Jun 17, 2015

Quick Note on MLKJ Day

While president Reagan signed the holiday into law in 1983, NYSE did not make it a full-day exchange holiday until 1998. Source.

If you are as anal meticulous as me about having proper implied volatility numbers, time to expiration (that is normal expected time to expiration) these things matter. The last time I checked popular financial library quantlib their US calendar implementation, it had MLKJ day as holiday every year, even before 1998.

1 comment:

  1. Did you run it by Luigi?

    Btw, quick question, I stumbled upon weekends contributing 25% more vol for Mon-Fri returns than other days.


    Aggregating up, I suggested using 22 days a month for scaling purposes.

    In any case, someone mentioned that that's widely used in the options market already.

    That true? First time I heard about it...