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 rocky_raccoon   Registered: Mar 2012 Posts: 112 08-06-12 04:34 PM Does anyone have an experience, notes, or maybe even historical option prices on SPY/SPX before and after big market crashes? I am particularly interested to see how put option prices change when they cross from ATM to DITM and from OTM to ITM overnight. E.g.: On the day one SPY was @135.50 and 135 next month Put was @2.40, while 130 Put was @0.60 Next day SPY dropped to 107. What will happen to the price difference of the puts next morning? Theoretically it should be close to 5 but what would be a practical number? Would these options even be tradeable? I can play with BS formula but the big unknown there is the IV of each individual option and the same position may show different prices depending on the each leg's IV. Edit/Delete • Quote • Complain
 EliteThink   Registered: Oct 2002 Posts: 782 08-06-12 04:43 PM Historical options data is expensive. extrapolation is a viable way to go. Also remember the vix moves up in a fairly linear way, then when panic sets, it goes parabolic as people are willing to pay whatever it takes for a put. Spreads become massive, as well, as you know. Edit/Delete • Quote • Complain
 rocky_raccoon   Registered: Mar 2012 Posts: 112 08-06-12 04:54 PM Quote from EliteThink: Historical options data is expensive. extrapolation is a viable way to go. Also remember the vix moves up in a fairly linear way, then when panic sets, it goes parabolic as people are willing to pay whatever it takes for a put. Spreads become massive, as well, as you know. I know all that and that's why I am looking for a specific real-world example. VIX is a good general gauge but it is calculated based on the series of options and won't tell me the IV of 135 vs 130 option. I plugged different IV numbers in a "what if" simulator and 1-2% difference in IV per leg of a 4-legged position was the difference of a big loss and a modest profit. Edit/Delete • Quote • Complain
 nazzdack   Registered: Jul 2004 Posts: 8413 08-06-12 08:01 PM Quote from rocky_raccoon: ----experience.... ----SPY/SPX.... ----big market crashes? ----put-option prices.... ----Theoretically.... ----BS formula.... ----IV of each individual option.... You can expect some skew-steepening with the implied volatility........but you already knew that. Edit/Delete • Quote • Complain

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