This seems like a problem with low volume but I'm looking at SPY options expiring today that are slightly ITM and it looks that time value is almost the same as the intrinsic value.
For example SPY 300 PUT DTE=0 is currently 0.84 while SPY itself was around $299.50. This puts the time value at .34 which is almost the same as the intrinsic value of .50
It doesn't make sense to me why these would trade with such a high time value/intrinsic value ratio on the day of expiry but after thinking about it further, I guess it makes sense that the premium would compensate the option writer for taking such a large risk on the day of expiry.
Any other explanations?
For example SPY 300 PUT DTE=0 is currently 0.84 while SPY itself was around $299.50. This puts the time value at .34 which is almost the same as the intrinsic value of .50
It doesn't make sense to me why these would trade with such a high time value/intrinsic value ratio on the day of expiry but after thinking about it further, I guess it makes sense that the premium would compensate the option writer for taking such a large risk on the day of expiry.
Any other explanations?