Overall Statistics
import pandas as pd

class HorizontalDynamicSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 17)  #Set Start Date
        self.SetEndDate(2020, 1, 18)  #Set End Date
        self.SetCash(50000)  #Set Strategy Cash
        equity = self.AddEquity("GOOG", Resolution.Minute) # Add the underlying stock: Google
        option = self.AddOption("GOOG", Resolution.Minute) # Add the option corresponding to underlying stock
        self.symbol = option.Symbol
        option.SetFilter(-10, 10, timedelta(0), timedelta(days = 1))
        


    def OnData(self, data):
        for i in data.OptionChains:
            if i.Key != self.symbol: continue
        
            optionchain = i.Value
            df = pd.DataFrame([[x.Expiry] for x in optionchain],
                       index=[x.Symbol.Value for x in optionchain],
                       columns=['expiry'])
                       
            if df.shape[0] > 0:
                self.Log(f"\n{df.to_string()}")
                self.Quit()