IV crush for SPX Calls

[gowthamn]

It looks like there is a huge IV crush for the past 3 days for SPX Calls. Is that because of low volume? Never seen so much crush so quickly for an index.

 

[guru]

Not sure what you mean. VIX is often dropping by large %, and the calls are in line with it (in addition to being affected by SPX itself not really going up).
Here is some random SPX call that dropped about as much as VIX (blue line).

 

[gowthamn]

Not sure what you mean. VIX is often dropping by large %, and the calls are in line with it (in addition to being affected by SPX itself not really going up).
Here is some random SPX call that dropped about as much as VIX (blue line).

View attachment 247272

I meant the ratio of 50 delta IV to 20 delta IV

 

[guru]

Well, you initially didn't provide details or an example, so someone else had to do it for you.
Now again you're unable to provide an example, perform basic analysis, explain your reasoning, prove your point, or guess why you may be right or wrong.
You'll be discussing something you have in mind with others who have to guess what you have in mind.
Why are you even trading options? Maybe find a real job?

 

[deltaf0rce]

I meant the ratio of 50 delta IV to 20 delta IV

So did you sell the 20’s lol

 

[newwurldmn]

I meant the ratio of 50 delta IV to 20 delta IV

what was the ratio and what is it now?

 

[gkishot]

Maybe b/c market is at its top.

 

[taowave]

What duration??

I meant the ratio of 50 delta IV to 20 delta IV

 

[JSOP]

It looks like there is a huge IV crush for the past 3 days for SPX Calls. Is that because of low volume? Never seen so much crush so quickly for an index.

Well the shortened expiration date and shortened trading hour certainly did not help. And there was not much volatility to speak of to begin with. The intraday price movement was horrible.