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Finding Options with More Frequent Expirations

Article Quant Q&A · Author: Gascoyne
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Summary

The document asks which securities offer options expirations more often than monthly, motivated by a strategy of buying near-the-money calls when little time value remains close to expiration. It notes that many U.S. stock options expire on the third Friday of each month, while some weekly options and quarterly expirations provide more frequent opportunities. An example cited is the E-mini S&P 500, which had six expirations in November 2018.

The response adds that fixed-income traders can use over-the-counter swaptions, whose expiration dates can be arranged flexibly, and weekly options on U.S. and German Treasury bond futures. The discussion is brief and illustrative rather than a comprehensive instrument list. It does not compare liquidity, trading costs, contract availability, or the risks of buying options near expiration, and the cited expiration example is historical rather than a current schedule.

Key ideas

  • Options on some futures have weekly or otherwise frequent expirations.
  • Over-the-counter swaptions can be arranged to expire at chosen times.
  • Frequent expirations may give options buyers more opportunities to trade near expiry, when time value is low.
  • The examples do not establish current availability or liquidity for every contract.

Tags

OptionsFuturesFixed income
Full text
# Which securities have expirations more often than monthly?


# Which securities have expirations more often than monthly?












I'd like to explore buying low-cost calls close to the money, so I'm looking for low time values in options premiums. This happens near options expiration.

Unfortunately, most options expire on the 3rd Friday of the month (at least those for US stocks), which makes this strategy slow to apply. Which securities have more frequent expirations? I know about quarterly expirations and some CBOE weekly options, but I suspect there might be other expirations or securities.

For example, E-mini S&P 500 has 6 expirations in Nov 2018.

## Answer by Math (score 1)

https://quant.stackexchange.com/a/42292

If you're interested in fixed income, swaptions are OTC and can expire at an arbitrary time, and there are weekly options on treasury bond futures for the US as well as Germany.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.