Time of day to trade.

Quote from xflat2186:

There is more edge in my hobby business of buying and selling Porsches then there is in options these days.
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I painted my front Porsche red. Interested in it?
 
THere is no edge in trying to speculate on knee jerks at any hour.

What kind of Porsche do you have I make markets in all models and years.
 
There are implied 'edges' with trading specific times of day. What time you should trade really depends on what type of system you trade, ie what types of markets work best for the system. Simple backtesting quickly shows that market conditions vary depending on the time of session.

Intuitively you would imagine the volume and reasoning for trades during the first few minutes of the day will be different from that last few minutes or the lunch hour, etc etc.

That being said I'd venture a guess that you could see predictable varations (in price action, not price) based day of week or day of month. Specifically looking at the start and end of different trading periods (expiries, rolls, etc)
 
Quote from xflat2186:

What kind of Porsche do you have I make markets in all models and years.
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It's your basic front Porsche... the kind everyone likes in front of their house

:)
 
Quote from walterjennings:

There are implied 'edges' with trading specific times of day. What time you should trade really depends on what type of system you trade, ie what types of markets work best for the system. Simple backtesting quickly shows that market conditions vary depending on the time of session.

Intuitively you would imagine the volume and reasoning for trades during the first few minutes of the day will be different from that last few minutes or the lunch hour, etc etc.
More...
In somewhat illiquid stocks, you can see a pronounced effect of disparate volumes at the open. Often, you will also see it near the close as traders rush to open or close positions. And of course, lunch the three martini lunch can often induce an extended dead zone - like now and I'm BORED.!!! :)
 
Quote from walterjennings:

There are implied 'edges' with trading specific times of day. What time you should trade really depends on what type of system you trade, ie what types of markets work best for the system. Simple backtesting quickly shows that market conditions vary depending on the time of session.

Intuitively you would imagine the volume and reasoning for trades during the first few minutes of the day will be different from that last few minutes or the lunch hour, etc etc.

That being said I'd venture a guess that you could see predictable varations (in price action, not price) based day of week or day of month. Specifically looking at the start and end of different trading periods (expiries, rolls, etc)
More...


There is no inherent edge in option pricing based on time of day. Your perception that the underlying offers you some sort of edge based on the time of day is an entirely different notion to that of there being any edge to options pricing based on time of day.
If there was any real edge in time of day it would easily have been arb’ed out of the market long ago.
 
Quote from xflat2186:

There is no inherent edge in option pricing based on time of day. Your perception that the underlying offers you some sort of edge based on the time of day is an entirely different notion to that of there being any edge to options pricing based on time of day.
If there was any real edge in time of day it would easily have been arb’ed out of the market long ago.
More...

Write an option system (doesn't matter if its profitable or not). Backtest it only using the first hour of trading, then backtest the same system from 12PM to 1PM EST. I'd bet you'd see a noticeable difference in the performance, whether it is better or worse would depend if the system likes low volatility over high.
 
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