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Fix PM-settled index options settlement time on 3rd Friday#9504

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Martin-Molinero merged 3 commits into
QuantConnect:masterfrom
JosueNina:bug-9346-greeks-indicators-zero-iv-spxw
May 28, 2026
Merged

Fix PM-settled index options settlement time on 3rd Friday#9504
Martin-Molinero merged 3 commits into
QuantConnect:masterfrom
JosueNina:bug-9346-greeks-indicators-zero-iv-spxw

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Description

GetSettlementDateTime was applying AM settlement to PM-settled tickers (SPXW, RUTW, etc.) on the 3rd Friday because IsStandard() only checked the date, not the ticker. This made timeTillExpiry negative, zeroing out IV and all Greeks for the rest of the session.
Added IndexOptionSymbol.IsAMSettled() to guard the AM settlement path, and a test that confirms IV and Delta are non-zero for a PM-settled contract on expiration day.

Related Issue

Closes #9346

Motivation and Context

N/A

Requires Documentation Change

N/A

How Has This Been Tested?

It was tested using unit tests.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@JosueNina JosueNina force-pushed the bug-9346-greeks-indicators-zero-iv-spxw branch from 49ac48c to 6c2bc9a Compare May 27, 2026 20:01
@JosueNina JosueNina changed the title WIP: Fix PM-settled index options settlement time on 3rd Friday Fix PM-settled index options settlement time on 3rd Friday May 27, 2026
@Martin-Molinero Martin-Molinero merged commit e1488ca into QuantConnect:master May 28, 2026
7 of 8 checks passed
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GreeksIndicators Yeilds Implied Volatility with Zero Value for 0DTE SPXW in Live Mode

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