Strike price by .01c increments

[clancyfish]

Can anyone tell me why strike prices for some options are listed with a 0.01 jump from one price to another. For example, ANZII8 at strike price 32.00 and ANZJG8 at 32.01? Also, why there may be intense interest in one option but not the other which is only 0.01c above it? Lastly, why one may jump in price dramatically in the course of a day and the other, 0.01c above, not move at all.

 

[Garpal Gumnut]

Can anyone tell me why strike prices for some options are listed with a 0.01 jump from one price to another. For example, ANZII8 at strike price 32.00 and ANZJG8 at 32.01? Also, why there may be intense interest in one option but not the other which is only 0.01c above it? Lastly, why one may jump in price dramatically in the course of a day and the other, 0.01c above, not move at all.

Until ASX and ASIC deal with High Frequency Trades HFT, bots to the underclass, there is no safety in trading as you do.

You are betting, not investing, and against a computer, which can lay off odds and change the buy/sell ratio automatically.

gg

 

[Sharkman]

Can anyone tell me why strike prices for some options are listed with a 0.01 jump from one price to another. For example, ANZII8 at strike price 32.00 and ANZJG8 at 32.01? Also, why there may be intense interest in one option but not the other which is only 0.01c above it? Lastly, why one may jump in price dramatically in the course of a day and the other, 0.01c above, not move at all.

the ones with .01, .51 etc. are usually european style (can only exercise at maturity). as equity options are traditionally american style (can exercise at any time up until maturity) there is far less interest in the europeans hence lower liquidity. other types of options may differ, eg. FX options are traditionally european style

the calls will behave much differently b/w the european and american contracts if the expiry period includes the divvy ex date since the option buyer cannot early exercise europeans in order to secure the divvy - which he would likely do if the divvy exceeds the remaining extrinsic. you will see this with the may ANZ call contracts in particular as ANZ is expected to go ex-div in early-mid may

at todays prices you would expect the may ANZ 34 calls to move around quite a bit - it will have decent delta. but the 34.01 calls are effectively two strikes OTM since ANZ will probably declare an 80c div or so, giving a "forward" price at may expiry of around 33. in todays low vol environment those 34.01 calls will have small delta so they won't move very much in response to movements in the stock price