Remove leap year day from pandas dataframe

You can mask it and remove boolean indexing:

df = df[(df.index.month != 2) | (df.index.day != 29)]

Solution with function:

def is_leap_and_29Feb(s):
    return (s.index.month != 2) | (s.index.day != 29)

mask = is_leap_and_29Feb(df)
print mask
#[False False False False False  True False False False  True]

print df.loc[~mask]
#            datetime
#2012-01-01   125.501
#2012-01-02   125.501
#2012-01-03   125.501
#2012-02-04   125.501
#2012-02-05   125.501
#2012-02-28   125.501
#2016-01-07   125.501
#2016-01-08   125.501

Or:

(s.index.month != 2) | (s.index.day != 29)

If your dataframe has already the datetime column as index you can:

df = df[~((df.index.month == 2) & (df.index.day == 29))]

this should remove the rows containing the day February 29th for all years.