Hello all,
I am attempting to perform a quant analysis on (weekly) stock options premiums around their earnings.
My question is in regards to how anyone here would go about adjusting the premium for options with more or less time to expire. Essentially, remove the time from the equation.
For example. Say it’s Monday, the company earnings were out after close, and I was looking at the stocks option expiring Friday. The options would have a certain premium already for the time, plus the…