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There's a lot of discussion on theoretical option models and whether they
take weekends into account.
Models are not options. Models are a "best guess" methodology and are
useful for apples to apples comparisons between options are are useful to
calculate *probabilities* (not assurances) of how options will behave
given a change in the underlying, volatility, interest rates, time, etc.
But ultimately, options are priced based on supply and demand. Always have.
Always will be.
And as to the question of whether options decay over the weekend, don't ask
your model. Ask an option. This President's Day, get a few quotes for the
Friday close and then get some quotes on the next Tuesday open. Discounting
the change in the underlying, was the option's "theta" turned on or turned
off?
That will settle it once and for all.
-Richard
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