It is probbaly everyone knows, but a little discovery for me:
I plotted ATM IV for next two weeks of IWM and QQQ and “discovered” quite interesting trend – IV for Monday expirations are below Friday – even next week Monday IV is below this week Friday.
It's a bit counterintuitive (at least for me) – especially in today's environment where war/peace news are usually coming on weekends. I did expect that uncertainty would affect monday IV more than friday, but… It is quite the opposite.
Really confused still….anyone have a logical explanation?
Posted by staskh1966
1 Comment
because Friday is 7DTE and monday is 10DTE. but there is just 1 trading day difference. black scholes works with regular days, but prices take weekend less into account