Equity and Index Options Simulation

MesoSim backtests index options on SPX, RUT, and VIX, and equity options such as GLD. The contract's exercise style, root, and settlement convention matter when selecting expirations, scheduling exits, and interpreting projected risk.

This page explains how those contracts are represented in the simulator. Use the AI Job Editor to select an underlying and configure its strategy.

Supported Instruments

Index Options

• SPX — S&P 500 Index: 17 May 2010 onwards.
• RUT — Russell 2000 Index: 1 January 2012 onwards.
• VIX — Cboe Volatility Index: 1 January 2012 onwards.

These index options use European-style exercise and cash settlement. Consult the exchange's SPX specifications, RUT specifications, and VIX product information for the real-world contract terms.

Equity Options

Equity options include ETF options, such as GLD (SPDR Gold Shares ETF), with data from 1 January 2012 onwards.

These options use American-style exercise and delivery of underlying shares in the market. MesoSim represents expiration as a cash payoff, as explained below. For background on exercise and assignment, see the Options Industry Council's option lifecycle guide.

Check the Portal's Service Status for the latest loaded data and the Service Status guide for known data limitations. See Accounts and Access for plan availability.

Contract roots and expiration selection

A root identifies an option series within an underlying. The same underlying and expiration date can have different settlement conventions, so the root is part of the contract selection.

Underlying	Common roots	Settlement convention
SPX	SPX, SPXW	SPX: AM; SPXW: PM
RUT	RUT, RUTW	RUT: AM; RUTW: PM
VIX	VIX, VIXW	AM
Equity options (e.g., GLD)	Underlying's root, e.g., GLD	Expiration-day close in MesoSim

For example, add this root filter to an entry in Structure.Expirations to select SPXW contracts:

{
  "Name": "front",
  "DTE": "30",
  "Roots": {
    "Include": ["SPXW"]
  }
}

Keep your strategy's other expiration and leg settings. The expiration reference explains DTE ranges, root filters, and priorities when several contracts match.

Standard contracts for these instruments use a multiplier of 100: a one-point change in an option's quoted price corresponds to $100 per contract before costs. Set quantities through Structure.Legs and Entry.QtyMultiplier.

Exercise and settlement

Settlement timing

MesoSim distinguishes the end of trading from the settlement reference time:

Contract type	Last trading time used by MesoSim	Settlement reference
AM-settled index options	Session close before expiration	Opening-time reference on the settlement date
PM-settled index options	Session close on expiration day	Closing-time reference on expiration day
Equity options	Session close on expiration day	Closing underlying price, with cash payoff in MesoSim

Trading schedules follow the simulator's exchange calendar, including early closes. Use Timing and the Schedule reference to place entry and exit checks before the contract stops trading.

AM settlement uses the contract's settlement value. In particular, VIX settles through a Special Opening Quotation; the final value need not equal the displayed spot VIX at the open. See Cboe's VIX settlement explanation.

At expiration, MesoSim calculates the option payoff from the settlement price and strike, using the position's direction, quantity, and contract multiplier. Inspect Settlement and ExitTrade records in the Events Viewer to understand an expiration-based exit.

Equity option exercise handling

Equity option expiration produces cash in MesoSim

MesoSim settles equity options with a cash payoff instead of creating or delivering underlying shares. It does not simulate the subsequent stock position or automatic early exercise and assignment.

American-style pricing and exercise processing are separate features. A pricing model can account for early-exercise value without the simulator creating an assignment event.

To study a strategy that closes options before expiration, use Exit.Conditions for the whole position or RemoveLegsAdjustment for selected legs. These actions close options according to the configured execution model; they do not deliver shares.

Prices and projected risk

Backtest entries and exits use historical market data with your configured fill model, slippage, and commissions. Risk Graphs and the Options Valuation Model calculate projected values for a chosen time and underlying price.

Projected valuation uses these pricing models:

• European-style options: Black-Scholes-Merton (BSM).
• American-style options: Cox-Ross-Rubinstein (CRR).

Use Position Monitor to inspect projected PnL and Greeks across prices and horizons. Compare scenarios using the same contract roots, expiration times, and position state.

For full strategies with analysis, visit the Deltaray blog. The Strategy Library provides examples you can open in MesoSim.