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Supports AM settlement. For example, the standard SPX options are AM-settled.
PM settlement: Exercise settlement values based on the reported level of the index calculated with the last reported prices of the index's component stocks at the close of market hours on the day of exercise.
AM settlement: Exercise settlement values based on the reported level of the index calculated with the opening prices of the index's component stocks on the day of exercise.
Actual Behavior
All options are settled with the closing price.
Potential Solution
Implements AM settlement (it will change the transaction time).
We use the close for PM settled and could use the open for AM settlement, however, there are official settlement prices
Reproducing the Problem
N/A
Checklist
I have completely filled out this template
I have confirmed that this issue exists on the current master branch
I have confirmed that this is not a duplicate issue by searching issues
I have provided detailed steps to reproduce the issue
The text was updated successfully, but these errors were encountered:
Expected Behavior
Supports AM settlement. For example, the standard SPX options are AM-settled.
Actual Behavior
All options are settled with the closing price.
Potential Solution
Implements AM settlement (it will change the transaction time).
We use the close for PM settled and could use the open for AM settlement, however, there are official settlement prices
Reproducing the Problem
N/A
Checklist
master
branchThe text was updated successfully, but these errors were encountered: