I own IWM and SPY index puts whose prices did not rise June 26, 2020 when both the IWM and SPY fell by more than 2%. For example:

IWM 10/16/20 $95 put

  • 1.92 x 2.01 B/A

  • 1.93 close, down 0.05

SPY 12/18/20 $100 put

  • .31 x .42 B/A

  • 0.40 close, unchanged

Why did these put options not increase significantly in value even though IWM and SPY were down more than 2% on Jun 26, 2020?


  • Note that as expected, IWM and SPY OTM calls were down significantly
  • Note that other put options did move significantly

Option Last Change Bid Ask Vol Open_Interest %change SPY_Dec18,20_P200 3.70 0.70 3.41 3.65 116 30,609 23% SPY_Dec18,20_P160 1.50 0.28 1.30 1.53 511 5,345 22%


Because your puts are so far out-of-the-money, they have negligible deltas and therefore the expected option price change is going to be near negligible with a drop like Friday's. Because that price change is going to be so small, it can disappear into the bid/ask spread, appearing unchanged or even moving in the opposite direction.

The delta of your SPY $100 put was .006 at Thursday's close. SPY dropped $7.07 on Friday so the approximate gain on your put should have been about 4 cents.

The closing quote of your put on Thursday was .38 x .40 with a last trade of 40 cents. On Friday, the closing quote was .31 x .40 with a last trade of 40 cents. So although the day to day last trade was unchanged, the bid did drop 7 cents.

The short answer is that you're dealing in expected and actual price moves of cents so there's no there, there. What may be the real problem is that you have purchased puts that will not appreciate much unless there's a massive drop in the indexes.

You can guesstimate future gains by looking at the option chains and making some assumptions. If we fix time (the drop occurs immediately) and implied volatility (unchanged), it would take a 40 point drop in the SPY for your 40 cent puts to double in price from here. You can unpin the time component by looking at other expirations. However, accurate modeling requires an option pricing formula.

  • I agree that with low delta, the expected movement is less. But the actual movement was the lower than the movement expected.
    – Rsc Rsc
    Jun 27 '20 at 21:17
  • As explained, the expected movement is minimal so it can disappear into the fluctuations of the B/A spread (which it did). Would you feel better if the expected movement was 4 cents and based on the closing price, the value of your put increased by that amount? Jun 27 '20 at 21:22
  • After your comment, I have added examples in the original question for SPY puts with strike date Dec18,2020 where the put options with high volume did move significantly (by more than 20%)
    – Rsc Rsc
    Jun 27 '20 at 21:25
  • (1) Adding examples of other options and their price moves isn't going to change the fact that your options performed within the realm of normal expectation. (2) Regarding your new examples, my guess is that you are looking at close to close quotes and they are typically stale and much more so for OTM options. That's pretty clear for your SPY $200 quote where the close is outside the B/A quote. If you want to evaluate this properly, go into Time & Sales and get the real time NBBO closing prices for Thursday and Friday. Jun 27 '20 at 21:42
  • Regarding point (1), my expectation is that put options prices will go up when underlying security drops significantly. What is wrong with this expectation? "options performed within the realm of normal expectation" - not sure what you mean here. I agree with your point (2). Where can I get these real time prices (especially if I can get the time at which option sale occurred so I can connect that to underlying price)?
    – Rsc Rsc
    Jun 27 '20 at 21:59

As others explained, the expected change in value is rather small - maybe there simply was nobody that cared to trade an option that is so far out of the money.
Also, consider that many online platforms allow only .05 multiples for limits, If the perceived value really went from .42 to .38 $, both numbers would round to .40 for a large number of investors.

  • SPY option are the most actively traded options and IWM options are quite active as well. They trade in penny increments. I'll take your word for it but I've never seen/heard of a US broker that forces you to trade in 5 cent increments when the security trades otherwise. Jun 28 '20 at 2:01
  • Try eTrade, Bob.
    – Aganju
    Jun 28 '20 at 12:00
  • SPY, IWM options are traded in increments of a penny not .05 at multiple brokers I have.
    – Rsc Rsc
    Jun 28 '20 at 20:28
  • There are options that only trade in 5 cent increments but that doesn't make sense for the US, Aganju. NBBO is the law of the land and a broker can't shortchange you, making you pay more than that when buying or receive less than when selling. Jun 29 '20 at 16:52

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