Unable to find Option below Current Strike Price

Here are the issues in your C# code that prevent you from consistently finding options both above and below the current underlying price as the underlying moves:

Bug 1: Static Strike Filtering in SetFilter

• Your use of .Strikes(-3, 3) in option.SetFilter selects fixed strike offsets (typically the 3rd lowest to 3rd highest strikes from the initial underlying price when the filter is first run at algorithm startup).
• This means the available option strikes in your universe are “locked in” to those closest to the starting price and will NOT update if the underlying price moves outside this initial range during the day.

Bug 2: Redundant/Conflicting Strike Filtering

• In your EvaluateOptions method, you attempt to re-filter the option contracts based on current underlying price, using:

  .Where(x => Math.Abs(x.Strike / underlyingPrice - 1) <= _maxStrikeDistancePercent)
  

  However, if the options universe from SetFilter no longer contains strikes near the live underlying price (because of a move), this extra filtering will find zero or too few contracts—because the universe itself did not update!

How to Fix:

1. Replace .Strikes(-3,3) with a Dynamic Price-Based Filter

   • Instead of using .Strikes(-3,3), use a .Where(...) clause in your filter that selects strikes within a percentage distance of the underlying price at filter time.
   • For example:

     option.SetFilter(u =>
         u.IncludeWeeklys()
          .Expiration(0, 1)
          .Where(x => Math.Abs((x.Strike - u.Underlying.Price) / u.Underlying.Price) <= 0.03m)
     );
     

   • Now, every time the filter is run, the underlying price is used to find strikes both above and below—adaptively.

2. Eliminate Double-Filtering

   • Once you move your price-range filter to SetFilter, you can simplify or remove the similar filtering in EvaluateOptions.
   • Optionally, keep some basic expiry or type checks, but strike distance filtering is best placed inside SetFilter.

3. Log to Verify

   • Add logging in your filter and in EvaluateOptions to show the set of strikes you are receiving each time, confirming that as price changes, contracts above and below the price appear.

Summary of What to Change in Your Code: Replace:

option.SetFilter(u => u.Strikes(-3, 3).Expiration(0, 1).IncludeWeeklys());

with:

option.SetFilter(u => 
    u.IncludeWeeklys()
     .Expiration(0, 1)
     .Where(x => Math.Abs((x.Strike - u.Underlying.Price) / u.Underlying.Price) <= 0.03m)
);

Then, optionally remove the strike-based filtering in your EvaluateOptions.

This will ensure you always see contracts both above and below current price as it moves, not “stuck” to the initial offsets.

Let me know if you'd like a ready-to-paste code section for your Initialize method or a minimal working code snippet!

Sources: Universes - QuantConnect.com, Opening Range Breakout for Stocks in Play, Automating the Wheel Strategy, Options Universes - QuantConnect.com, Basic Template Options Filter Universe Algorithm

Using your suggestion of adding the Where in SetFilter I get the following error in Build
'OptionUniverse' does not contain a definition for 'Strike' and no accessible extension method 'Strike' accepting a first argument of type 'OptionUniverse' could be found (are you missing a using directive or an assembly reference?)