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Hi guys, I was under the impression that selling an ATM call and buying a OTM call would always make you short vol on net(At that point in time). But then I did some tests on an option simulator and I got some strange results. All setups have varying vols, but the same DTM(41 days) and...

What strike and DTE was the 'IV Calls' in your photo? From the study linked... The most common ex post value measure for put options is the Volatility Risk Premium, which is option implied volatility, as proxied by the VIX Index level, minus the S&P 500’s realized volatility over the...

But do you know English at all? The title of the paper is.. Still Not Cheap: Portfolio Protection in Calm Markets Did you read any of it?

Of course they aren't just adding 3 points. The risk premium works out that way. And no, the 3 points doesn't come from when the vix is high. If you read the paper I posted it comes from all levels of the vix.

Thanks. I was not planing on naked put writing. It would definitely be a spread. Just trying to figure out what width is optimal and at what strike.

It is not my personal outcome as I am still learning. The study I posted is where I am getting my rational for the trade. I read mixed reviews of this trade online.

Makes sense, I believe the study was 30d atm vol, further OTM the premium should be a bit richer, but vega is lower. Thanks for the comments!

11.10? WHat do you mean? Any research/articles on the comment that skew isn't free money? Seems like you are of the opinion is that systematically selling puts ATM vs OTM doesn't change profitability. Is that right? What about favoring one over the other in times of high or low vol? Seem that...

I understand that the OTM sellers will win more often, but if OTM sellers win $11 while risking $100, 9 out of 10 times, will ATM sellers win $60 while risking $100 1 out of 2 times? (obviously over simplified)

Thanks for the reply. Do you not agree that option sellers as a whole beat option buyers? Just like a local insurance company in Louisiana can go bankrupt during hurricane Katrina(Karen), it doesn't mean selling insurance is a bad business. I certainly understand that a put buyer could by at...

Thanks for the reply. I understand the idea and logic behind delta hedging, but I am not sophisticated enough to do that. My thought was that underlying movement will net out to 0 over the long term and vol risk premium would be the only constant. If it is true option sellers are selling at 3...

Sorry, I don't completely follow. I was just stating it is known that in the long run HV has been shown to be lower than IV. I never said HV couldn't be greater than IV.

Hi all. I am curious the thoughts of the board on the logic behind perpetually selling credit put spreads atm vs otm. I see research citing IV is overstated by 3 vol points compared to realized vol. See the link below. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2579232 This is why...