Getting weekly option chain

To ensure you are getting weekly expiries when using IncludeWeeklys() in your code, please follow these steps:

1. Ensure Correct Option Ticker: When adding index options, make sure you specify the correct target option ticker for weekly options. For SPX weekly options, use "SPXW" as the target option ticker.

2. Set the Filter Correctly: The IncludeWeeklys() method should be used within the filter function. Ensure that you are applying it correctly to filter for weekly options.

3. Verify Option History Request: When requesting option history, ensure you are using the correct symbol and parameters. The option_history method should be called with the correct index option symbol, not the underlying index symbol.

Here's how you can adjust your code:

from datetime import datetime
import pandas as pd

qb = QuantBook()
index = qb.add_index('SPX')

# Add weekly options for SPX
index_option = qb.add_index_option(index.symbol, 'SPXW')
index_option.set_filter(lambda u: u.include_weeklys().expiration(0, 1))  # Filter for 0DTE weekly options

# Request option history for the weekly options
option_history = qb.option_history(index_option.symbol, datetime(2024, 5, 1), datetime(2024, 5, 2), Resolution.MINUTE, fill_forward=False, extended_market_hours=False)
df = option_history.data_frame
x = df.reset_index()
unique_expiries = pd.unique(x.expiry)
print(unique_expiries)

Key Adjustments:

• Target Option Ticker: Ensure you are using "SPXW" when adding the index option to specify weekly options.
• Filter Application: Use include_weeklys() within the filter function to ensure weekly options are included.
• Correct Symbol for History: Use the symbol returned by add_index_option for the option_history method to ensure you are querying the correct options.

By following these steps, you should be able to retrieve weekly expiry options, including 0DTE options, in your research environment. If the issue persists, consider checking the availability of data for the specific date range and resolution you are using.

Sources: Basic Template S P X Weekly Index Options Algorithm, Handling Data - QuantConnect.com, Individual Contracts - QuantConnect.com, Option Expiration Week Effect, Universes - QuantConnect.com