How to get PnL of expired SPX options in research?

To calculate the PnL of options held to expiration, you need to consider the settlement price of the options. In QuantConnect, you can use the GetOptionHistory method to get historical data for an entire Option chain. This method returns an OptionHistory object, which you can iterate through to get each slice in the OptionHistory object.

Here is an example of how you can use this method in Python:

qb = QuantBook()
option = qb.AddOption("SPX") 
option.SetFilter(-2, 2, 0, 90)
history = qb.GetOptionHistory(option.Symbol, datetime(2020, 6, 1), datetime(2020, 6, 5))

all_history = history.GetAllData()
expiries = history.GetExpiryDates() 
strikes = history.GetStrikes()

In the all_history DataFrame, you can find the settlement prices of the options. You can use these prices to calculate the PnL of the options held to expiration.

Please note that the settlement price of SPX options is determined by the opening prices of the individual stocks in the S&P 500 index, not the closing prices. Therefore, the daily close price of SPX may not match the actual settlement price of the options.

For more information, you can refer to the QuantConnect documentation on US Equity Options.