weekend/holiday Time decay.

M

maninjapan

Guys, I know this has been dealt with multiple times, but I was wondering if anyone had read or knew of any specific research papers or similar that has specifically dealt with this matter.

Where does most of it come out? How much if any decay occurs between the friday close/ monday open?

Thanks
 
Quote from maninjapan:
----this has been dealt with multiple times....
----Where does most of it come out? How much if any decay occurs between the friday close/ monday open?
More...
1) The theta can tend to be "pressured" on and before Friday so that there isn't too much "free money" given away on Monday's open. :cool:
2) You have to be aware of a possibility that gamma scalpers may bid/offer the market up/down a lot in order to scare away the "premium sellers" before a 3-day weekend. :eek:
 
Revisting this topic (again.....)
I'm trying to figure out why a short, market neutral option strategy, front month only, based on day of the week profitability is most profitable for me on Mondays but break even at best for thursday friday. (over 6 months of data).
If weekend theta is out before the end of the week, why are most of my profits coming in on Mondays..... I would have thought that over the long run, Fridays at least would be profitable due to the extra theta......
(Im not arguing that weekend theta isnt out by the end of the week, Im just confused as to why my performance by day of the week is so good on Mondays and not on thursday/Fridays).
Any simple explanations for this?

Thanks
 
Quote from maninjapan:

If weekend theta is out before the end of the week, why are most of my profits coming in on Mondays..... I would have thought that over the long run, Fridays at least would be profitable due to the extra theta......
More...
Is it possible that your Monday gains are come from underlying movement?
 
Or lack there of.... I just did a very crude day by day range and true range breakdown. since the beginning of this year Monday has been the most quiet on average....
 
Quote from maninjapan:

Or lack there of.... I just did a very crude day by day range and true range breakdown. since the beginning of this year Monday has been the most quiet on average....
More...
Any chance you're blitzed on Friday and sober on Monday ??

:D
 
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