Op-Ex week, ES /SPY and Dax

August 16th, 2012, 10:47 AM

Hey, has somebody written a formula that identifies Opex days and weeks for different markets?

Lets say i want to run a backtest, and i want to only trade during Op-ex weeks or on a specific day of opex week.

August 16th, 2012, 11:43 AM

markus1000

Hey, has somebody written a formula that identifies Opex days and weeks for different markets?

Lets say i want to run a backtest, and i want to only trade during Op-ex weeks or on a specific day of opex week.

I would look at think or swim platform, they have a thinkback feature which allows you to get daily closing prices from a backdated calendar. So you could see how a short straddle for example would work if you put it on monday.
Thats about the best thing I can think of of the top of my head, otherwise you have to get option data and write it up in excel quite a job.

Op-Ex week, ES /SPY and Dax

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Op-Ex week, ES /SPY and Dax