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HockeyPlayer


Total Posts: 122
Joined: Nov 2005
 
Posted: 2017-06-22 20:49

For CME's futures options, do most participants use a 365 day convention or a 252 day convention?

Then within each day, is it usual to only take out time during the active trading hours (say 5:00-14:30 ET) each day or do you take out time according to the wall time passing?

HockeyPlayer


Total Posts: 122
Joined: Nov 2005
 
Posted: 2017-06-26 22:36
There are several related discussions on Quant StackExchange, including this one, which has this interesting paragraph:

“What some desks, especially in equities implement is an elastic time. That means they weight time depending on much they believe the market will move relative to other days. So for instance any day with foreseeable volatility due to some number announcements (results or nonfarm payroll) will have a heavier weight. That means that on these days your options will have more decay, which is fair given that the market is expected to move more as well. However these are very subtle considerations for large volume market-making desks.”

Anyone using elastic time for options market making on futures?
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