def Initialize(self):
        self.option_filter_ran = False
        self.SetStartDate(2021, 3, 18)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        es = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, Market.CME)
        es.SetFilter(lambda futureFilter: futureFilter.Expiration(0, 365))
        self.AddFutureOption(es.Symbol, self.OptionContractUniverseFilterFunction)
        self.symbol = es.Symbol
    def OptionContractUniverseFilterFunction(
        self, universe: OptionFilterUniverse
    ) -> OptionFilterUniverse:
        self.option_filter_ran = True
        return universe.IncludeWeeklys().Expiration(
            timedelta(40), timedelta(60)
        )
    def OnData(self, data: Slice):
        # self.Debug(f"Has data? : {data.HasData}")
        if not data.HasData:
            return
        for i in data.OptionChains:  # only one option chain in this case, which is ES
            optionchain: OptionChain = i.Value
            if len([x for x in optionchain]) == 0:
                continue
            self.Debug("underlying price:" + str(optionchain.Underlying.Price))
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