Universe Selection

// Run universe selection asynchronously to speed up your algorithm. 
// In this case, you can't rely on the method or algorithm state between filter calls.
UniverseSettings.Asynchronous = true;
// Add a universe of SPY Options.
AddUniverseSelection(
    new OptionUniverseSelectionModel(
        // Refresh the universe daily.
        TimeSpan.FromDays(1), 
        _ => new [] { QuantConnect.Symbol.Create("SPY", SecurityType.Option, Market.USA) }
    )
);

from Selection.OptionUniverseSelectionModel import OptionUniverseSelectionModel 

# Run universe selection asynchronously to speed up your algorithm. 
# In this case, you can't rely on the method or algorithm state between filter calls.
self.universe_settings.asynchronous = True
# Add a universe of SPY Options.
self.set_universe_selection(
    OptionUniverseSelectionModel(
        # Refresh the universe daily.
        timedelta(1), lambda _: [Symbol.create("SPY", SecurityType.OPTION, Market.USA)]
    )
)

// In the Initialize method, add the OptionUniverseSelectionModel with a custom selection function.
public override void Initialize()
{
    AddUniverseSelection(
        new OptionUniverseSelectionModel(TimeSpan.FromDays(1), SelectOptionChainSymbols)
    );
}

// Define the selection function.
private IEnumerable<Symbol> SelectOptionChainSymbols(DateTime utcTime)
{
    // Equity Options example:
    //var tickers = new[] {"SPY", "QQQ", "TLT"};
    //return tickers.Select(ticker => QuantConnect.Symbol.Create(ticker, SecurityType.Option, Market.USA));

    // Index Options example:
    //var tickers = new[] {"VIX", "SPX"};
    //return tickers.Select(ticker => QuantConnect.Symbol.Create(ticker, SecurityType.IndexOption, Market.USA));

    // Future Options example:
    var futureSymbol = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
    foreach (var contract in FuturesChain(futureSymbol))
    {
        yield return QuantConnect.Symbol.CreateCanonicalOption(contract.Symbol);
    }
}

from Selection.OptionUniverseSelectionModel import OptionUniverseSelectionModel 

# In the initialize method, add the OptionUniverseSelectionModel with a custom selection function.
def initialize(self) -> None:
    self.add_universe_selection(
        OptionUniverseSelectionModel(timedelta(days=1), self.select_option_chain_symbols)
    )

# Define the selection function.
def select_option_chain_symbols(self, utc_time: datetime) -> List[Symbol]:
    # Equity Options example:
    #tickers = ["SPY", "QQQ", "TLT"]
    #return [Symbol.create(ticker, SecurityType.OPTION, Market.USA) for ticker in tickers]

    # Index Options example:
    #tickers = ["VIX", "SPX"]
    #return [Symbol.create(ticker, SecurityType.INDEX_OPTION, Market.USA) for ticker in tickers]

    # Future Options example:
    future_symbol = Symbol.create(Futures.Indices.SP_500_E_MINI, SecurityType.FUTURE, Market.CME)
    return [Symbol.create_canonical_option(contract.symbol) for contract in self.futures_chain(future_symbol)]

// In the Initialize method, define the universe settings and add data.
UniverseSettings.Asynchronous = true;
AddUniverseSelection(new EarliestExpiringAtTheMoneyCallOptionUniverseSelectionModel(this));

// Outside of the algorithm class, define the universe selection model.
class EarliestExpiringAtTheMoneyCallOptionUniverseSelectionModel : OptionUniverseSelectionModel
{
    public EarliestExpiringAtTheMoneyCallOptionUniverseSelectionModel(QCAlgorithm algorithm)
            : base(TimeSpan.FromDays(1), utcTime => SelectOptionChainSymbols(algorithm, utcTime)) {}
    
    private static IEnumerable<Symbol> SelectOptionChainSymbols(QCAlgorithm algorithm, DateTime utcTime)
    {
        // Equity Options example:
        //var tickers = new[] {"SPY", "QQQ", "TLT"};
        //return tickers.Select(ticker => QuantConnect.Symbol.Create(ticker, SecurityType.Option, Market.USA));

        // Index Options example:
        //var tickers = new[] {"VIX", "SPX"};
        //return tickers.Select(ticker => QuantConnect.Symbol.Create(ticker, SecurityType.IndexOption, Market.USA));

        // Future Options example:
        var futureSymbol = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
        foreach (var contract in algorithm.FuturesChain(futureSymbol))
        {
            yield return QuantConnect.Symbol.CreateCanonicalOption(contract.Symbol);
        }
    }
    
    // Create a filter to select contracts that have the strike price within 1 strike level and expire within 7 days.
    protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
    {
        return filter.Strikes(-1, -1).Expiration(0, 7).CallsOnly();
    }
}

# In the initialize method, define the universe settings and add data.
self.universe_settings.asynchronous = True
self.add_universe_settings(EarliestExpiringAtTheMoneyCallOptionUniverseSelectionModel(self))

# Outside of the algorithm class, define the universe selection model.
class EarliestExpiringAtTheMoneyCallOptionUniverseSelectionModel(OptionUniverseSelectionModel):
    def __init__(self, algorithm):
        self.algo = algorithm
        super().__init__(timedelta(1), self.select_option_chain_symbols)
    
    def select_option_chain_symbols(self, utc_time: datetime) -> List[Symbol]:
        # Equity Options example:
        #tickers = ["SPY", "QQQ", "TLT"]
        #return [Symbol.create(ticker, SecurityType.OPTION, Market.USA) for ticker in tickers]

        # Index Options example:
        #tickers = ["VIX", "SPX"]
        #return [Symbol.create(ticker, SecurityType.INDEX_OPTION, Market.USA) for ticker in tickers]

        # Future Options example:
        future_symbol = Symbol.create(Futures.Indices.SP_500_E_MINI, SecurityType.FUTURE, Market.CME)
        return [Symbol.create_canonical_option(contract.symbol) for contract in self.algo.futures_chain(future_symbol)]
        
    # Create a filter to select contracts that have the strike price within 1 strike level and expire within 7 days.
    def Filter(self, option_filter_universe: OptionFilterUniverse) -> OptionFilterUniverse:
        return option_filter_universe.strikes(-1, -1).expiration(0, 7).calls_only()