{"id":210260,"date":"2025-12-19T13:00:51","date_gmt":"2025-12-19T18:00:51","guid":{"rendered":"https:\/\/ibkrcampus.eu\/campus\/uncategorized\/options-pricing-in-santa\/"},"modified":"2025-12-29T16:16:04","modified_gmt":"2025-12-29T16:16:04","slug":"options-pricing-in-santa","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.eu\/campus\/traders-insight\/securities\/options\/options-pricing-in-santa\/","title":{"rendered":"Options Pricing in Santa"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">As we finish the last full trading week of the year today, questions are beginning to abound regarding the likelihood of a \u201cSanta Claus rally.\u201d&nbsp; The standard definition of its timeframe is the last five trading days at year-end and the first two trading days of the ensuing year.&nbsp; Although this year\u2019s start date is the Christmas Eve half-day, as is typical, it seems that traders are revving up their sleighs in advance.&nbsp;<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Yesterday\u2019s rally seems to have abated the sour mood that prevailed earlier this week, and the good vibes are continuing today.&nbsp; In a change to the recent pattern, the pre-market was rather subdued.&nbsp; It was only once the regular session opened that stocks began their ascent in earnest.&nbsp; It\u2019s not clear what created the early mood booster \u2013 perhaps there was some influence from the quarterly expiration of futures and options \u2013 but it has persisted in the hours since.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">One way that we can discern traders\u2019 optimism for Santa\u2019s arrival is using the IBKR Probability Lab.&nbsp; It has become customary to see traders assign higher probabilities to above-market outcomes for the S&amp;P 500 (SPX).&nbsp; We have posited that it might represent \u201cFOMO insurance\u201d, where skeptical or underinvested institutional investors utilize upside calls to hedge their risk of underperformance.&nbsp; Of course, it could simply be that after a three-year bull market traders simply expect that the market is more likely to rise than fall on any given day and over any given period.&nbsp; I suspect that both factors are at work.&nbsp; Regardless, the propensity for an asymmetric upside probability distribution certainly continues through to the Santa Claus rally period.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">As you look through the charts below, you should notice two easily explainable patterns.&nbsp; The daily average implied volatilities (top right) tend to rise and so do the peak outcomes.&nbsp; (You may also notice that we don\u2019t include December 31<sup>st<\/sup>.&nbsp; Frankly, I\u2019m not sure why that data is not available.)<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Regarding the implied volatilities, remember that the normal term structure of volatility rises over time, and that in this case, we are looking mainly at a period when volatility tends to be suppressed.&nbsp; As for the rising peak outcomes, if one expects the market to rise on Day 1, it is reasonable to use a higher starting point on Day 2.&nbsp;<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Bottom line, traders are pricing in a modest rally into the end of the year and the start of next.&nbsp; Quite frankly, I was expecting a bit more optimism \u2013 perhaps even a run at 7,000.&nbsp; In any case, unless we get some significant market-moving news, the adage \u201cdon\u2019t short a dull tape\u201d should resonate with traders between now and year-end.<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" data-src=\"https:\/\/www.interactivebrokers.com\/campus\/wp-content\/uploads\/sites\/2\/2025\/12\/image-60.png\" alt=\"SPX expiration implied volatility comparison. \" class=\"wp-image-208782 lazyload\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><em>IBKR Probability Lab for SPX Options Expiring December 24, 2025<\/em><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" data-src=\"https:\/\/www.interactivebrokers.com\/campus\/wp-content\/uploads\/sites\/2\/2025\/12\/image-62.png\" alt=\"SPX probability lab chart Dec 24\" class=\"wp-image-208783 lazyload\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Source: Interactive Brokers<\/em>. Past performance is not indicative of future results. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><em>IBKR Probability Lab for SPX Options Expiring December 26, 2025<\/em><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" data-src=\"https:\/\/www.interactivebrokers.com\/campus\/wp-content\/uploads\/sites\/2\/2025\/12\/image-61.png\" alt=\"SPX probability lab chart Dec 26\" class=\"wp-image-208783 lazyload\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Source: Interactive Brokers<\/em>. Past performance is not indicative of future results. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><em>IBKR Probability Lab for SPX Options Expiring December 29, 2025<\/em><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" data-src=\"https:\/\/www.interactivebrokers.com\/campus\/wp-content\/uploads\/sites\/2\/2025\/12\/image-63.png\" alt=\"SPX probability lab chart Dec 29\" class=\"wp-image-208784 lazyload\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Source: Interactive Brokers<\/em>. Past performance is not indicative of future results. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><em>IBKR Probability Lab for SPX Options Expiring December 30, 2025<\/em><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" data-src=\"https:\/\/www.interactivebrokers.com\/campus\/wp-content\/uploads\/sites\/2\/2025\/12\/image-66.png\" alt=\"SPX probability lab chart Dec 30\" class=\"wp-image-208787 lazyload\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Source: Interactive Brokers<\/em>. Past performance is not indicative of future results. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><em>IBKR Probability Lab for SPX Options Expiring January 2, 2026<\/em><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" data-src=\"https:\/\/www.interactivebrokers.com\/campus\/wp-content\/uploads\/sites\/2\/2025\/12\/image-64.png\" alt=\"SPX probability lab chart Jan 2\" class=\"wp-image-208785 lazyload\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Source: Interactive Brokers<\/em>. Past performance is not indicative of future results. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><em>IBKR Probability Lab for SPX Options Expiring January 5, 2026<\/em><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" data-src=\"https:\/\/www.interactivebrokers.com\/campus\/wp-content\/uploads\/sites\/2\/2025\/12\/image-65.png\" alt=\"SPX probability lab chart Jan 5.\" class=\"wp-image-208787 lazyload\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Source: Interactive Brokers<\/em>. Past performance is not indicative of future results. <\/p>\n","protected":false},"excerpt":{"rendered":"<p>As we finish the last full trading week of the year today, questions are beginning to abound regarding the likelihood of a \u201cSanta Claus rally.\u201d\u00a0 The standard definition of its timeframe is the last five trading days at year-end and the first two trading days of the ensuing year.\u00a0 Although this year\u2019s start date is the Christmas Eve half-day, as is typical, it seems that traders are revving up their sleighs in advance.\u00a0<\/p>\n","protected":false},"author":4,"featured_media":201050,"comment_status":"open","ping_status":"closed","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":true,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[145,147,18,8,12,148,7],"tags":[],"contributors-categories":[149],"class_list":["post-210260","post","type-post","status-publish","format-standard","has-post-thumbnail","category-ibkr-market-insights","category-north-america","category-options","category-region","category-securities","category-text-articles","category-traders-insight","contributors-categories-interactive-brokers"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v28.4) - 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He has held numerous roles in the organization since joining Timber Hill, IBKR\u2019s predecessor, in 1995 as Equity Risk Manager and an options market maker. He developed and implemented automated trading strategies for stocks and options before moving into his current role. Steve has guest authored several columns in Barron\u2019s and made numerous live on Bloomberg TV and Radio, CNBC, Yahoo Finance, Fox Business, and several other media outlets in North America, Asia, Australia, and the Middle East in addition to being quoted frequently in print and electronic media. 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