How to handle option expirations ?

Ali Yakamercan

Would custom observer be a viable solution ?

backtrader

The answer to the question probably needs some extra background information.

What is exactly meant with "handling of options expirations"?

Ali Yakamercan

Multiple data feeds first one underlying and rest of the data streams are options at different strikes and expirations.

Back testing runs from day T to day T+100. I buy a call option which expires T+25 on T+5 and never close the position.

My question is how does the position close it self and adjust account value correctly ? I guess it would be different for cash settled options (easier maybe).

backtrader

Positions on assets don't close themselves. A buy action, for example, needs a corresponding sell action to close the position.

One possibility to consider would be that data feeds could carry a tag to indicate an expiration datetime, which the broker could honour to close the position.

But there is something puzzling in your message:

Back testing runs from day T to day T+100

On T+5 an option which expires on T+25 is bought

What happens during T+26 and T+100? Because the option is already gone at T+25?
Do you have something like continuous option prices?

Ali Yakamercan

New positions can be opened closed between T+26 and T+100, but nothing related to expiring option. It doesn't get rolled or anything. I have continuous option prices(until expiration of course).

Figuring/carrying expiration date is not my main concern. I am wondering how to sell at the correct value when it expires, last price of the option doesn't necessarily indicate correct settlement value.

At each next do I check if it is past expiration for all open positions and then close accordingly ? How will the trade go thru if there is no data (because it's past expiration) ?