Modify helper method to calculate settlement time instead of expirati…

…on time
QuantConnect · Dec 13, 2024 · c648de8 · c648de8
1 parent 45fb613
commit c648de8
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Showing 4 changed files with 15 additions and 14 deletions.
diff --git a/Common/Securities/Option/OptionSymbol.cs b/Common/Securities/Option/OptionSymbol.cs
@@ -122,17 +122,23 @@ public static DateTime GetLastDayOfTrading(Symbol symbol)
         }
 
         /// <summary>
-        /// Returns the actual expiration date time, adjusted to market close of the expiration day.
+        /// Returns the settlement date time of the option contract.
         /// </summary>
         /// <param name="symbol">The option contract symbol</param>
-        /// <returns>The expiration date time, adjusted to market close of the expiration day</returns>
-        public static DateTime GetExpirationDateTime(Symbol symbol)
+        /// <returns>The settlement date time</returns>
+        public static DateTime GetSettlementDateTime(Symbol symbol)
         {
-            if (!TryGetExpirationDateTime(symbol, out var expiryTime, out _))
+            if (!TryGetExpirationDateTime(symbol, out var expiryTime, out var exchangeHours))
             {
                 throw new ArgumentException("The symbol must be an option type");
             }
 
+            // Standard index options are AM-settled, which means they settle on market open of the expiration date
+            if (expiryTime.Date == symbol.ID.Date.Date && symbol.SecurityType == SecurityType.IndexOption && IsStandard(symbol))
+            {
+                expiryTime = exchangeHours.GetNextMarketOpen(expiryTime.Date, false);
+            }
+
             return expiryTime;
         }
 
@@ -189,11 +195,6 @@ private static bool TryGetExpirationDateTime(Symbol symbol, out DateTime expiryT
                 }
                 expiryTime = symbol.ID.Date.AddDays(1).Date;
             }
-            // Standard index options are AM-settled, which means they settle on market open of the last trading date
-            else if (symbol.SecurityType == SecurityType.IndexOption && IsStandard(symbol))
-            {
-                expiryTime = exchangeHours.GetNextMarketOpen(expiryTime.Date, false);
-            }
 
             return true;
         }

diff --git a/Indicators/ImpliedVolatility.cs b/Indicators/ImpliedVolatility.cs
@@ -266,7 +266,7 @@ protected override decimal Calculate(IndicatorDataPoint input)
                 DividendYield.Update(time, _dividendYieldModel.GetDividendYield(time, UnderlyingPrice.Current.Value));
 
                 var timeTillExpiry = Convert.ToDecimal(
-                    OptionGreekIndicatorsHelper.TimeTillExpiry(Securities.Option.OptionSymbol.GetExpirationDateTime(OptionSymbol), time));
+                    OptionGreekIndicatorsHelper.TimeTillExpiry(Securities.Option.OptionSymbol.GetSettlementDateTime(OptionSymbol), time));
                 _impliedVolatility = CalculateIV(timeTillExpiry);
             }
 

diff --git a/Indicators/OptionGreekIndicatorBase.cs b/Indicators/OptionGreekIndicatorBase.cs
@@ -184,7 +184,7 @@ protected override decimal Calculate(IndicatorDataPoint input)
                 DividendYield.Update(time, _dividendYieldModel.GetDividendYield(time, UnderlyingPrice.Current.Value));
 
                 var timeTillExpiry = Convert.ToDecimal(
-                    OptionGreekIndicatorsHelper.TimeTillExpiry(Securities.Option.OptionSymbol.GetExpirationDateTime(OptionSymbol), time));
+                    OptionGreekIndicatorsHelper.TimeTillExpiry(Securities.Option.OptionSymbol.GetSettlementDateTime(OptionSymbol), time));
                 try
                 {
                     _greekValue = timeTillExpiry < 0 ? 0 : CalculateGreek(timeTillExpiry);

diff --git a/Tests/Common/Securities/Options/OptionSymbolTests.cs b/Tests/Common/Securities/Options/OptionSymbolTests.cs
@@ -90,10 +90,10 @@ private static IEnumerable<TestCaseData> ExpirationDateTimeTestCases()
         }
 
         [TestCaseSource(nameof(ExpirationDateTimeTestCases))]
-        public void CalculatesExpirationDateTime(Symbol symbol, DateTime expectedExpirationDateTime)
+        public void CalculatesSettlementDateTime(Symbol symbol, DateTime expectedSettlementDateTime)
         {
-            var expirationDateTime = OptionSymbol.GetExpirationDateTime(symbol);
-            Assert.AreEqual(expectedExpirationDateTime, expirationDateTime);
+            var settlementDateTime = OptionSymbol.GetSettlementDateTime(symbol);
+            Assert.AreEqual(expectedSettlementDateTime, settlementDateTime);
         }
     }
 }