Given time to expiry is part of the value of an option. When assessing the price, should only trading days be taken into account as on weekend and public holidays there can literally be no change to the underlying price.
However. That does not mean these days ‘don’t count’. For instance, Trump was almost killed on a Saturday which was a non trading day. Had the assassins bullet hit, markets would have gone into meltdown.
So whilst weekends and public holidays are non trading days, they are still days where events could occur that trigger higher volatility and price directional movements.
Does anyone factor this, and if so how much ?
Posted by wolfwolf6
1 Comment
That’s why many traders don’t hold positions over the weekend.
Of course weekends are accounted for in options prices. There are quant papers on weekend theta.