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I am studying the option price data for SPY Call Credit Spread 373/372 expiring Jan 15, 2021. According to this chart, on 12/24/2020, the price ranged from -0.87 to -0.02. At least that is what I gather because top wick of the candle is a -0.02 and bottom wick points to -0.87. However, when I went back in time and watched the option prices, the numbers (difference between option price for 372 and 373) did not show such a huge range. Am I missing something or mis-interpreting candle stick data? Thank you.

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Illiquid options can have very wide B/A spreads. So too can very deep ITM options. However, that's not the case here because these are very liquid SPY options not far OTM.

If your spread's value was actually 2 cents wide then that would mean that the price of each leg was nearly identical and that's not possible since they weren't very far OTM. In addition, the SPY traded in a narrow range on 12/24 and that doesn't support an 85 cent variance in the value of the spread that day (2 to 87 cents).

Another way to look at this is the delta of your spread. It was about .033 on 12/24 and with the SPY up $3 today, the spread should be up about 10 cents, which indeed is up that amount right now.

Last of all, a graph from my broker shows a spread width of about 35-55 cents on 12/24 as the SPY range traded.

Any way that you look at it, you're looking at bad candle data.

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  • Thank you. I upvoted, but because my reputation is small, it wouldn't record my upvote. – Vasudeva Rao Aravind Dec 28 '20 at 18:50
  • It's the thought that counts ;->) – Bob Baerker Dec 28 '20 at 18:58

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