Deducting weekend days in Option DTE Calculation

peteqn62

New member
I create a 'Return on investment' column in the option chain to compare profitability of selling puts, the script is as following

def DTE = GetDaysToExpiration()-1;
def Strikeprice = GetStrike();
def ROI = bid/Strikeprice/DTE*360;

I notice that the output number become inaccurate on weekends, because on Saturday or Sunday, the calculation for this 'Day to Expiration' won't deduct weekend days, and stay as if it were still on last Friday. Is there a way to modify the script so when it is Saturday, DTE would minus 1 day; And when it is on Sunday, DTE would minus 2 days

In plain words, It would look something like

def DTE = if weekdays then GetDaysToExpiration()-1 else if Saturday then GetDaysToExpiration()-2 else if Sunday then GetDaysToExpiration()-3

A calendar isn't available in real time. There would need to be bars on Saturday and Sunday from which to work with. You can detect Sundays to a limited degree. This is accomplished by checking for forwardly offset trading in the futures market while the option itself is still stuck on Friday. It might only be useful for things like preparing for Monday on Sunday night though. Common liquidity issues with options further compound the problem, a given contract might not have even traded on Friday either. I am not aware of anything that trades on Saturdays, scans reveal no matching symbols.

Last edited:
I create a 'Return on investment' column in the option chain to compare profitability of selling puts, the script is as following

def DTE = GetDaysToExpiration()-1;
def Strikeprice = GetStrike();
def ROI = bid/Strikeprice/DTE*360;

I notice that the output number become inaccurate on weekends, because on Saturday or Sunday, the calculation for this 'Day to Expiration' won't deduct weekend days, and stay as if it were still on last Friday. Is there a way to modify the script so when it is Saturday, DTE would minus 1 day; And when it is on Sunday, DTE would minus 2 days

In plain words, It would look something like

def DTE = if weekdays then GetDaysToExpiration()-1 else if Saturday then GetDaysToExpiration()-2 else if Sunday then GetDaysToExpiration()-3

like joshua said, not sure when you would see data on a saturday or sunday?

this might work?
Code:
``````def dow = GetDayOfWeek();
def exdays = GetDaysToExpiration()-1;
def DTE = if dow >=1 and dow <= 5 then exdays else dte[1];``````

GetDayOfWeek()
https://toslc.thinkorswim.com/center/reference/thinkScript/Functions/Date---Time/GetDayOfWeek

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