#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Api;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Commands;
    using QuantConnect.Configuration;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Auxiliary;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.Data.Custom.IconicTypes;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.Shortable;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.OptionExercise;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Orders.TimeInForces;
    using QuantConnect.Python;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Positions;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.CryptoFuture;
    using QuantConnect.Securities.IndexOption;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Securities.Volatility;
    using QuantConnect.Storage;
    using QuantConnect.Statistics;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
    using Calendar = QuantConnect.Data.Consolidators.Calendar;
#endregion

public class BasicIndexOptionAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    
    public override void Initialize()
    {
        SetStartDate(2025,11,1);
        UniverseSettings.Asynchronous = true;
        var option = AddIndexOption("SPX", "SPXW");
        option.SetFilter(Filter);
        _symbol = option.Symbol;
    }

    private OptionFilterUniverse Filter(OptionFilterUniverse universe)
    {
        return universe.IncludeWeeklys().Expiration(0, 0).Strikes(-1, 1);
    } 

    public override void OnData(Slice data)
    {
        if (data.OptionChains.TryGetValue(_symbol, out var chain))
        {
            foreach (var option in chain.Select(x=> Securities[x.Symbol]))
            {
                if (option.TryGet<Delta>("D", out var delta))
                {
                    var message = $"{option.Symbol} :: {delta}";
                    //Debug(message);
                }
            }
        } 
    }

    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities.Where(x=> x.Type.IsOption()))
        {
            var symbol = security.Symbol;
            var mirrorOption = QuantConnect.Symbol.CreateOption(symbol.Underlying, "SPXW", symbol.ID.Market, symbol.ID.OptionStyle,
                symbol.ID.OptionRight == OptionRight.Call ? OptionRight.Put : OptionRight.Call,
                symbol.ID.StrikePrice, symbol.ID.Date);
            security.Set("D", D(symbol, mirrorOption));
        }
        foreach (var security in changes.RemovedSecurities.Where(x=> x.Type.IsOption()))
        {
            if (security.TryGet<Delta>("D", out var delta))
                DeregisterIndicator(delta);
        }
    }
}