DTE=0 with large time value/intrinsic value of a slightly ITM option?

Discussion in 'Options' started by nooby_mcnoob, Jul 19, 2019.

  1. This seems like a problem with low volume but I'm looking at SPY options expiring today that are slightly ITM and it looks that time value is almost the same as the intrinsic value.

    For example SPY 300 PUT DTE=0 is currently 0.84 while SPY itself was around $299.50. This puts the time value at .34 which is almost the same as the intrinsic value of .50

    It doesn't make sense to me why these would trade with such a high time value/intrinsic value ratio on the day of expiry but after thinking about it further, I guess it makes sense that the premium would compensate the option writer for taking such a large risk on the day of expiry.

    Any other explanations?
  2. newwurldmn


    10bps for 6 hours....
  3. I don't follow
  4. newwurldmn


    If you were long the put you are paying 10bps of time value for the privilege of being short for the rest of the day. That doesn’t seem unreasonable to me. Does it to you?
    tommcginnis likes this.
  5. Got it
    tommcginnis likes this.
  6. (And yes I did go long before this post <3)
  7. I like these DTE=0 penny stocks.