Browse Stacks: Trading: Options: SMG_vol.PNG
SMG_vol.PNG
The effect of vol on illiquid stocks. I can't tell if volatility affected the lack of movement in the price of this spread or the fact it is not very liquid. Only 500k volume today. In any case price dropped 2.14 and the spread dropped....0. If you want a laugh check out the spreads on the options. This is the drawback of using spreads in illiquid stocks with large bid/ask spreads. I shoulda just bought the 80P. At the bid/ask mid price the short put has 167 extrinsic , the long put has 0. It's like the 80 put's volatility increased as price dropped but the 85 put's volatility stayed at 0. I'm leaving a GTC in at 430 and hope for the best with a lesson learned.
...