Search results

I agree. There certainly is edge out there, such as selling high IV liquid names like you said, because implied volatility historically overstates actual volatility. But delta can't really be overstated like vol can, because it has no value. It is a measure of how long or short you are.

Options markets are too efficiently priced for there to be any arbs such as this to actually work. You're wasting your time, but don't let me stop you from giving it a go.