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Hi,
I may not have your answer, but if the model is using all 365 Callander
days then the 2 days decay over the weekend would seem to suggest to me
that buying on Friday may not be as good as waiting until Monday if all
things remain equal. Seldom though do things remain equal. A substantial
change in price or volatility will out weigh time decay every time. I have
wondered why they don't use trading days only to calculate decay. Probably
it has something to do with interest rates.
Maybe THE DOCTOR could shed some light on this.
Regards,
Brent
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> From: JamesinLA@xxxxxxx
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Subject: option decay
> Date: Friday, February 06, 1998 2:15 AM
>
> I read somewhere that you should avoid buying options on Fridays because
> option's decay is recalculated on Mondays. I'm skeptical about this. I
> always assumed decay is caculated every day. That's how it works on my
option
> calculating program. Anyone know about this? Thanks.
>
> Jim
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