am I missing something?

[stokhack]

White, exactly time value. You need to go one strike ITM to get corresponding movement with price. This only applys to short term options. Longer term more time value(premium) so less movement. Look up mavericks threads, lot of good stuff there.

 

[qdz2]

That's okay. It's not you fault.

One thing that you phDs must understand is that every post replying in your thread is not necessarily solely for you to read. Under the umbrella of the original topic, replies should be also helpful to as many readers as possible, at least not misleading them.

Quote from just_dabbling:

Anyway, I came here not to argue but to clarify something that seemed odd. I think I did. Thanks a bunch guys for your input and don't flame me if I didn't seem humble enough

 

[qdz2]

Probably divdend today was overlooked?

 

[stokhack]

Also look at trajans option journal, also good stuff.

 

[AAAintheBeltway]

Quote from just_dabbling:

How sensitive are equity option prices to changes in prices in their underlyings (large cap stocks)? The reason I'm asking is b/c I was looking at some option quotes on CBOE.com for stocks that moved big time (say 25% or so on a given day) and barely anything changed in option chains! I was under the assumption that if I happened to have a stock that was hedged with puts I'd be more or less limited from the downside risk. And yet the put prices bearly moved as the stocks plummeted. What's going on? Or is this protective put thing only gonna work over longer horizons?
Thanks.

How much should the put move? An ATM generally has a delta of around .5, so half as much as the stock. The more time value, the less(+ or -) delta. The puts you looked at were probably pumped up ahead of an earnings report and lost some iv afterwards.

 

[Madison]

Quote from just_dabbling:

Yes, I happen to have a PhD from an ivy league school

Humility? I am pretty humble, I think.

Humble indeed, Your Highness.

I beg you pardon the uncouth heathens that have presumed so much as to exercise their simple minds here - I assure you they mean well, in their own savage and pathetic ways. It is not their fault they do not possess the requisite social graces and education to converse at your esteemed level.

 

[BobbyMurcerFan]

But he said this big cap stock went down ~25% in a single day. No matter how much the IV was anticipating the earnings, a 25% drop in the underlying will make those ATM puts way ITM. And such a large drop in underlying price almost always increases IV.

No way those puts don't move, a lot.

 

[iceman1]

Quote from BobbyMurcerFan:

But he said this big cap stock went down ~25% in a single day. No matter how much the IV was anticipating the earnings, a 25% drop in the underlying will make those ATM puts way ITM. And such a large drop in underlying price almost always increases IV.

No way those puts don't move, a lot.

Exactly!