When I had posted this message, the 1.00 puts were bid/ask 0.10 / 0.12
They are now 0.13 / 0.25
A lot of money has been flowing into these lower strike puts (1-5) this week. Yesterday, 3,000 each of the 2.00 and 4.00 puts traded. Today, 569 each of the 2.00 and 3.00 puts traded. Looks like this was done by the same trader.
Anyone here good with calculating Black Shoals for UVXY options? How much would the lower strike puts (1-5) increase in value should UVXY drop to around 7.00?