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The Exercise-Settlement Function uses the "opening sales price" for SPX. https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf
All options use the close of the underlying.
Review implementation.
I suggest placing the orders to Interactive Brokers manually (for SPX, VIX, NDX) on Feb 16th to observe the result. We have verified for SPY and SPXW
to confirm that "opening sales price" is the open value (since it's not tradable) of SPX
master
The text was updated successfully, but these errors were encountered:
See #8050, the solution could be abstraction on exercise price to use
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Expected Behavior
The Exercise-Settlement Function uses the "opening sales price" for SPX.
https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf
Actual Behavior
All options use the close of the underlying.
Potential Solution
Review implementation.
Reproducing the Problem
I suggest placing the orders to Interactive Brokers manually (for SPX, VIX, NDX) on Feb 16th to observe the result. We have verified for SPY and SPXW
![CaptureOptionPositionsShort](https://private-user-images.githubusercontent.com/6889033/300027922-617f4709-0b64-485d-8bd0-053f33ec41a3.png?jwt=eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9.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.ULWNDc2BBVhi7TH0lR3RxkfYs_W2i5XgN1cLZPhmrBM)
to confirm that "opening sales price" is the open value (since it's not tradable) of SPX
Checklist
master
branchThe text was updated successfully, but these errors were encountered: