Overall Statistics
```from datetime import timedelta

class BasicTemplateOptionsAlgorithm(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2017, 01, 07)
self.SetEndDate(2017, 02, 01)
self.SetCash(100000)
self.symbol = "SPY"

option.SetFilter(-20, 20, timedelta(30), timedelta(60))

# use the underlying equity as the benchmark
self.SetBenchmark(equity.Symbol)

def OnData(self, slice):

if not self.Portfolio.Invested and self.Time.hour != 0 and self.Time.minute != 0:

shortDelta = .3
longDelta = .05
contracts = 1

shortCall = None
longCall = None
shortPut = None
longPut = None

for i in slice.OptionChains:
chain = i.Value
contract_list = [x for x in chain]

# if there is no optionchain or no contracts in this optionchain, pass the instance
if (slice.OptionChains.Count == 0) or (len(contract_list) == 0):
return

# sorted optionchain by expiration date and choose the furthest date
expiry = sorted(chain, key = lambda x: x.Expiry)[-1].Expiry

# filter call and put options from the contracts
call = [i for i in chain if i.Right == 0 and i.Expiry == expiry]
put = [i for i in chain if i.Right == 1 and i.Expiry == expiry]

# sort calls by strike prices in ascending order
call_contracts = sorted(call, key = lambda x: x.Strike)
# sort puts by strike prices in descending order
put_contracts = sorted(put, key = lambda x: x.Strike, reverse=True)

if len(call_contracts) == 0 or len(put_contracts) == 0 :
continue

# loop from low strike to high
for call in call_contracts:
self.Log("call=" + str(call.Greeks.Delta))

if((shortCall is None) and (call.Greeks.Delta <= shortDelta)):
shortCall = call
elif((longCall is None) and (call.Greeks.Delta <= longDelta)):
longCall = call
break # stop for loop

# loop from high strike to low
for put in put_contracts:
self.Log("put=" + str(put.Greeks.Delta))

if((shortPut is None) and (put.Greeks.Delta >= -shortDelta)):
shortPut = put
elif((longPut is None) and (put.Greeks.Delta >= -longDelta)):
longPut = put
break # stop for loop

self.Log(str(longCall.Greeks.Delta))
self.Log(str(shortCall.Greeks.Delta))
self.Log(str(shortPut.Greeks.Delta))
self.Log(str(longPut.Greeks.Delta))

if((longCall is not None) and (shortCall is not None) and (longPut is not None) and (shortPut is not None)):
break

self.Log(str(longCall.Greeks.Delta))
self.Log(str(shortCall.Greeks.Delta))
self.Log(str(shortPut.Greeks.Delta))
self.Log(str(longPut.Greeks.Delta))

if((longCall is None) or (shortCall is None) or (longPut is None) or (shortPut is None)):
return