SPX Dec 27 expiry question

Discussion in 'Options' started by Meb2017, Dec 22, 2017.

  1. Meb2017


    This may be a stupid question but I have a position that is suffering:

    The in the money calls for 12/26 &12/27 have 0 for IV and the Corresponding delta is obviously taking a hit as well. Is this just an after hours or closing glitch? Every other chain I see has the iv and delta rising with each higher call strike.

    Any help is appreciated
  2. Where are the same strike and expiry puts marked?
  3. Robert Morse

    Robert Morse Sponsor

    An ITM SPX option will settle for the cash value on expiration. I would not worry about your platrom's in ability to calculate Ivol. Means nothing,
    MACD and truetype like this.
  4. Meb2017


    Thank you for responding! It is the 2655 call strike on 12/27.
  5. spindr0


    Monday is Christmas so the next trading day is 12/26. Anything expiring on 12/26 and 12/27 that is reasonably ITM is likely to be trading below parity (average of the B/A) and therefore will have an IV of zero.
  6. spindr0


    Assuming that closing quotes are accurate (last sale of the option and underlying were at the same time), your $2,655 call closed with a B/A of $26.80x$29.20 (average of $28.00) with a last price of $28.24 with the SPX clsoing at $2,683.34

    That's an intrinsic value of $28.34 which is more than the last trade at $28.24 or the average of $28.00

    Any system reporting on those numbers is going to display and IV of zero
    i960 likes this.
  7. Meb2017


    Thank you so much!

    Is that also why the delta for this strike is less than that of strikes which are not as deep in the money? Should that revert at the Tuesday open?
  8. spindr0


    I can't answer that because the quotes may be stale nor do I see the stats that you're looking at. I don't think that any of this matters as much as what price does in the pre-market Tuesday morning - namely whether you will defend if it's moving against you or lock it in if it moves enough in your favor.
  9. As others have mentioned, this one's so close to home, it almost makes no sense to think of it as an option, in a way.
  10. spindr0


    Speaking of delta and implied volatility, is anyone aware of a free web site that provides option chains with them? It's a headache to boot my trading platform every time I want to crunch some numbers.
    #10     Dec 24, 2017