Intraday pricing model

[stepandfetchit]

I didn't mean to use quotes during non-trading hours, but whether to take non-trading hours into decay. For example, if an SPX option is trading and will expire tomorrow, do you consider DTE to be just the trading hours left or trading + non-trading hours left. I think that was what newwurld was referring to.

Time to expiration is simple. It is merely time to expiration (calendar time, not trading time). If you use the proper IV for points into the future BSM is perfect, however, I find it difficult to precisely predict IV changes over time. {AKA: Impossible to precisely predict future implied volatility}
I find it interesting that Monday SPX expirations seem consistently lower in IV than other expirations. -- don't think that information has much value, however.