Hi, I am trying to make an Universe selection of the most liquid and traded stocks that have a certain criteria for ImpliedVolatility (for instance being below historical volatility).

I have difficulty though to get the option chain during this process since the slice.OptionChains.Count is always zero.

Has anyone had the same type of problem? Is there a more effcient way to get impliedVol and option price at a given time in a backtest?

Any suggestion ho to get an historical pattern of Impled volatility and option price for a given stock (or setof stocks)?