The current market crash

The Coronavirus has been the catalyst to the market crash witnessed over the past 50 calendar days. In this blog post I will take a look at how SPY options have performed during 3 distinct periods of the crash. The first period being the precipitous 34% drop close-close seen over the initial 33 days. The second period being the 25% rally over 17 days from the low and the third period encompassing the 50 days of the entire move so far which has resulted in an 18% decline from the high. Note that in this post the term ‘days’ refers to actual calendar days and not trading days. This is to align with option days-to-expiration (DTE) numbers which are also expressed in calendar days.

Interpreting The Charts

The charts in this blog post show multiple series of data plotted on the same chart. Each series represents a specific DTE (days-to-expiration) option term. The horizontal axis is the Delta of the option ranging from -1 to +1 with negative numbers indicating Put options and positive numbers indicating Call options. The vertical axis represents the gain of the option (close to close) from the beginning to the end of the period.

The initial Drop (34% over 33 Days)

There are 23 series plotted in the above chart ranging from 33 DTE options up to 1031 DTE. The specific DTEs are not listed on the chart to keep it clean but it can be assumed that biggest gains are seen in the shortest duration options and the smallest gains in the longest duration.

The initial 34% drop in 33 days had all the Puts (Left hand side of chart) showing a gain. The largest gains were in the shorter duration lower delta options with the 35 DTE option at -.1 Delta returning 6500%. All DTE series showed outsized gains in the -.1 delta option. The option with 102 Days to expiration and -.1 delta showed a 2000% gain.

These options were initiated at the peak of the market when implied volatility was very low.

The 25% Rally from the low

The current rally from the low has so far seen a 25% gain in SPY over 17 days. Again the shorter duration lower delta call options showed the largest gains with the 17 DTE .1 Delta option showing 1500% gain. Moving further out in DTE, the 543 DTE option shows a 375% gain.

These options were initiated at the low of the market and therefore had very high implied volatility when opened.

The Overall 18% Decline over 50 days

Taking the entire 50 day period so far since the high it can be seen that SPY has declined 18% and the shorter duration lower delta put options in each series have performed best. As this overall time period is 50 days the shorter duration options seen in the above examples do not feature here. There are 15 DTE series here ranging from 58 DTE to 1031 DTE.

The 58 DTE -.1 Delta put option had the largest gain at 1500% and the 303 DTE -.1 delta put option showed a gain of 400%.

These options were initiated at the close of the high of the market and therefore had very low implied volatility when opened.


The market crash that we are currently witnessing has seen large swings in the price of the S&P 500 index tracking ETF (SPY). Options on SPY have seen even larger % swings with the largest gain of 6500% witnessed during the initial crash.

The purpose of this post is not to recommend buying low delta short duration options as they often expire worthless but rather to visually show how options with various durations and Deltas have performed during this period of extreme volatility.

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