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.