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發表於 2020-10-23 07:38:43 | 顯示全部樓層 |閱讀模式


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https://www.elitetrader.com/et/t ... er-weekends.351639/

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 樓主| 發表於 2020-10-23 07:41:08 | 顯示全部樓層
本帖最後由 sec2100 於 2020-10-23 07:42 編輯



Thanks for replying! It sounds like they came to the same conclusion - while decay may be there, it's compensated/overshadowed by the added volatility over the weekends.

"As it turns out, there is risk that exists over the weekend, because the standard deviation range for weekends (Friday to Monday) during the period studied was +/- 0.75%. The hosts basically extrapolated from the data that a given option’s premium already accounts for weekends.

Therefore, there doesn't appear to much advantage (if any) to deploying a strategy that focuses on adding theta just for weekends - for example, placing a trade on Friday with the intention of taking it off on Monday."

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發表於 2020-10-23 13:57:05 | 顯示全部樓層
這樣是合理的,雖然有隱含time decay,但theta僅是其一之因子,在兩個仍可能有極端風險的未交易日,預期心理導致vega增加是可被理解的。直致週一,若風平浪靜,vega and theta一併反映在option value上。
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