third.friday.month: Compute the expiration date of stock options (3rd Friday of...

In systematicinvestor/SIT.date: Wrappers for Common Date Operations

Description

Compute the expiration date of stock options (3rd Friday of the month)

Usage

third.friday.month(years, months)

Arguments

year	year
month	month

Value

date for the third Friday of the given month and year

References

http://bytes.com/topic/python/answers/161147-find-day-week-month-year

http://www.mysmp.com/options/options-expiration-week.html The week beginning on Monday prior to the Saturday of options expiration is referred to as options expiration week. Since the markets are closed on Saturday, the third Friday of each month represents options expiration. If the third Friday of the month is a holiday, all trading dates are moved forward; meaning that Thursday will be the last trading day to exercise options.

http://www.cboe.com/TradTool/ExpirationCalendar.aspx

Examples

## Not run: 
third.friday.month(2012,1)

## End(Not run)

systematicinvestor/SIT.date documentation built on March 5, 2020, 10:22 a.m.