ThetifyDaily scenario: SPY 2018-02-05
SPY, 2018-02-05: spot $231.71. You are short the $232 put opened at $0.029, now $3.84, 30 DTE. IV 14.2% vs HV 12.3%. VIX more than doubled in one session to above 37; S&P 500 fell 4.1%, its largest drop since 2011. Premiums are Black-Scholes theoretical prices at HV-based IV; real quotes in that low-vol regime carried skew and were several times higher.
- AHold the position
- BRoll out: same strike, later expiry
- CClose the position
- DTake profit: buy it back
What would you do?
The answer and the worked numbers for every choice are in the Thetify app.
Where the position stood
| Underlying | SPY |
|---|---|
| Date | 2018-02-05 |
| Stock price | $231.71 |
| Position | Short the $232 put |
| Stock vs strike | 0.1% below the strike (in the money) |
| Opened at → now | $0.029 → $3.84 |
| Implied volatility (IV) | 14.2% |
| Historical volatility (HV) | 12.3% |
| Days to expiration | 30 |
Under this scenario’s assumptions. Every number in this table is already in the scenario text above; nothing comes from what happened afterwards.
Run these numbers yourself
Open the calculator with this scenario’s price, strike, days, IV and HV already typed in, and read the premium, delta and probabilities for yourself. The calculator leaves out dividends, so its readings can differ slightly from the scenario’s own.
Terms in this scenario
- DTE (days to expiration): The number of calendar days left until the contract expires.
- Implied volatility (IV): The volatility figure that makes the model price equal the price the option actually trades at.
- Historical volatility (HV): How much the stock actually moved over a past window, stated in annualised terms.
- Premium: The price of the option, paid by the buyer to the seller when the contract is opened.
- Black-Scholes: The closed-form model that turns stock price, strike, time, rate and volatility into a theoretical option price.
Same kind of decision
Three more scenarios of the same kind: managing a short put.
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