Settle expiry options at intrinsic value like live exchange.

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/tests/test_p1_p2_rules.py

@@ -145,13 +145,24 @@ def test_expiry_close() -> None:
 
 
 def test_option_intrinsic_and_close_bid_floor() -> None:
-    from app.sim.pricing import option_intrinsic, resolve_option_close_bid
+    from app.sim.pricing import (
+        option_expiry_settle,
+        option_intrinsic,
+        resolve_option_close_bid,
+    )
 
     assert option_intrinsic(option_side="call", strike=1860, spot=1882) == 22.0
     assert option_intrinsic(option_side="put", strike=1860, spot=1882) == 0.0
     assert option_intrinsic(option_side="put", strike=1860, spot=1840) == 20.0
 
-    # 到期垃圾买一 0.2，内在价值 22 → 抬到 22
+    # 到期：严格按内在价值，无滑点
+    settled = option_expiry_settle(intrinsic=22.0, qty_eth=2.0, fee_rate=0.0005)
+    assert settled.fill_px == 22.0
+    assert settled.slip == 0.0
+    assert settled.notional == 44.0
+    assert abs(settled.fee - 44.0 * 0.0005) < 1e-12
+
+    # 紧急垃圾买一 0.2，内在价值 22 → 抬到 22
     assert (
         resolve_option_close_bid(
             bid=0.2, mark=0.2, intrinsic=22.0, bypass_liquidity=True