FcgiWrap missing parameters - Nagios Install

Question

I am trying to setup Nagios on my server which is set up to run NGINX and PHP-FPM.

The nginx-config file for my site is:

server {

    listen 80;
    listen [::]:80;

    root /var/www/nagios;

    index index.html index.htm index.php;

    auth_basic "Nagios Restricted Access";
    auth_basic_user_file /usr/local/nagios/etc/htpasswd.users ;

    server_name <hidden for stackoverflow>;

    location / {
            root /var/www/nagios/html;
            try_files $uri $uri/ =404;
    }

    location ~ \.cgi$ {
            gzip off;
            root /var/www/nagios/cgi;
            include fastcgi_params;
            fastcgi_param DOCUMENT_ROOT $document_root;
            fastcgi_param SCRIPT_FILENAME $document_root$fastcgi_script_name;
            fastcgi_param SCRIPT_NAME $fastcgi_script_name;
            fastcgi_param AUTH_USER $remote_user;
            fastcgi_param REMOTE_USER $remote_user;
            fastcgi_pass unix:/var/run/fcgiwrap.socket;
    }

    location ~ \.php$ {
            root /var/www/nagios/html;
            try_files $uri =404;
            fastcgi_split_path_info ^(.+\.php)(/.+)$;
            fastcgi_pass 127.0.0.1:9000;
            fastcgi_index index.php;
            fastcgi_param SCRIPT_FILENAME $document_root$fastcgi_script_name;
            include fastcgi_params;
    }

    location ~ /\.ht {
            deny all;
    }
}

Nagios is installed at /var/www/nagios/. The PHP-files and html are located at /var/www/nagios/html.

The CGI files are located at /var/www/nagios/cgi/

However, when I try to run Nagios, I get 403 forbidden on all .cgi file pages.

And when I try service fcgiwrap status I get the following error:

Cannot get script name, are DOCUMENT_ROOT and SCRIPT_NAME (or SCRIPT_FILENAME) set and is the script executable?

There are no errors thrown in the nginx error.log

All files in /var/www/nagios/cgi are executable, and owned by www-data:www-data as they are in /var/www/nagios/html.

I have no clue where to go from here. Any tips?

UPDATE:

I found out that all of the CGI files are linked like this: http://example.com/nagios/cgi-bin/status.cgi

When I access these I get to 403 Forbidden error, but if I go to http://example.com/status.cgi, it works.

So I guess my new question is: How can I change my rewrite rule so that nagios/cgi-bin/status.cgi is rewritten to local path of /var/www/nagios/cgi/status.cgi?

I guess, $fastcgi_script_name passes along the entire path of nagios/cgi-bin/status.cgi right now.