IV crush for SPX Calls

Discussion in 'Options' started by gowthamn, Dec 24, 2020.

  1. gowthamn

    gowthamn

    It looks like there is a huge IV crush for the past 3 days for SPX Calls. Is that because of low volume? Never seen so much crush so quickly for an index.
     
  2. guru

    guru

    Not sure what you mean. VIX is often dropping by large %, and the calls are in line with it (in addition to being affected by SPX itself not really going up).
    Here is some random SPX call that dropped about as much as VIX (blue line).

    upload_2020-12-24_9-1-19.png
     
  3. gowthamn

    gowthamn

    I meant the ratio of 50 delta IV to 20 delta IV
     
  4. guru

    guru

    Well, you initially didn't provide details or an example, so someone else had to do it for you.
    Now again you're unable to provide an example, perform basic analysis, explain your reasoning, prove your point, or guess why you may be right or wrong.
    You'll be discussing something you have in mind with others who have to guess what you have in mind.
    Why are you even trading options? Maybe find a real job? :)
     
    umbolox and ffs1001 like this.
  5. deltaf0rce

    deltaf0rce

    So did you sell the 20’s lol
     
  6. newwurldmn

    newwurldmn

    what was the ratio and what is it now?
     
  7. gkishot

    gkishot

    Maybe b/c market is at its top.
     
  8. taowave

    taowave

    What duration??

     
  9. JSOP

    JSOP

    Well the shortened expiration date and shortened trading hour certainly did not help. And there was not much volatility to speak of to begin with. The intraday price movement was horrible.