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Op-Ex week, ES /SPY and Dax


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 markus1000 
Frankfurt
 
Experience: Beginner
Platform: Ninja Trader, TWS
Broker: Interactive Brokers, Mirus Futures
Trading: ES, TF, NQ, FDAX
Posts: 17 since Jul 2011
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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.

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  #3 (permalink)
Yangtrader
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markus1000 View Post
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.

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Last Updated on August 16, 2012


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