SPX-Traditional Use the Opening Sales Price To Calculate the Exercise-Settlement Value

[AlexCatarino]

Expected Behavior

The Exercise-Settlement Function uses the "opening sales price" for SPX. https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf

Actual Behavior

All options use the close of the underlying.

Potential Solution

Review implementation.

Reproducing the Problem

I suggest placing the orders to Interactive Brokers manually (for SPX, VIX, NDX) on Feb 16th to observe the result. We have verified for SPY and SPXW

to confirm that "opening sales price" is the open value (since it's not tradable) of SPX

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues
• [x] I have provided detailed steps to reproduce the issue

[Martin-Molinero]

See https://github.com/QuantConnect/Lean/issues/8050, the solution could be abstraction on exercise price to use