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To: Sowbug who wrote (39182)3/14/1998 6:22:00 PM
From: Glenn D. Rudolph  Respond to of 61433
 
The amount of decay is really not tied to the specific weekend. ANY weekend produces
three days of decay.

I wanted to say there is not any serious decay on any other weekend. Granted the weekend is two days but it does not reduce the amount of trading days. A typical Friday to a Monday is the same as a Wednesday to a Thursday except expiration day, or course.

Glenn



To: Sowbug who wrote (39182)3/15/1998 7:50:00 AM
From: OMM  Respond to of 61433
 
Perhaps there is a psychological effect at work, but the decay should not be larger than the weekends 1, 2, and 3 weeks before expiration. Of course if volatilities come in, then it will also look like the decay was pronounced. Maybe there is a phenomenon at work that vols go down a bit around expiration. That would explain what Glenn is observing. I have not looked at implied volatilities around expiration on a regular basis.

OMM


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