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

Common/Securities/IndexOption/IndexOptionSymbol.cs

@@ -73,17 +73,25 @@ public static bool IsStandard(Symbol symbol)
                 case "NQX":
                 case "SPXW":
                 case "RUTW":
-                // they have weeklies and monthly contracts
-                // NQX https://www.nasdaq.com/docs/NQXFactSheet.pdf
-                // SPXW https://www.cboe.com/tradable_products/sp_500/spx_weekly_options/specifications/
-                // RUTW expires every day
-                return FuturesExpiryUtilityFunctions.ThirdFriday(symbol.ID.Date) == symbol.ID.Date;
+                    // they have weeklies and monthly contracts
+                    // NQX https://www.nasdaq.com/docs/NQXFactSheet.pdf
+                    // SPXW https://www.cboe.com/tradable_products/sp_500/spx_weekly_options/specifications/
+                    // RUTW expires every day
+                    return FuturesExpiryUtilityFunctions.ThirdFriday(symbol.ID.Date) == symbol.ID.Date;
                 default:
                     // NDX/SPX/NQX/VIX/VIXW/NDXP/RUT are all normal contracts
                     return true;
             }
         }
 
+        /// <summary>
+        /// Returns true if the index option is AM settled
+        /// </summary>
+        public static bool IsAMSettled(Symbol symbol)
+        {
+            return !_nonStandardIndexOptionTickers.Contains(symbol.ID.Symbol.LazyToUpper());
+        }
+
         /// <summary>
         /// Checks if the ticker provided is a supported Index Option
         /// </summary>
@@ -107,7 +115,7 @@ public static bool IsIndexOption(string ticker)
         /// <returns>Index ticker</returns>
         public static string MapToUnderlying(string indexOption)
         {
-            if(_nonStandardOptionToIndex.TryGetValue(indexOption.LazyToUpper(), out var index))
+            if (_nonStandardOptionToIndex.TryGetValue(indexOption.LazyToUpper(), out var index))
             {
                 return index;
             }

Common/Securities/Option/OptionSymbol.cs

@@ -76,7 +76,7 @@ public static bool IsWeekly(Symbol symbol)
         /// <returns>The underlying ticker</returns>
         public static string MapToUnderlying(string optionTicker, SecurityType securityType)
         {
-            if(securityType == SecurityType.FutureOption || securityType == SecurityType.Future)
+            if (securityType == SecurityType.FutureOption || securityType == SecurityType.Future)
             {
                 return FuturesOptionsSymbolMappings.MapFromOption(optionTicker);
             }
@@ -133,11 +133,22 @@ public static DateTime GetSettlementDateTime(Symbol symbol)
                 throw new ArgumentException($"The symbol {symbol} is not 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))
+            // Standard index options are AM-settled, which means they settle on market open of the expiration date.
+            // Non-standard tickers (e.g. SPXW, RUTW) are always PM-settled, even when expiring on the 3rd Friday.
+            if (expiryTime.Date == symbol.ID.Date.Date
+                && symbol.SecurityType == SecurityType.IndexOption
+                && IsStandard(symbol)
+                && IndexOptionSymbol.IsAMSettled(symbol))
             {
                 expiryTime = exchangeHours.GetNextMarketOpen(expiryTime.Date, false);
             }
+            // 0DTE PM-settled index options expire at 4:00 PM ET, not the regular 4:15 PM ET (CBOE spec)
+            else if (expiryTime.Date == symbol.ID.Date.Date
+                && symbol.SecurityType == SecurityType.IndexOption
+                && !IndexOptionSymbol.IsAMSettled(symbol))
+            {
+                expiryTime = expiryTime.Date.Add(TimeSpan.FromHours(15));
+            }
 
             return expiryTime;
         }

Tests/Common/Securities/Options/OptionSymbolTests.cs

@@ -16,6 +16,7 @@
 using System;
 using System.Collections.Generic;
 using NUnit.Framework;
+using QuantConnect.Securities.IndexOption;
 using QuantConnect.Securities.Option;
 
 namespace QuantConnect.Tests.Common.Securities.Options
@@ -82,11 +83,20 @@ private static IEnumerable<TestCaseData> ExpirationDateTimeTestCases()
 
             var pmSettledIndexOption = Symbol.CreateOption(Symbols.SPX, "SPXW", Market.USA, OptionStyle.European,
                 OptionRight.Call, 200m, new DateTime(2016, 02, 12));
-            yield return new TestCaseData(pmSettledIndexOption, new DateTime(2016, 02, 12, 15, 15, 0));
+            yield return new TestCaseData(pmSettledIndexOption, new DateTime(2016, 02, 12, 15, 0, 0));
 
             var amSettledIndexOption = Symbol.CreateOption(Symbols.SPX, "SPX", Market.USA, OptionStyle.European,
                 OptionRight.Call, 200m, new DateTime(2016, 02, 18));
             yield return new TestCaseData(amSettledIndexOption, new DateTime(2016, 02, 18, 8, 30, 0));
+
+            // 3rd Friday cases: SPX is AM-settled, SPXW is PM-settled even on the same date
+            var spxThirdFriday = Symbol.CreateOption(Symbols.SPX, "SPX", Market.USA, OptionStyle.European,
+                OptionRight.Call, 200m, new DateTime(2016, 02, 19));
+            yield return new TestCaseData(spxThirdFriday, new DateTime(2016, 02, 19, 8, 30, 0));
+
+            var spxwThirdFriday = Symbol.CreateOption(Symbols.SPX, "SPXW", Market.USA, OptionStyle.European,
+                OptionRight.Call, 200m, new DateTime(2016, 02, 19));
+            yield return new TestCaseData(spxwThirdFriday, new DateTime(2016, 02, 19, 15, 0, 0));
         }
 
         [TestCaseSource(nameof(ExpirationDateTimeTestCases))]
@@ -95,5 +105,38 @@ public void CalculatesSettlementDateTime(Symbol symbol, DateTime expectedSettlem
             var settlementDateTime = OptionSymbol.GetSettlementDateTime(symbol);
             Assert.AreEqual(expectedSettlementDateTime, settlementDateTime);
         }
+
+        [TestCase("SPXW")]
+        [TestCase("RUTW")]
+        [TestCase("VIXW")]
+        [TestCase("NDXP")]
+        [TestCase("NQX")]
+        public void ZeroDTEPMSettledIndexOptionsExpireAt4PM(string ticker)
+        {
+            var expiry = new DateTime(2024, 1, 5); // regular Friday
+            var underlying = Symbol.Create(IndexOptionSymbol.MapToUnderlying(ticker), SecurityType.Index, Market.USA);
+            var option = Symbol.CreateOption(underlying, ticker, Market.USA, OptionStyle.European, OptionRight.Call, 200m, expiry);
+
+            var settlement = OptionSymbol.GetSettlementDateTime(option);
+
+            Assert.AreEqual(expiry.Date.AddHours(15), settlement);
+        }
+
+        // AM-settled: SPX, NDX, RUT, VIX -> settle at market open on expiry day
+        // PM-settled: SPXW, RUTW, VIXW, NDXP, NQX -> always settle at market close
+        [TestCase("SPX", true)]
+        [TestCase("NDX", true)]
+        [TestCase("RUT", true)]
+        [TestCase("VIX", true)]
+        [TestCase("SPXW", false)]
+        [TestCase("RUTW", false)]
+        [TestCase("VIXW", false)]
+        [TestCase("NDXP", false)]
+        [TestCase("NQX", false)]
+        public void IsAMSettledClassifiesAllIndexOptionTickers(string ticker, bool expectedAMSettled)
+        {
+            var option = Symbol.CreateOption(Symbols.SPX, ticker, Market.USA, OptionStyle.European, OptionRight.Call, 200m, new DateTime(2016, 02, 19));
+            Assert.AreEqual(expectedAMSettled, IndexOptionSymbol.IsAMSettled(option));
+        }
     }
 }

Tests/Indicators/DeltaTests.cs

@@ -131,6 +131,27 @@ public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, Optio
             Assert.AreEqual(refDelta, (double)indicator.Current.Value, 0.0017d);
         }
 
+        [Test]
+        public void IVAndDeltaAreNonZeroForPMSettledIndexOptionOnExpirationDay()
+        {
+            // SPXW expiring on the 3rd Friday is PM-settled (15:15 CT),
+            // so at 10 AM the contract still has time value — IV and Delta must be non-zero.
+            var thirdFriday = new DateTime(2016, 02, 19);
+            var spxwSymbol = Symbol.CreateOption(Symbols.SPX, "SPXW", Market.USA, OptionStyle.European,
+                OptionRight.Call, 1900m, thirdFriday);
+
+            var delta = new Delta(spxwSymbol, 0.005m, 0.02m, optionModel: OptionPricingModelType.BlackScholes,
+                ivModel: OptionPricingModelType.BlackScholes);
+
+            var currentTime = new DateTime(2016, 02, 19, 10, 0, 0);
+            delta.Update(new IndicatorDataPoint(spxwSymbol, currentTime, 20m));
+            delta.Update(new IndicatorDataPoint(spxwSymbol.Underlying, currentTime, 1900m));
+
+            Assert.IsTrue(delta.IsReady);
+            Assert.IsTrue(delta.ImpliedVolatility.Current.Value > 0);
+            Assert.IsTrue(delta.Current.Value > 0);
+        }
+
         [TestCase(0.5, 470.0, OptionRight.Put, 0)]
         [TestCase(0.5, 470.0, OptionRight.Put, 5)]
         [TestCase(0.5, 470.0, OptionRight.Put, 10)]