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The Myth of Free Weekend Theta

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Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

One of the most popular myths in the trading world is that you can collect theta for free on the weekends if you sell on Friday and buy back on Monday. So we decided to test this and see what our research says.

  • SPY
  • 2005-present
  • Sold 16 delta strangles on the Friday closest to 45 DTE and bought them back on Monday.
  • Compared to selling strangles 45 DTE and holding for one day.
  • Recorded:
    • Average P/L of the one day hold
    • Average volatility of P/L of the one day hold

We find that although higher P/L does exist for selling into the weekend, it is met with higher risk. This means that there is no "free" weekend theta, but you do make more money over the weekend while talking on that weekend risk.

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