Same bull put spread — short the 95 put, long the 90, stock now at $95.50, so the position is sitting right on the strike it sold.
| Days left | Net gamma | What that means |
|---|---|---|
| 45 | −1.18 | Delta drifts |
| 21 | −2.90 | Delta moves noticeably per dollar |
| 7 | −9.25 | Delta moves about eight times faster than at 45 days |
Black-Scholes arithmetic at 25% volatility and a 4% rate, from the specification above. Not a measured result.
If a time exit were about time, the same number of days would suit every tenor. It doesn’t. What actually matters is how much of the position’s life is left, because that is what sets how violently delta moves — which makes the rule testable in the one form that counts.
It is a convention that came out of popular options research and stuck. There is nothing structural about the number itself, which is precisely why it is worth testing.
Not in this form. On a same-day trade the equivalent rule is a clock time, and the mechanism it is managing is identical — gamma near expiry, only compressed into hours.
That is your tie-break, and it needs stating. Most specifications run whichever fires first.
No. Closing ends the exposure. Rolling opens a new trade, and the two produce different results even when they happen on the same afternoon.
No time-exit result is published yet.
The exit ladder will run the same entries closed at 21 days, at a profit target, and at expiry, so the three can be read on one scale. The number that decides it is expectancy per trade, not the share of trades that won.
