UPTICK IN INDICES' IVR MARKS PREMIUM SELLING OPPORTUNITIES
With the downturn in Friday's indices and their respective proxies (SPY, IWM, QQQ, and DIA), a measure of volatility has returned to the market such that selling premium in these instruments is modestly attractive. QQQ has an IVR of 49 (6-Mo. Dough), IWM: 48, DIA: 41, and SPY: 31 (I generally look for an IVR of >35 in ETF's and the indices in which to sell premium; >70 in individual underlyings).
Naturally, these IVR's aren't stellar, but they sure beat the sub-20 IVR (and, in some cases, sub-10 IVR) in the indices which marked most of last week's action.
Unfortunately, premium on the call side remains thin at the 1 SD, so consider fashioning short call verts such that the BE is at or above the expected move and then, if going the iron condor route, legging in the short side in such a way that the IC is as close to delta neutral as practicable or that available strike prices permit. In the alternative, attempt to get a fill for an entire delta neutral iron condor setup in one fell swoop.
Naturally, these IVR's aren't stellar, but they sure beat the sub-20 IVR (and, in some cases, sub-10 IVR) in the indices which marked most of last week's action.
Unfortunately, premium on the call side remains thin at the 1 SD, so consider fashioning short call verts such that the BE is at or above the expected move and then, if going the iron condor route, legging in the short side in such a way that the IC is as close to delta neutral as practicable or that available strike prices permit. In the alternative, attempt to get a fill for an entire delta neutral iron condor setup in one fell swoop.
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