SPX OTM calls IV crush
- Thread starter gowthamn
- Start date
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.
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.
unchanged
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?
To me, recent craziness was from the low on 3/23 through say 3/28. Here's 3/24 to 26:
To me, recent craziness was from the low on 3/23 through say 3/28. Here's 3/24 to 26:
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Cool story, Bro. You stated IV. IV and the curve are intact, but obviously not your account. Ever heard of decay?
My expirations are 1 year out. Decay not an important factor for just 2 days.
OTM calls typically get destroyed on rallies. Steepens on rallies, flattens on breaks.
Not too mention the vol skew inverted and then reverted plus the vol crush..which us what I think you said