I have spent quite some time trying to get a basic volatility trading algo working using options. For some reason I have hit an error that I cannot resolve. I have attached a backtest below, any help would be appreciated.

For some reason I was not able to attach a backtest, so the code for the algo is below:

from datetime import timedelta class OptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 01, 01) self.SetEndDate(2017, 01, 8) self.SetCash(100000) equity = self.AddEquity("VXX", Resolution.Minute) self.symbol = equity.Symbol self.last_slice = None # warm up for 121 days self.SetWarmUp(timedelta(121)) # filter the option contracts we will trade option = self.AddOption(str(self.symbol)); option.SetFilter(-2, +20, TimeSpan.FromDays(5),TimeSpan.FromDays(9)); # run rebalance every day before market close self.Schedule.On(self.DateRules.Every([DayOfWeek.Friday]), self.TimeRules.BeforeMarketClose(str(self.symbol), 2), Action(self.rebalance)) def OnData(self,slice): if self.IsWarmingUp: return # if self.Time.weekday() != 4 or self.Time.hour != 12 or self.Time.minute != 58: return self.last_slice = slice def rebalance(self): self.Debug("rebalance being called") # sell everything first self.Liquidate() for i in self.last_slice.OptionChains: chain = i.Value # differentiate the call and put options calls = [x for x in chain if x.Right == 0] puts = [x for x in chain if x.Right == 1] # get all OTM calls otm_calls = [x for x in calls if x.UnderlyingLastPrice - x.Strike < 0] # get closest ATM call atm_call = sorted(otm_calls, key = lambda x: x.UnderlyingLastPrice - x.Strike)[0] # get OTM call at least 10% OTM fotm_calls = [x for x in otm_calls if float(x.UnderlyingLastPrice)*float(1.15) - float(x.Strike) < 0] fotm_call = sorted(fotm_calls, key = lambda x: x.UnderlyingLastPrice - x.Strike)[0] # get all OTM puts otm_puts = [x for x in puts if x.UnderlyingLastPrice - x.Strike > 0] # get 2nd closest ATM put put = sorted(otm_puts, key = lambda x: x.Strike, reverse = True)[1] # sell 80% ATM calls atm_call_amount = float(self.Portfolio.TotalPortfolioValue) * -0.8 atm_call_contracts = atm_call_amount / (float(atm_call.Underlying.Price)*100.0) self.MarketOrder(atm_call.Symbol, atm_call_contracts) # buy 80% Far out of the money calls fotm_call_amount = float(self.Portfolio.TotalPortfolioValue) * 0.8 fotm_call_contracts = fotm_call_amount / (float(fotm_call.Underlying.Price)*100.0) self.MarketOrder(fotm_call.Symbol, fotm_call_contracts) # buy 32% puts put_amount = float(self.Portfolio.TotalPortfolioValue) * 0.32 put_contracts = put_amount / (float(put.Underlying.Price)*100.0) self.MarketOrder(put.Symbol, put_contracts)