time, orderEvent.ToString()))