How many trading days in the year for options on futures?

Discussion in 'Options' started by maxima120, Mar 12, 2013.

  1. all the quant formulas require T = days_left / trading_days_year

    I looked into CME calendar and counted 12 so I entered in my neat excel spreadsheet :) =days_to_expiration/(365-12)

    what would you use to calculate T for CME options on futures (ES for one example)?

    is there a bulletproof calendar for options of all kinds?
  2. 3.50
  3. sle


    Actually, getting a volatility day-count basis for futures is a pretty tricky question. First of all, how do you treat overnight sessions? Do you count Sunday as a full trading day, or maybe as a partial one? What do you do for US holidays when the floor is closed, but Globex might be open?

    Most people I know just assume that equity derivatives will have the same basis as the NYSE (252 business days) and commodity/FI futures will have the same basis as the pit (250 business days). Unless you are making markets in something really short-dated, the day-count basis should not be that big of a deal.
  4. Thank you. Most tradable contracts on CME are few days long....

    So this is why I am asking (because I know it is important on such short terms)..

    I even have a hunch that people calculate portion of day during day-trading sessions...
  5. CME published commodity futures options parameters (including delta, volatility etc which they publish on the web and for clearing) appear to me to use about 365 days per year. So I think they use that in their model. I am using it. It vastly simplifies your calculations to use calendar days.

    Except for very short periods (in which case the model is pretty doubtful anyway), it actually does not matter much whether you use 250 or 365 as long as you use it consistently across all of your calculations. For example, you cannot mix a volatility calculated using 365 with a delta calculated using 250.

    Thus we hear the question, "who's delta is that?"
  6. I have CME equotes. you can pick between trading and calendar days.