Weekend Risk and Market Volatility Versus Weekdays

Weekend risk involves to primary option greeks, they are:

Gamma – Large Swings in the Underlying can change your risk

Vega – A Rise in volatility of the underlying and its options

Market moving events can happen to a greater event as compared to the time between the weekdays.  This is both the time factor of having more hours on a weekend versus the time of a weekday close.

The study seeks to find out if the average move or median absolute move is different over the weekend versus a weekday.  The moves were .1% and .05% for the weekend, versus .09-.1% and .04% for the weekdays.

There is a risk and slightly stronger numbers, but the take-away is to manage early, meaning if you can close Friday, why not?

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