Time value lost overnight and during trading day - more in either?

[Brennen81]

Hello all,

I am very curious as if there is a significant difference between the time value lost from a) close to open and from b) open to close during the trading day. Assuming all else remained equal (stock price, volatility, etc). Any thoughts? studies? I do know there can be so many variables to affect it, but thought I would see the general consensus would be.

Thanks!

 

[A Dashing Blade]

None lost intra-day unless the instrument is continuously settled.

ie any trade I do today is settled after COB ie at a single point in time.

 

[Brennen81]

None lost intra-day unless the instrument is continuously settled.

ie any trade I do today is settled after COB ie at a single point in time.

Thank you for responding. I am asking in regards to equity and index options. I am a little junior and do not really understand what you meant.

 

[jsc]

Not sure what you asking exactly.

The Time value of an Option is continually decreasing as it draws closer to expiry, but it is not factored into the price by the minute or on an hourly basis.

The price of an Option changes regularly due to a lot of factors. You cannot really assume other factors all remain equal because they never do. You need to grasp implied volatility so have a look at that first...

 

[A Dashing Blade]

Thank you for responding. I am asking in regards to equity and index options. I am a little junior and do not really understand what you meant.

Legal ownership of any financial instrument is transferred on settlement date. In fact this is actually (usually?) a date AND a time.

Thus, the time value of a derivative is not calculated as continually depreciating but rather as "stepping" down where the steps occur at the time of each settlement date.

The intra-day carry between purchase time and settlement time (if less than a day) doesn't exists.

This is all to do with the legal realities of transferring ownership.