SPX Index ITM time value question

Discussion in 'Options' started by robert111, May 8, 2017.

  1. Hi, I had a call calendar spread, May 8th/15th on the spx at strike 2385. When I closed it today the spx was trading at about 2400. I noticed that there was only about $300 in time value on the itm may 15th call, but the may 15th put at the same strike had about $525 in time value. Why the big difference in time value at the same strike?
     
  2. tommcginnis

    tommcginnis

    Run down the strikes from 2500 to 2300, puts and calls, extrinsic and intrinsic: your answer will be right in front of you.
     
  3. newdog

    newdog

    Out of money puts are always expensive as there is fear of market blow up. So, it is not only the time value, there is also the vol component in there. $525 is total of time, vol and interest rate value.
     
    sle likes this.