The Traderszone Network

Published in TZ Latest News 17 February, 2017 by The TZ Newswire Staff

Option Time Value Calculation

Hello,

In IB TWS they have a time value column which is displayed as an annualized percentage. This calculation uses all days, not just trading days. (I confirmed with them a moment ago.) So doing it this way, two different expiry’s in the same week appear to have less or more value when they really don’t.

For example. Today is Friday, Monday is a holiday. There are 2 expiry’s next week for the SPY, Wednesday and Friday. Besides today, Wednesday has 2 trading days, and Friday has 4 trading…

read more