SPY rebound exceeded 0.618

Evidence showing many retail investors play on the same gap pivot point

128.56 at 9:45am.  1 hold gap pivot is 128.57.  Penetrated by 1 cent. Then reversal.  But false reversal followed by plunging.

SPY distributed quarterly dividend. Distorted Options and key technical lines

128 Put as of Market Close on Mar 18, 2011

SPY official site has official closing price on Mar 17, Yahoo Finance wrong

https://www.spdrs.com/product/fund.seam?ticker=SPY

NYSE exchange, http://www.nyse.com/about/listed/lcddata.html?ticker=SPY

 

Options Time Decay Paths Test

http://www.optiontradingpedia.com/free_option_greeks.htm

Characteristics Of Theta Value

You might have noticed something perculiar about the theta of Out of The Money (OTM) options when comparing the two pictures above and that is, theta value for OTM options are higher with longer expiration and lower with nearer expiration.
Indeed, theta behaves differently for ITM/ATM options and OTM options:

ITM/ATM Options Theta

Further Expiration : Low Theta
Nearer EXpiration : High Theta

OTM Options Theta

Further Expiration : High Theta
Nearer EXpiration : Low Theta
As you can see from the below illustrations, ITM and ATM options decays fastest during the last 30 days to expiration whereas OTM options decays the least during the final 30 days, which is also due to the fact that OTM options near to expiration has too little premium value left to decay on anyways.

Daylight saving time cause the chart to shift in error. Wrong closing price

DT Proxy using delta neutral calendar spread

not perfect, has theta effect, but close enough with 1-2 days.  SPY moves should be bigger than $0.20, after delta, $0.09 move, after commission, $0.04, after spread and hedge system error, $0.00. 

Use ATM options as proxy for day trade

2:30-3:30pm, asset 132.37 to 132.82, most heavily traded front month Mar 18, 2011 ATM call 132, 1.67 to 1.93, delta about 26/45=0.58

$131 put for income maybe paid out

13:47, Friday, sold Mar 11 131 PUT, 0.94

AT that time, Mar 137 put was 5.82.

Today when closing the position, 0.94 –>1.11 , 5.82 –> 6.37, net $0.38 compared to previous day.

Vertical Spread on Mar 1, big down trending day

OTM

ATM

ITM

Asset

Free options courses on OIC website

http://education.optionseducation.org/oic_courses/OIC401C/pastfuture_09.html

http://www.optioneducation.net/calculator/pu_volatility.asp

Assessing values, choosing strategies

If implied volatility levels are lower than usual — that is, the options appear relatively undervalued — these investors might choose strategies that involve long options positions. For instance, if they're bullish on an underlying stock, they may buy calls. On the other hand, if volatility levels seem to be high at the time, and the options seem overvalued, they might choose strategies that use short options. If they're still bullish on the stock, they may choose to sell cash-secured puts or covered calls.

Due to PC upgrade. Lost MyRadar for the day