Explain this price action?

Discussion in 'Options' started by jimmyjazz, Dec 8, 2017.

  1. On the money.
     
    #21     Dec 12, 2017
    lawrence-lugar likes this.
  2. I don't recall asking for advice on the trade itself. I'll let you know when I sell so you can stroke yourself and feel big time . . . unless i make a profit. Twat.
     
    #22     Dec 12, 2017
  3. volpri

    volpri

    ROFLMAO
     
    #23     Dec 13, 2017
  4. dog_accountant_540.jpg
     
    #24     Dec 13, 2017
    lawrence-lugar likes this.
  5. FYI, the price of SOXL has now rebounded to above where it was when I purchased the calls. Midpoint is currently at less than half of what I paid. Ask is barely above that halfway point. Theta decay doesn't even come close to explaining the price decline. Hence, the thread.
     
    #25     Dec 15, 2017
  6. spindr0

    spindr0

    As I previously mentioned, look at the vols.
    The answer is there somewhere.
    Come out, come out, wherever you are!
     
    #26     Dec 15, 2017
  7. Yeah, in the absence of dividend or interest rate influence, volatility must be the answer. I don't have the ability to see that information, or at least I don't know where to look.

    It's no fun to take it in the shorts on the way down without even a reacharound on the way back up.

    Is this pricing behavior perhaps amplified because the calls are way OTM?
     
    #27     Dec 15, 2017
  8. sle

    sle

    Since you’re an engineer, just do a simple perturbation-based explanation :)
    Time: -15 cents
    Spot: 45 cents
    IVol: -150 cents
    Which matches the prediction by Greeks:
    10 days of decay times 9/365 = -20 cents
    2.06 dollars in sport times 0.2 = .4
    46-57 vols times .13 = -1.44
     
    #28     Dec 15, 2017
  9. Like I said, I don't have the volatility data at my fingertips, but it's hard for me to imagine a significant volatility drop on a price drop. (I had to change brokers and I am not able to access the same level of data I used to. I'm working on that.)
     
    #29     Dec 15, 2017
  10. spindr0

    spindr0

    If anything, price behavior of far OTM calls will be muted since they are low delta. With no change in rate and dividend and knowing the amount of time that elapsed and underlying price change, the only thing left is volatility. Brokers provide that info. There are loads of option calculators available on the net as well.
     
    #30     Dec 15, 2017