Time value over the holidays?

D

dylan57

With no trading on Christmas and shortened trading days on christmas eve and the day after Christmas, what will happen to the time value of an option with a theta of 0.15? Will the value of the option decrease because of the shortened and closed trading days? Or are these days already factored into the price?
 
Quote from dylan57:

With no trading on Christmas and shortened trading days on christmas eve and the day after Christmas, what will happen to the time value of an option with a theta of 0.15? Will the value of the option decrease because of the shortened and closed trading days? Or are these days already factored into the price?
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Theta is the theoretical time decay.
Your option will decay 15 cents per calendar day. Half-days do not matter. A calendar day is a calendar day. But theta is not constant and will change by a small amount every day.

The market makers know the holiday is coming also. Thus, it's likley they have already built in a slight decrease in the price of all options to account for what everyone knows is coming.

Mark
http://blog.mdwoptions.com/options_for_rookies/
 
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