Momentum Selection with Put Hedge

Here are the substantive bugs and logic flaws in your strategy (ignoring naming, allocation, and imports):

1. Missing Option Universe Subscription:
   There is no call to AddOption() for each equity, so OptionChains may be empty or never populated for those symbols. You must add an Option security for each stock to receive option chains in OnData.

2. Put Selection Not Guaranteed OTM:
   The code selects puts by delta alone (targeting -0.40) but does not verify that the contract is out-of-the-money (OTM). This may result in buying at-the-money or even in-the-money puts, which can be more expensive and affect hedge intent.

3. Equity Fill Not Validated Before Hedging:
   Your code attempts to buy puts immediately after submitting the equity MarketOrder, without checking if the order has been filled. This can cause a mismatch between shares actually owned and puts bought, potentially overhedging or underhedging.

4. Option Hedging May Repeat or Overlap:
   OnData can be called multiple times before an equity order actually fills (and before the option order fills as well). Because dictionary entries remain until removed, there is a risk of repeating hedges or issuing duplicate orders for the same stock.

5. Unclear Handling for <100 Share Lot Cases:
   When the computed shares is less than 100, that symbol is skipped, but there is no clear tracking or explanation for the skipped case. It's simply omitted from further logic, so you may lose intended exposure.

6. History Called Repeatedly in Selection:
   The algorithm fetches historical data for every symbol in the top market cap universe every monthly rebalance. This repeated calling of History() can be expensive and may cause timeouts or slowness in live or backtest environments with larger universes.

7. Universe Removal/Liquidation Risks:
   When a stock is removed from the universe and Liquidate is called, both equity and put should be liquidated; but if the daily data isn't present for a symbol or the contract is illiquid/delisted, positions may remain or not exit as intended, and this is not explicitly handled.

8. No Rolling or Timely Exit for Puts:
   Puts expire in about 30 days, but there is no logic to roll, exit, or re-hedge if the underlying remains in the active_symbols for another month. The code does not ensure continuous hedging coverage or prevent holding expired or soon-to-expire contracts.

Summary: The most critical issue is the lack of option universe subscription (AddOption() per stock), as this prevents OptionChains from being available at all. In practice, this could break the entire portfolio hedge intent. Further, the sync between stock ownership and option position isn't guaranteed, and handling for edge cases (like failure to fill or option expiry/roll) is incomplete.

Sources: US Index Option Universe - QuantConnect.com, Futures Fast Trend Following, with Trend Strength, docs writing algorithms datasets quantconnect us equity option universe, Automating the Wheel Strategy, Adjusted Trend on Futures