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ATM Option Strike Selection Fails When Spot Equals a Strike

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Summary

This forum exchange reports a suspected error in an options-chain method that selects the at-the-money strike. The user says that when the underlying 50ETF price exactly matches a listed strike, the method returns a different strike instead. Two historical examples are given: a spot price matching a 2.8 strike returned 2.85, and a price equal to a 2.55 strike returned 2.6, despite nearby input prices producing the expected result.

A community participant confirms that equality between the underlying price and strike triggers a bug and says a fix is planned for a later release. The exchange is a narrow software-behavior report, not a general option-pricing explanation or strategy test. It does not describe the underlying selection algorithm, establish which release contains the fix, or provide verification after the correction, so users should not infer broader behavior from these examples alone.

Key ideas

  • The reported ATM selection bug occurs when the underlying price exactly equals a listed strike.
  • The examples concern 50ETF options and show the method returning a neighboring higher strike.
  • A community representative acknowledged the issue and said a software fix was planned.
  • The post provides no algorithm details or post-fix verification.

Tags

OptionsDerivatives pricingChina markets

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.