Questions tagged [expiration]

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Is there any relationship between the straddle range and the trading range?

The short straddle has 2 breakeven points. It’s profit zone is between those breakeven points and I would call it the straddle range. A straddle is sold which has X days to expiration. The underlying’...
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0answers
63 views

Best way to measure time to expiration for options?

From my reading it seems that only trading days should be accounted for when calculating time to expiration. On the other hand, I see that VIX is calculated using every day until expiration without ...
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0answers
34 views

Intraday "Time to expiration" for Black-Scholes on the expiration day

In Black-Scholes, T is the % of year, how do we calculate T intraday on the expiration day? Does the expiration happen at the exact moment of that trading session? For example, for SPXW options that ...
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42 views

Volatility forecast on SPX option expiration day

I am looking for methods and papers on forecasting SPX option at-the-money implied volatility or realized volatility within its expiration day. What are some stylized facts and forecasting methods?
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0answers
74 views

Understanding Options strategies pros and cons

I have been trying to understand options and how to choose Strike prices and Expiration dates as well as the greeks, but I'm not sure I get it. I've ignored volatility or vega for now. From what I've ...
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1answer
128 views

What is the difference between exercise and expiry date?

I know in American options you can exercise the options at any time before expiry date but in European options you can only exercise the options on expiry day. On National Stock Exchange of India the ...
1
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1answer
77 views

How to understand firm option expiration cycle?

Here I am trying to understand the firm option expiration cycle: When I read Investopedia, it says: Most of stock options are on one of three expiration cycles, which consists of one month per ...
5
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1answer
140 views

Which securities have expirations more often than monthly?

I'd like to explore buying low-cost calls close to the money, so I'm looking for low time values in options premiums. This happens near options expiration. Unfortunately, most options expire on the ...
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1answer
75 views

Future expiry day of month rules

Some futures (most currencies, indices) expire on the 3rd Friday of the month. Are there similar rules for other futures like commodities, metals, energies, etc.? Regards,
1
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0answers
291 views

QuantLib in Python, are there any existing methods to handle the options delta on expiration day?

Tried [ql.Settings.instance().includeReferenceDateEvents = True] and it works for the calculation of NPV using intrinsic value of the option. But Delta is nan for an in-the-money option. I understand ...
2
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4answers
2k views

CME gold futures, do expiries follow any rule?

CME has a gold future expiration calendar: http://www.cmegroup.com/trading/metals/precious/gold_product_calendar_futures.html , which lists future contracts and their corresponding expiration date. ...
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1answer
78 views

Need a reliable source of futures expiration dates

I am trying to determine (programmatically) what the current front month contract for a given futures symbol is. I would guess that all futures contracts expire on a standard time relative to their ...
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2answers
788 views

How do I calculate the probability of a short option position expiring worthless?

I want to be able to determine the probability of a short option position (call or put) expiring worthless. Don't know where to start but I see probabilities derived from the greeks on some web sites?...
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1answer
93 views

How should I understand expiration dates?

The following is an excerpt from Introduction to the Mathematics of Finance by Roman: Expiration Dates The last trading day of an option is the third Friday of the expiration month and the ...
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2answers
2k views

Why do some stock options have expiration dates for a given month, while others don't?

Take two stocks, WWE and XPO, both traded on NYSE. Today, May 28, 2014, XPO has options expiring August 2014... ...while WWE doesn't: Why is that? From my experience, the missing expiration month ...
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1answer
125 views

how market makers set the time factor to calculate option greeks on the expiration day?

how market makers set the time factor to calculate option greeks on the expiration day? does they set time equal 1/24or 2/24 when only 1hour or 2hour left? what frequency market makers update new time ...