How to calculate daily Implied Volatility?

[longthewings]

The difference between 252 and 365 is huge.

Hours only matter when you start getting to a few days away from expiration.

Most market makers will use hours and will even tweak their implied levels for weekend and holiday volatility. They also study close to open expected volatility through a variety of measures.

Unless you are running a highly leveraged book (like a MM or a vol stat arb book), I think it's overkill. Personally, I use 256 days/year because it's a reasonable enough approximation and I can use 16 as my benchmark.

Good stuff. So the way I do it right now is "on the clock." My pricing spreadsheet uses minutes to expiration. I'll usually reprice hourly or as needed. The main question I have concerns weekends. The way I do it now is starting on Thursday, I'll tweak my clock to begin removing an extra day (Saturday). By the close on Thursday, Saturday has been removed. Same thing on Friday. By close on Friday, my time to expiration is now showing Sunday evening (when futures will reopen).

Is this a reasonable approach or is there a superior way in your opinion?