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==========================
VIX Option Expiration Days
==========================
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{VIX/VXN/RVX Option Expiration Days v2.0

Signals VIX/VXN/RVX Options expiration day:
 The Wednesday that is 30 days prior to the
 3rd Friday of the following calendar month.

Copyright © 2009 Jose Silva.
The grant of this license is for personal use
 only - no resale or repackaging allowed.
All code remains the property of Jose Silva.
http://www.metastocktools.com }

{Input}
plot:=Input("plot:  [1]Expiration Wed,  [3]rd Friday of Month",1,3,1);

{3rd calendar Friday of month}
3rdFri:=OptionExp()=1;

{Remove extra WedExp signal from 5-week months}
d:=DayOfMonth();
m:=Month();
y:=Year();
leap:=
 Mod(y,4)=0 AND Mod(y,100)>0 OR Mod(y,400)=0;
MthLen:=
 If(m=2 AND leap=0,28,
 If(m=2 AND leap,29,
 If(m=4 OR m=6 OR m=9 OR m=11,30,31)));
Ok:=(d=13 AND MthLen>28
 OR d=14 AND MthLen>29
 OR d=15 AND MthLen>30)=0;

{Option expiry signals}
expWed:=Ok*OptionExp()=3 OR OptionExp()=31;

{Plot}
If(plot=1,expWed,3rdFri)

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======================================
Vix Options expiry Close in retrospect
======================================
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{VIX/VXN/RVX Options Expiration Close v1.0

Plots expiration Close in retrospect/hindsight
 for past 3 years. Do not trade!
Plot on daily or intraday price charts only.
Needs "VIX Option Expiration Days" indicator.

Copyright © 2009 Jose Silva.
The grant of this license is for personal use
 only - no resale or repackaging allowed.
All code remains the property of Jose Silva.
http://www.metastocktools.com }

{Signals}
x:=Fml("VIX Option Expiration Days");
y:=LastValue(Cum(x))-Cum(x)+x+1;

{Options expiry !future! Close}

x1:=LastValue(C)*(y=1);
x2:=LastValue(Highest(C*x*(y=2)))*(y=2);
x3:=LastValue(Highest(C*x*(y=3)))*(y=3);
x4:=LastValue(Highest(C*x*(y=4)))*(y=4);
x5:=LastValue(Highest(C*x*(y=5)))*(y=5);
x6:=LastValue(Highest(C*x*(y=6)))*(y=6);
x7:=LastValue(Highest(C*x*(y=7)))*(y=7);
x8:=LastValue(Highest(C*x*(y=8)))*(y=8);
x9:=LastValue(Highest(C*x*(y=9)))*(y=9);
x10:=LastValue(Highest(C*x*(y=10)))*(y=10);
x01:=x1+x2+x3+x4+x5+x6+x7+x8+x9+x10;

x1:=LastValue(Highest(C*x*(y=11)))*(y=11);
x2:=LastValue(Highest(C*x*(y=12)))*(y=12);
x3:=LastValue(Highest(C*x*(y=13)))*(y=13);
x4:=LastValue(Highest(C*x*(y=14)))*(y=14);
x5:=LastValue(Highest(C*x*(y=15)))*(y=15);
x6:=LastValue(Highest(C*x*(y=16)))*(y=16);
x7:=LastValue(Highest(C*x*(y=17)))*(y=17);
x8:=LastValue(Highest(C*x*(y=18)))*(y=18);
x9:=LastValue(Highest(C*x*(y=19)))*(y=19);
x10:=LastValue(Highest(C*x*(y=20)))*(y=20);
x02:=x1+x2+x3+x4+x5+x6+x7+x8+x9+x10;

x1:=LastValue(Highest(C*x*(y=21)))*(y=21);
x2:=LastValue(Highest(C*x*(y=22)))*(y=22);
x3:=LastValue(Highest(C*x*(y=23)))*(y=23);
x4:=LastValue(Highest(C*x*(y=24)))*(y=24);
x5:=LastValue(Highest(C*x*(y=25)))*(y=25);
x6:=LastValue(Highest(C*x*(y=26)))*(y=26);
x7:=LastValue(Highest(C*x*(y=27)))*(y=27);
x8:=LastValue(Highest(C*x*(y=28)))*(y=28);
x9:=LastValue(Highest(C*x*(y=29)))*(y=29);
x10:=LastValue(Highest(C*x*(y=30)))*(y=30);
x03:=x1+x2+x3+x4+x5+x6+x7+x8+x9+x10;

x1:=LastValue(Highest(C*x*(y=31)))*(y=31);
x2:=LastValue(Highest(C*x*(y=32)))*(y=32);
x3:=LastValue(Highest(C*x*(y=33)))*(y=33);
x4:=LastValue(Highest(C*x*(y=34)))*(y=34);
x5:=LastValue(Highest(C*x*(y=35)))*(y=35);
x6:=LastValue(Highest(C*x*(y=36)))*(y=36);
x7:=LastValue(Highest(C*x*(y=37)))*(y=37);
x8:=LastValue(Highest(C*x*(y=38)))*(y=38);
x9:=LastValue(Highest(C*x*(y=39)))*(y=39);
x04:=x1+x2+x3+x4+x5+x6+x7+x8+x9;

x:=x01+x02+x03+x04;
x:=x+BarsSince(x>0);
x
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=========================================
Australian equity options Expiration Days
=========================================
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{Last calendar Friday of month}
Fri:=OptionExp()=22;

{Last calendar Thursday of month}
Thu:=OptionExp()=23;

{Plot in own window}
-Fri*.5;Thu
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