Ticker SPY
From 2018-09-25 09:30:00
To 2018-11-15 16:00:00
Security Type Option
Market USA
Resolution Minute
Status Resolved

See backtest log here: https://www.quantconnect.com/backtest/3782/2011124/d83c8bfe37a1e00cf1896e768bf0783b-log.txt

Attempting to find weekly ATM (+1,-1) options contract daily on market open, for EOW expiration - data stops after Tuesday, Sept. 25, 2018 except for Friday, Oct. 12, 2018 which finds one contract