The following call does not limit expiration dates returned in OnData():

            option.SetFilter(universe => from symbol in universe
                                                          .Expiration(TimeSpan.FromDays(30), TimeSpan.FromDays(40))
                                                  select symbol);

In my backtest on 2/20/15 it returns options with expiration date 2/20/15.

See attached backtest.

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