Why do Monday Expirations have lower IV than others?

Thanks for bringing this up by the way, very interesting point.

 

I doubt it.

 

So is that because realized vol over the weekend is less and the markdown on Fri is correctly reflecting that, which wouldn't seem to be collusion, just good business by MMs?

 

Well yeah, whether it's self-fulfilling herd behavior or actual collusion (which I have witnessed). I don't think that the motivation matters at all. I think the mkts are more efficient than they were when I witnessed it.

 

@destriero: I think you suggested to Sig, that making money off this "imbalance (pardon crappy terminology)" over weekend may prove illusive? (I hope not, but scratching my head)

 

YW: Trying to get more familiar with IV. -- Seems there is much to learn/see!

 

Nobody is trading off of paper sheets any longer so it's less choppy. You used to see vol drops on the hour and ofc we didn't have these 3x weeklies either. More players, bigger players, more efficient mkts.

 

%%
Sure can;
+some call it ''buy mondays'' also, because MON goes down so regular. Worked well on XLF last monday, but its really a short term trading signal. Mondays can easy go up/close up 4 mondays in a row/also. Good sell on xlf today.....................................................................

 

Unclear what your statement relates to as XLF has only Friday Expirations. Where do you find tradeable Monday expirations options for XLF?

 

How is the IV calculated? Do you use calendar days or business days?