As a RUT double diagonal trader, I roll my wing positions every week. But does when I roll — the day of the week and the time of day — actually matter?

The intuition is straightforward: options are priced using implied volatility, and IV fluctuates throughout the trading day and across the week as market participants adjust positions, economic data drops, and macro sentiment shifts. If I can identify the optimal window to buy back my wings and re-establish a short strangle a week out, I should capture better roll credits net of fair value — consistently, week after week.

So I started logging.

Every 15 minutes during RUT market hours (6:00 AM – 1:51 PM PT, Monday through Friday), a scanner pulls the live option chain for $RUT and targets:

Raw roll credit is misleading. If IV is elevated in a given week, both the near and far legs reprice higher — the spread might look fat but the fair value of that spread also changes. Alpha/Vega normalizes the roll credit by dividing by the total vega exposure, giving us a metric that is comparable across IV regimes. An Alpha/Vega above 1.0 means the market is paying us more than BSM fair value for the roll. Below 1.0 means we're getting less than we deserve.

Each scan captures:

Note: We started on Tuesday for the first week, as we had technical issues developing the feed in which to pull the data.

The data from four days tells a consistent story:

1. Fridays are outperforming every other day.
Friday's average Alpha/Vega of 1.1693 is meaningfully above Tuesday's 0.9705 — roughly a 20% edge. Wednesday and Thursday fall in between, trending upward as the week progresses. This is the “21 DTE” websites like tastylive.com talk about.

2. Later in the day is better than earlier.
The hourly trend is clear: rolls executed closer 1:00 PM PT consistently outperform those at 4:00–6:00 AM PT. The edge builds through the morning session. I’m not sure this is accurate, however, but an anomoly in 1 week, which also just so happens to be the first week.

3. The Friday near 1:00 PM cell is the early standout.
With an Alpha/Vega of 1.199, that cell is producing the best IV-normalized roll quality of any slot in the grid. It's also the highest-vega window of the week, meaning each roll is generating more alpha per unit of implied vol risk.

4. Tuesday mornings are the weakest window.
Tuesday at 9:00 AM PT produced the lowest Alpha/Vega reading (0.9647) of the week. This is the window to avoid — at least based on four days of data.

This is Week 1. And this particular week had a notable characteristic: Friday saw a significant market move. For Historical sake, the Iranian government said the Straight of Hormuz would re-open after the US-Iranian conflict. The RUT finished up 2.11% on the day.

Large single-day moves can distort roll quality metrics in two ways. First, elevated realized volatility on Friday inflates the near-term IV at the close, which may have artificially boosted Friday's near/far spread differential. Second, a big move can produce outsized actual roll credits that don't reflect normal market conditions — the BSM model assumes roughly diffuse price behavior, and a singular gap move violates that assumption.

Put simply: Friday's numbers may be somewhat inflated relative to a normal week's trading range. This will normalize as we collect more weeks of data. Treat Friday's outperformance as a real signal — but perhaps not as large as it appears this week.

Based on Week 1, the emerging optimal window appears to be:

Tuesday mornings look like the worst practical window and should be avoided for rolling if possible.

That said — four days of data is not a trend, it's a signal. I will be publishing these results weekly on Sunday as new data comes in. Over the coming weeks and months, we'll build a statistically meaningful picture of when the market pays the best roll premiums for RUT delta wings.

The following three charts summarize Week 1 findings:

1. Day × Hour Heatmap (Alpha/Vega)

2. Daily Average Alpha/Vega

3. Hourly Trend (All Days Averaged)

Each Sunday, we plan to publish an updated analysis with the previous week's data added to the running dataset. The charts will grow more statistically robust with every week that passes, and we'll be able to answer with confidence: when should you actually roll your RUT delta wings?

If you're running a similar double diagonal or iron condor structure on RUT, I'd love to hear if your experience matches what we're seeing. Drop a comment below or reach out.

Data collected via automated RUT delta wing scanner running 15-minute intervals, 6:00 AM – 1:51 PM PT. BSM fair value computed using Black-Scholes-Merton with continuous dividend yield and risk-free rate. Alpha/Vega = (Actual Roll Credit − BSM Fair Value) / Total Vega. Past results do not guarantee future performance.