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To: OMM who wrote (39168)3/14/1998 4:58:00 PM
From: Sowbug  Read Replies (2) | Respond to of 61433
 
The amount of decay is really not tied to the specific weekend. ANY weekend produces three days of decay.

OMM, do you think that there's also a psychological effect of the option's status changing from SPFFE (Still Pretty Far From Expiration) to UOLTAMTE (Uh Oh, Less Than A Month Till Expiration)? That's not much of a scientific explanation, but it might explain any irregular change in time premium between the Friday and Monday surrounding expiration.



To: OMM who wrote (39168)3/14/1998 5:28:00 PM
From: Glenn D. Rudolph  Read Replies (1) | Respond to of 61433
 
That comment is a little rigid, but might be a useful rule of thumb. The amount of decay
is really not tied to the specific weekend. ANY weekend produces three days of decay.

This is true but the weekend of expiration the decay is very large compared to other weekends.

Also decay grows larger as you approach
expiration.

This of course is true too.

Glenn


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