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I have done a fair amount of research into option pricing and have written
my own software to do options analysis.
As far as I know, option pricing is based on calendar days remaining.
I think that you can arrive at this conclusion logically yourself.
Say you were to sell an option. You have 2 choices, 1) at the close on Fri
or 2) at the open on Mon.
Now all other factors being equal, would you want more money for the option
on Fri than on Mon? Remember, there are 2 days during which you are
holding a naked option where events can transpire that will affect the
price of the underlying.
I don't know about you, but I would sure want more on Fri than on Mon.
Regards,
Paul Weston
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