Using Weekly Options

Based on the information provided in the extracts, it seems like you're trying to trade options on the SPX index. However, as mentioned in the forum discussion here, QuantConnect currently does not fully support index options like SPX. Instead, it is recommended to use SPY as an equity-option proxy for the SPX index-options.

Regarding the error you're encountering, it seems to be related to the use of the continue statement outside of a loop. The continue statement is used to skip the rest of the code inside a loop for the current iteration only. This means it should be used inside a loop, such as a for or while loop. In your code, it appears that the continue statement is not inside a loop, hence the error.

As for the issue of no contracts being purchased, it could be due to the fact that the conditions for purchasing a contract are not being met. It's hard to say without more information, but you might want to check the conditions you've set for purchasing a contract.

Here's a corrected version of your code:

def Initialize(self):
    self.SetStartDate(2023, 7, 14)  # Set Start Date
    self.SetCash(100000)  # Set Strategy Cash

    underlying = self.AddEquity("SPY", Resolution.Minute)
    options = self.AddOption(underlying.Symbol, Resolution.Minute)
    options.SetFilter(lambda u: u.WeeklysOnly().Strikes(-1,1).Expiration(0,1))
    self.symbol = options.Symbol

def OnData(self, data: Slice):
    chain = data.OptionChains.get(self.symbol)
    if chain:
        call = [x for x in chain if x.Right == OptionRight.Call]
        put = [x for x in chain if x.Right == OptionRight.Put]
        #Choose ATM Call contracts
        contracts = sorted(chain, key = lambda x: abs(x.UnderlyingLastPrice - x.Strike))

    if len(contracts) > 0:
        # trade the contracts with the farthest expiration
        symbol = contracts[0].Symbol
        self.MarketOrder(symbol, 1)

def OnOrderEvent(self, orderEvent):
    self.log()

This code uses SPY instead of SPX and removes the continue statement. It also checks if there are any contracts before trying to access the first one. Please note that this is a basic example and might need further adjustments to fit your strategy.

Thanks Mia, I did see in the forum that SPXW options are not supported but all from posts pre 2020. I also so a post here from April of this year of a user being able to retrieve SPXW options data. Are you able to confirm that SPXW options data is not currently available? The strategy calls for the cash settlement of the SPX options and this is why SPY will not work for this case.

Thanks again!

Based on the information provided in the extracts, it seems that SPX data is available, but the modeling for index options like SPXW might not be fully set up yet. This information was mentioned in a forum discussion from June 2017. However, there is no updated information in the extracts about the current status of SPXW options data.

Regarding the code you provided, the error you're encountering is likely due to the use of continue outside of a loop. The continue statement is used to skip the rest of the code inside a loop for the current iteration only. In your code, it seems continue is not inside a loop, hence the error.

Also, in your code, you're trying to access the first element of contracts even when it might be empty. This could potentially lead to an error. You should check if contracts is not empty before trying to access its elements.

Here's a corrected version of your code:

def OnData(self, data: Slice):
    chain = slice.OptionChains.get(self.symbol)
    if chain:
        call = [x for x in chain if x.Right == OptionRight.Call]
        put = [x for x in chain if x.Right == OptionRight.Put]
        # Choose ATM Call contracts
        contracts = sorted(chain, key = lambda x: abs(x.UnderlyingLastPrice - x.Strike))

        if len(contracts) > 0:
            # trade the contracts with the farthest expiration
            symbol = contracts[0].Symbol
            self.MarketOrder(symbol, 1)

In this version, the MarketOrder is only placed if there are contracts available.

Please note that this information is based on the provided extracts and might not fully solve your problem. For more detailed assistance, you might want to refer to the QuantConnect documentation or ask for help in the QuantConnect forum.