NBS on Nostr: Touched on this earlier, expanding on it here. When a president dies, a day of ...
Touched on this earlier, expanding on it here.
When a president dies, a day of mourning is announced where the markets close for a day. To a derivatives market maker, this is is very difficult to handle.
Derivatives expire on a given day in the future, so when that day disappears and becomes a market holiday, what happens?
First, all derivatives expiring that day get pushed forward to the day before the closed date. Since every day the market can move, that impacts volatility…
Continued.
When a president dies, a day of mourning is announced where the markets close for a day. To a derivatives market maker, this is is very difficult to handle.
Derivatives expire on a given day in the future, so when that day disappears and becomes a market holiday, what happens?
First, all derivatives expiring that day get pushed forward to the day before the closed date. Since every day the market can move, that impacts volatility…
Continued.