Why the Wick Wrecks Options
Small dip, huge premium swing
The underlying barely dips on the wick — but a Call's delta and gamma make the premium crater, then rocket on the reclaim. Pick an expiry and watch the same 0.6% wiggle hit your Call:
0DTE
1DTE
Weekly
Monthly
Underlying
Before
$134.50
Wick low
$133.70
Reclaim
$134.80
−0.6%
dip on the wick
Your Call
Before
$1.20
Wick low
$0.65
Reclaim
$1.45
−46%
crater on the same wick