I have done about 12 strikes so far and not one key yet. It also has not dropped any legendary engrams. Just get a lot of greens and blues.
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Edited by I Mimic10 I: 9/26/2016 8:01:17 PMI ran 10 strikes yesterday and got 1. But i've recieved 4 in total (including the quest one). Yeah its annoying grinding and not getting the key to drop but the items are supposed to be rare and special. However what i dont like is how you cant choose which reward you recieve after the strike as 2 of my 4 keys have given me things i didnt want, even though the point is so you are supposed to be able to choose the reward you want instead of endlessly grinding the same strike.