You can set up the backtester to trade only on a certain day of the week. Say you only wanted to trade on Fridays. You would set up the days to expiration min max and ideal all at 8. We count the day of expiration as one day to expiration which is why it is 8 rather than 7: For the options valuation formula, you need time to expiration to be greater than zero for the values to calculate on the Friday of expiration.
You can also control when the backtester exits either by using the Hold Days or exiting with Days to Expiration.
Here's how it looks in the backtester:
This produces an odd looking monthly returns and trades below. Notice there are 4 trades per year before 2010-06-04. These were quarterly options expiring on Saturday.
The results are further confused by expirations changing to Friday from Saturday around by weekly options being added around June 04, 2010 (see below). At this time ORATS changed the expiration to Friday for all monthlies and weeklies.
So before June 04, 2010, you need to have 9 days to trade on Fridays and after that date you need 8 days, 9 will trade on Thursday.
You can combine these two strategies to make a backtest consistent back to 2007. You would make the Date Range for the 9 day test only to 6/01/2010 and combine that with the 8 day test.
For exiting, choose Hold Days of say 3 to exit after three calendar days pass:
You can use Days to Expiration for example use 2 to exit the day before expiration:
Here you would exit the day before expiration:
Yes, it is a bit complicated but using these features, you can control the day of the week to enter an exit trades.
From the OIC website.
In connection with the Options Clearing Corporation’s (OCC) effort to transition standard option monthly expiration processing from Saturday to Friday, CBOE and C2 recently adopted a definition of “expiration date.” Unless separately defined elsewhere in CBOE or C2’s Rules, the term “expiration date” now means: (i) in the case of such an option expiring prior to February 1, 2015, the Saturday immediately following the third Friday of the expiration month of such option contract; and (ii) in the case of such an option expiring on or after February 1, 2015, the third Friday of the expiration month of such option contract, unless designated as “Grandfathered” (see below), or if such Friday is a day on which the exchange on which such option is listed is not open for business, the preceding day on which such exchange is open for business. Expiration Date on New Options Listings Any standard expiring option series, other than those Grandfathered, listed after August 31, 2013 and expiring after Jan 31, 2015, will have an expiration date of the third Friday of the month.
As of June 04, 2010, the Chicago Board Options Exchange (CBOE) announced that it will begin trading new Weekly Options on four exchange traded funds (ETF's): Standard and Poor’s Depositary Receipts (SPY), Nasdaq-100 Index Tracking Stock (QQQQ), DIAMONDS Trust, Series 1 (DIA), and iShares Russell 2000 Index Fund (IWM), are now traded.
June 25, 2010 - The Chicago Board Options Exchange (CBOE.O), introduced one-week options, or weekly’s, on four individual equities -- Bank of America (BAC.N), Apple (AAPL.O) and Citigroup (C.N) and U.S-listed shares of BP (BP.L) (BP.N).
Beginning on Thursday, July 1, 2010 - all new Weeklys series at CBOE will begin trading on Thursdays and expire the following Friday. Previously, new series were listed each Friday and expired the following Friday.
July 5, 2010 - the Weekly Options on the following became available: GLD, XLF, EEM, C, BAC, AAPL, BP, F, and GOOG.