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When my data frequency is daily, the triggering time of onData is only at midnight each day. Assuming a certain options contract expires on the 21st, onData will only trigger at 0:00 on the 21st and 0:00 on the 22nd. When it triggers at 0:00 on the 21st, the options contracts expiring at 4:00 PM on the same day do not have their final prices yet. When it triggers at 0:00 on the 22nd, the expired contracts have already been removed from the options chain, and I cannot access their final prices.
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Brian Crowley
An options contract value on expiration will be 100% intrinsic value and no extrinsic value, so you can just calculate the intrinsic value by taking the difference between the strike and the underlying close price.Â
HONGYUZHANG
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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