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Strategies & Market Trends : Ask DrBob -- Ignore unavailable to you. Want to Upgrade?

To: PAL who wrote (13)8/17/2000 2:03:06 PM
From: Louis V. Lambrecht  Respond to of 100058
 
PAL - options premiums

Time decay accelerates indeed when you near expiration.
Options players usually roll their options at the end of the calendar month.
I have not enough observations (always forget to save those files) to thell wether:
- the roll day is the last day of the month
- or the last Fri of the month
- or 3 weeks before expiration
- or 2 weeks before expiration.
On many observations though, OI dropped significantly on the change of the calendar month.


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