I Was Wrong About Friday: What 10,752 RUT Scans Taught Me About Roll Timing

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Previously, we told you the best day to roll a short-premium position was Friday. This is consistent with TastyTrade mantra of roll at “21 DTE”, as It made sense on paper — settle the week, start fresh, book the weekend theta. Twenty weeks and thousands of automated 15-minute scans later, the data says I had it backwards. Friday is the worst day to roll. Monday is the best. There’s a caveat. Keep reading.

Here's the honest story of how that happened — and the more interesting thing the data started whispering once I stopped staring at the calendar.

Every fifteen minutes, from 6:00 AM PT through early afternoon, five days a week since mid-April, an automated scanner prices the wings of a RUT short-premium structure. It logs the 20-delta put and call strikes, their IV, the mid price, the spot, the VIX, the RVX, and whether the market has already started moving against the position. That's 11,760 scans across 20 weeks.

Each week, a second process grades the hypothetical rolls: for every scan, it prices what a 21-DTE roll would have cost and then measures how much alpha per unit of vega sold the new position captured over its forward life. Positive number: the roll retained edge. Negative: the roll sold insurance cheap. The metric is deliberately boring — it doesn't care whether the market went up or down, only whether the vol you sold was fairly priced.

Aggregated over twenty weeks, the results by day of roll:

Monday isn't a huge winner. It's simply the only day that doesn't systematically sell vol below its value. And the Monday advantage concentrates in the 8 AM to 12 PM PT window, where rolls run +0.9% to +1.0% alpha per vega — the only consistently green block on the whole board.

Why does Monday work? The weekend bleeds theta into Monday's open, and the pre-market session re-prices Friday's close. By Monday morning, the wings you'd be rolling into have had 60+ hours to digest news without the intraday noise — and the seller gets paid for the re-pricing instead of paying for it.

Here's where it gets interesting. After I'd built the day-of-week table, I went back through the twenty weeks looking for the best single rolls in the corpus. Not the best day on average — the best individual roll windows.

The two best rolls in the entire dataset didn't happen on a Monday. One happened on a Thursday, one on a Wednesday. Both happened on days the VIX spiked hard intraday — up 1.5 points or more from the open.

That's not a coincidence you can trade on yet — ten observations is a hypothesis, not a law. But it kept nagging at me, so I pulled two years of daily RUT and RVX data to answer the obvious follow-up: how often does that kind of spike day even show up?

The answer: more often than you'd think. And that frequency number is what turns this from a curiosity into something you can actually trade around.

The full breakdown — which days the spike effect helps, which day it hurts (this surprised me), the exact conditional rule that falls out of the data, and the frequency tables that make it operational — is in the premium deep dive: The Roll Window Isn't a Date — It's a Condition.

The Monday rule is now live in my own process: rolls default to the Monday 8 AM–12 PM window, 19 DTE, unless a volatility event intervenes. The spike-conditional overlay is being tracked in the scan corpus as we speak — every future week adds another data point, and if the effect holds, the rule gets promoted from hypothesis to standing order. If it decays, I'll publish that too.

That's the deal with this project: the corpus keeps scoring my own claims, and when the data corrects me, the correction gets published.

It's the forward return of a sold option position per unit of volatility exposure (vega) taken on. If you sell a wing and the implied vol was rich relative to what actually materialized, your alpha per vega is positive. It's a cleaner way to compare rolls executed at different times than raw P&L, because it normalizes for how much vol risk each roll actually took on.

Below roughly 19 days to expiration, gamma risk in short-premium structures grows faster than theta pays. The 19-DTE exit is a compromise point where most of the premium has been harvested but the position hasn't yet entered the high-gamma zone where a single day can undo three weeks of collection. Mind you, the likelihood of a rising RVX in the week prior will usually Trump this play. 21 DTE is the norm, but it may be a better play to wait until 19 DTE’s Monday roll. We’ll see, as this is a new discovery and we’re considering on Mondays where the prior week DID NOT HAVE A RAISED VOLATILITY DAY.

The scan corpus is built on RUT options and the RVX. The day-of-week effect should generalize to any index with a weekend — the mechanism (weekend theta plus pre-market repricing) isn't RUT-specific — but the exact numbers here are RUT numbers, and I don't want to publish claims I haven't measured.

An automated scanner logs RUT option chains every 15 minutes during market hours, five days a week. Roll quality is graded weekly against forward realized movement. Everything is timestamped and archived; the full methodology is documented in the premium data notes.

This is educational analysis, not trading advice. Options involve substantial risk. Past performance of a measured pattern does not guarantee future results — as this very article demonstrates.