SPX IV this Friday Vs M-T-W-T-F next week 16% vs 11%??

D

darp

Any folks here with a lot of experience on SPX daily options? Trying to figure this out, the debt deal vote today? Or is this normal? I think it was 16x13 yesterday and today 16x11, even saw one Monday with 9.99%. Next Friday is higher IV but think it was still just 13%.

Guessing someone here has answer.

Thanks.
 
earth_imperator said:
Why are you surprised? IV is bound to events...
More...
Friday vs Monday is one trading day, if it is going to move big it will greatly impact Monday too. Indeed on a July option it will have much smaller impact. The huge diff was not there yesterday.

Just curious.
 
The IV reported on SPX tenors is an annualized value based on calendar time. The Monday tenors are lower than the neighboring tenors (fairly consistently) due to the weekend (non-trading day) effect. Hopefully @destriero will chime in with his insight on how to properly account for this confusion. So IFF you are comparing IV of tenors, your process is flawed for short terms where non-trading days are significant portion of the time interval. {IFF you derive tenor IV using business days instead of calendar days, you will find Day of Week not a significant contributor to IV as well as more consistency in the IV values}
 
Last edited:
darp said:
Any folks here with a lot of experience on SPX daily options? Trying to figure this out, the debt deal vote today? Or is this normal? I think it was 16x13 yesterday and today 16x11, even saw one Monday with 9.99%. Next Friday is higher IV but think it was still just 13%.

Guessing someone here has answer.

Thanks.
More...

I think the modeling of 0dte options is tricky and very few retail firms will do it well. So who knows what vol you are seeing.

Secondly, there's a lot of other impacts that will affect the implied levels. The controversial flows will impact the vol pricing a lot as there's a lot of delta that is created and destroyed over the course of a day and that will create axes by market participants.
 
stepandfetchit and newwurldmn Thanks. The IV is coming out of Power Etrade BTW. So maybe it is not apples to apples IV with the option models having trouble dealing with 2 null days. Maybe just a thought the reason they say Monday is so low IV is because they are treating as more than 1 day, 3, which it is sorta.

I just looked at 4260 calls, Friday 1.90 Monday is 4.55 Wow, that does not match up with Mon being extra low IV. Think the answer is the IVs which Fidelity concurs with are in error. There was no such thing as Monday options for decades after option models were created. Cheers
 
darp said:
stepandfetchit and newwurldmn Thanks. The IV is coming out of Power Etrade BTW. So maybe it is not apples to apples IV with the option models having trouble dealing with 2 null days. Maybe just a thought the reason they say Monday is so low IV is because they are treating as more than 1 day, 3, which it is sorta.

I just looked at 4260 calls, Friday 1.90 Monday is 4.55 Wow, that does not match up with Mon being extra low IV. Think the answer is the IVs which Fidelity concurs with are in error. There was no such thing as Monday options for decades after option models were created. Cheers
More...
FWIW: I have not observed any broker properly providing IV for tenor comparisons that are useful across business vs calendar days, so Power Etrade may be similar to the crowd. -- I had limited success converting to business days for an IV that is consistent across tenors, but is a lot of work (and down-stream confusion) to produce a non-standard set of metrics. You are not alone in stumbling across this anomaly.
 
darp said:
stepandfetchit and newwurldmn Thanks. The IV is coming out of Power Etrade BTW. So maybe it is not apples to apples IV with the option models having trouble dealing with 2 null days. Maybe just a thought the reason they say Monday is so low IV is because they are treating as more than 1 day, 3, which it is sorta.

I just looked at 4260 calls, Friday 1.90 Monday is 4.55 Wow, that does not match up with Mon being extra low IV. Think the answer is the IVs which Fidelity concurs with are in error. There was no such thing as Monday options for decades after option models were created. Cheers
More...

you have a lot of factors for why Monday 4260 could be a lot higher than Friday.

I also use etrade but I would rather trust my own vol calcs (and I use European black scholes with no dividends). You should call them and ask them how they calculate the vol. if you can’t I will call my guy and ask him.

Edit: just don’t call the theta as income :)
 
Last edited:
stepandfetchit said:
FWIW: I have not observed any broker properly providing IV for tenor comparisons that are useful across business vs calendar days, so Power Etrade may be similar to the crowd. -- I had limited success converting to business days for an IV that is consistent across tenors, but is a lot of work (and down-stream confusion) to produce a non-standard set of metrics. You are not alone in stumbling across this anomaly.
More...
Now that I understand it can adapt. Thanks!
 
newwurldmn said:
you have a lot of factors for why Monday 4260 could be a lot higher than Friday.

I also use etrade but I would rather trust my own vol calcs (and I use European black scholes with no dividends). You should call them and ask them how they calculate the vol. if you can’t I will call my guy and ask him.

Edit: just don’t call the theta as income :)
More...
Thanks. You do not have to to that. I trusted the IVs too much. Now with this info I can mentally sanity check it. On those two options the prices are inline if anything Monday may have higher real IV. For my purposes I can look at them and my mind can tell me, they are not crazy prices. Cheers
 
You must log in or register to reply here.
Back
Top