Rule

Volatility does not accrue when the market is shut. Three calendar days from a Friday is 2.00 volatility days, not 3.

When it applies

Every greek, every cross-expiry IV comparison, and the expected move at 2-10 DTE, where the effect dominates rather than rounds away.

What it means

An unadjusted calendar clock overstates time by up to 50% over a weekend and manufactures a spurious IV jump every Monday morning. Our pricer already weights weekend days at 0.5; do not re-derive time from raw calendar days.

Evidence

Removing Friday-to-Monday positions from a 1DTE SPX put-write study cut cumulative return from 28.07% to 8.94% - about two thirds of profit came from weekend-spanning trades.