Hot answers tagged spx
1 - For historical reasons options expire on Saturdays, before noon. This has to do with potential reconciliation issues that are largely gone nowadays because of back-office automation. Practically, you can think of SPX index options as expiring at index settle, which is 4:00 pm EST on Fridays for PM expiring options, or 9:30 am EST on Fridays for serial ...
opp_volume is probably option volume (not sure why it would be shortened to opp with extra p), not open interest. Volume is also more likely to be zero than open interest. The rest is like @SRKX wrote.
Best bid is the highest price somebody is willing to pay to buy the option. Best off is the lowest price somebody is willing to accept to sell the option. Even if there is no trade, there may very well be limit orders in the order book: there is a potential market but offer and demand are still too far away from each other for trades to happen.
When I saw these curves they seemed very strange to me. I believe it is a data-quality issue.I went to Bloomberg and I retrieved the implied vols for 70 near ATM strikes of the weekly SPX options expiring November 27 2015 (I believe that is the yellow curve in your diagrams i.e. November 4th week). This was today 2015-oct-27 at about 15:00 New York time. As ...
These options are not "issued" in the same way, say, employee stock options are "issued". Instead, the expiration months already exist indefinitely into the future, and in a sense options at all expirations already exist. The data series therefore start showing prints when market interest in a given expiration date starts up. This is of course highly ...
Your Vega of 188.48 is correct, in the sense that matches my calculation. What it means is that if the volatility increase by 1 (i.e. by 100 percentage points, from 19.14% to 119.14%) the call will increase by 188 dollars. Obviously that is an unrealistic move. More realistically if the volatility increases by 0.01 (i.e. 1 percentage point, from 19.14% to ...
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