Overall Statistics Total Trades 2 Average Win 0% Average Loss -1.22% Compounding Annual Return -43.585% Drawdown 1.500% Expectancy -1 Net Profit -1.221% Sharpe Ratio -10.646 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.188 Beta -16.051 Annual Standard Deviation 0.041 Annual Variance 0.002 Information Ratio -10.962 Tracking Error 0.042 Treynor Ratio 0.027 Total Fees \$1.00
```from datetime import timedelta

class optionExample(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2016, 1, 1)
self.SetEndDate(2016, 1, 8)
self.SetCash(100000)

self.option_symbol = option.Symbol

# set our strike/expiry filter for this option chain
option.SetFilter(self.UniverseFunc)

def OnData(self,slice):

if self.Time.hour == 15 and self.Time.minute == 30:
option_invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
#  Print to log
for contract in option_invested:
quantity = self.Portfolio[contract].Quantity
lastPrice = self.Securities[contract].Price
self.Log("Contract: " + str(contract) + " - Quantity: " + str(quantity) + " - Last Price: " + str(lastPrice))

if not self.Portfolio.Invested:
for i in slice.OptionChains:
chain = i.Value
call = [i for i in chain if i.Right == OptionRight.Call]
contracts =  sorted(sorted(call, key=lambda x: x.Expiry, reverse=True),
key=lambda x: abs(x.UnderlyingLastPrice - x.Strike))
atm_contract = contracts[0]

# Sell ATM Call Option Contract
if len(contracts) == 0: continue
symbol = contracts[0].Symbol

# Place market price.
self.MarketOrder(symbol, 1)

def UniverseFunc(self, universe):
# include weekly contracts
return universe.IncludeWeeklys().Expiration(TimeSpan.FromDays(0),TimeSpan.FromDays(7)).Strikes(-2,2)```