What other options have a rich premium? (IV > 80%)

Quote from heech:

OptionSeeker,

I actually don't compare IV versus historical low/high...

I use two sites to scan for high IV options in general, which I then filter using my own metrics:

- ivolatility.com. Their SDK is useful for feeding live IV numbers right into my spreadsheet.

- poweropt.com. Useful for backtesting, and also more accurate/configurable as a first-line scanner than most other sites I've come across.
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Thanks heech - I'll check them out. I didn't know ivolatility did that. I just have the basic to show the yearly IV chart for stocks.
 
Quote from dagnyt:

You do not want to get involved with this methodology.

The risk is so much higher than most recognize.

Hedged, schmedged. It's not the deltas that need to be hedged. It's the gamma. Stay far, far away.

Mark
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Thanks for the advice/warning, Mark. I have back tested earnings play (IV crush) and found that the long FOTM double calendar strangles (not the reverse calendar) did okay, and I have only put on a few real trades of this in April that turned out well. But yes, one really big move could damage the position because of the gamma and probably wipe out all the little gains.
 
Quote from dagnyt:

You do not want to get involved with this methodology.

The risk is so much higher than most recognize.

Hedged, schmedged. It's not the deltas that need to be hedged. It's the gamma. Stay far, far away.

Mark
More...

Good comments, Mark

I doubt shorting equity strangles is a valid strategy, I got burn on 10/31/07 shorting CROX at earning release.

Any one using this strategy has been making money consistently for years?

Thanks
 
Quote from Div_Arb:

Just withdraw all of your money in cash and set it on fire. You are going to get the same result either way. At least with the fire you can invite some friends over for a memorable occasion...
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Classic...:D
 
Generally speaking, you won't get high IVs outside of equities. High is a relative thing obviously, but if your selling premium strategy can't handle any type of instrument and likewise your hedge, than you should reconsider if you really have an edge with it at all.
 
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