I trade U.S. X steel (X), and something weird happened today. The stock drops more than $0.50 in about an hour time, and the April 55 puts’ price does not change, staying around $1.34. Typically, for a move like this, it should have been around $1.45! Have you experienced something like this before (I’ve been trading options for over 20 years). Could it be that traders figured out mid session that the put’s price was mis-priced, and they ignored the stock price and went on a different valuation? Does anyone know where I can find a chart of today’s X options to see this weird event?
Whats your email? I can send you a Bloomberg printscreen. PS I see what you’re talking bout too (happened between 11:30-12:15?). Looks like implied vol was decreasing pretty much monotonically throughout the day and is a tautological way of explaining this.
Yes I’d appreciate that. My email is sharpshootyou@yahoo.com I’d like to see the whole day if possible. What I noticed happened after 1pm.
Check your spam folder, may have gone there. But I have sent it.
Wow, that’s absolutely helpful. I see exactly the issue where the stock price drops from about $60.60 at 1:09 pm (ET) to $59.91 at the close (that’s $0.79), yet the put option went roughly from $1.35 to $1.33 … it even dropped when it was supposed to go up!! If you look when earlier the stock dropped from about $61.85 at 11 Am (ET) to $60.20 at about 12:30 (-$1.65), the put option went $1.15 to about $1.44, so it did go up as typically it would. It is still amazing what would account for this unusual change in implied volatility! They just announced two days ago a public offering of $600 million in senior notes, but not sure if that would have an impact, and even then, why would implied volatility change so quickly half way through the session. Thanks for the picture.