This feature is called chained comparisons (you can read the brief description in the python docs here)

To be absolutely honest, I had no idea the first option was even possible and you absolutely won't be going wrong using the second option (anyone who tells you otherwise has never used any other programming language).

At the same time, I can't find anything with a quick google search that says something negative about chained comparisons, and PEP8 has nothing to offer on the topic either.

Basically that leaves it up to personal preference and style. The general guidelines are to:

• Use whichever is specified by any style guides you are following
• Use whatever style is already in use by the codebase you are working on
• Failing those two, use whatever you prefer.
• Failing that, flip a coin