To me, there's no reason to resort to trading in individual underlyings when IV is high enough in the index ETF's to play with. But I can understand why some traders might be dissatisfied with just trading SPY             , IWM             , DIA             , and QQQ             . Quite frankly, pretty boring stuff, since it involves some waiting until IV is high enough to be worthwhile, and the droughts can last several days, if not several weeks, at times.

Premium sellers look to make trades where comparatively high volatility exists in either an individual underlying or an broad index ETF or sector ETF , and the general go-to strategies for doing that are either via short strangle or iron condor. That being said, sometimes the price of the underlying is too small to provide enough "juice" to make a high vol premium selling trade worthwhile if you use a short strangle or iron condor. In that event, consider a short strangle, which provides a great max profit opportunity. Here's an example of one -- CNX             , with a current IVR             of 99 (52-week TOS). Using the Oct 16 expiry, going by way of short strangle doesn't give you a heck of a lot -- the 9/20 short strangle yields a .59 credit, an iron condor even less. But a 15/15 short straddle yields a whopping 3.51 credit.

Here are the metrics for the setup:

Max Profit/BPE: 3.51/contract; BPE is undefined
BE's: 11.49/18.51
POP%: 46%

Notes: Dough/TastyTrade has conducted a little research on short straddles and advises to take them off at 25% max profit, which, in this particular case would yield about .88 in credit as compared to the .59 credit for the 1 SD             short strangle, which I would generally take off at 50% profit (i.e., upon realizing a .30 credit profit).

The other possibility to consider is a short strangle with expected strikes at the edge of the expected move (e.g., an Oct 16 11/17 short strangle; POP 58%; Max Profit: 1.42 credit; BE's at 9.58/18.42), which I would take off at a 50% max profit (or for a .71 credit profit).
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