#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
namespace QuantConnect.Algorithm.CSharp
{
    public class CalmSkyBlueRhinoceros : QCAlgorithm
    {

        public override void Initialize()
        {
            SetStartDate(2026,2,1);
            var index = AddIndex("SPX", Resolution.Minute);
            var spxOption = AddIndexOption(index.Symbol, "SPXW",Resolution.Minute);
            spxOption.SetFilter(u=> u.Strikes(-10, 10).Expiration(0, 0));
            //spxOption.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();
            spxOption.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();
            //Securities[spxOption.Symbol].VolatilityModel = new StandardDeviationOfReturnsVolatilityModel(30);
            SetWarmUp(30,Resolution.Daily);
            
        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice slice)
        {
            if(IsWarmingUp) return;
            var chain = slice.OptionChains.FirstOrDefault().Value;
            if (chain == null) { Log("LogAtmCallGreeks: no option chain in slice"); return; }

            var atm = chain
                .Where(c => c.Right == OptionRight.Call)
                .OrderBy(c => Math.Abs(chain.Underlying.Price - c.Strike))
                .FirstOrDefault();

            if (atm == null) { Log("LogAtmCallGreeks: no call contracts in chain"); return; }

            Log($"ATM Call Greeks {atm.Symbol.Value} Strike:{atm.Strike} Expiry:{atm.Expiry:d} " +
                      $"IV:{atm.ImpliedVolatility:F4} Δ:{atm.Greeks.Delta:F4} Γ:{atm.Greeks.Gamma:F4} " +
                      $"V:{atm.Greeks.Vega:F4} Θ:{atm.Greeks.Theta:F4} Ρ:{atm.Greeks.Rho:F4}");
        }

    }
}