SPX OTM calls IV crush

Discussion in 'Options' started by gowthamn, Apr 28, 2020.

  1. gowthamn

    gowthamn

    The SPX OTM Calls IV has drastically fallen today and yesterday even though the market has not changed much. Why is that?
    Do options traders think the market will fall?
     
  2. The 25D call vol is 27%... as is the same-strike put. The 25D put is trading at a 32% vol. The 25D RR is trading at 5. Same as yesterday.
     
    TooEffingOld likes this.
  3. gowthamn

    gowthamn

    The price of those calls have fallen. If someone bought Calls on Friday they would have lost money even though the market has gone up.
     
  4. TheBigShort

    TheBigShort

    unchanged Screen Shot 2020-04-28 at 4.26.35 PM.png
     
    Flynrider and TooEffingOld like this.
  5. Well, yes, compared to Friday the near otm are lower today/yesterday, but, ummm, the market is actually higher than on Friday. Doesn't seem out of the ordinary to me. Do you have any specific examples?

    upload_2020-4-28_14-0-19.png

    To me, recent craziness was from the low on 3/23 through say 3/28. Here's 3/24 to 26:

    upload_2020-4-28_14-14-3.png
     

  6. Cool story, Bro. You stated IV. IV and the curve are intact, but obviously not your account. Ever heard of decay?
     
    TooEffingOld likes this.
  7. gowthamn

    gowthamn

    My expirations are 1 year out. Decay not an important factor for just 2 days.
     

  8. Cool story, Bro.
     
    TooEffingOld likes this.
  9. OTM calls typically get destroyed on rallies. Steepens on rallies, flattens on breaks.
     
    .sigma, Atikon and TooEffingOld like this.
  10. taowave

    taowave

    Not too mention the vol skew inverted and then reverted plus the vol crush..which us what I think you said:)

     
    #10     Apr 28, 2020
    ironchef likes this.