Notes: Still have some March on, but adding some in April at the 16 delta strike with 30-day at 49.9% and expiry-specific at 45.7%. 2.00% ROC at max as a function of notional risk.
I really like your ideas, but doesn’t it concern you EWZ & ICLN have terrible IVR? Vega will likely work against you. I did follow trade the MJ trade since that one was perfect mechanically
NaughtyPines
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@scurson12, One of the reasons why their IVR is so horrible here is due to the high IV event we had last year. When you have a high IV event in the last 52 weeks, it may appear that given 30-days are "low in the range" when, looked at over shorter time frames, their IV is actually "decent" as a function of where they've been. Once last year's IV event drops off the chart, so to speak, these IVR's will sort of regularize, and that metric will be useful again. This is why I always look at (a) IVR, (b) 30-day IV; and (c) what the 45 DTE ATM short straddle is paying as a function of stock price. The last thing (which is a really an old school metric) gives me a more objective view as to whether -- in dollar and cents terms -- selling premium in a given underlying is "worth it."
NaughtyPines
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@NaughtyPines, If I stuck to screening on the basis of IVR alone here (>70 for single name, >50 for ETF's), I probably wouldn't be trading anything here even though premium is effectively worth it for me in quite a number of underlyings.
scurson12
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@NaughtyPines, thanks for the explanation, that makes sense, but won’t the IVR begin to spike back up soon since the high IV event happened in March?
NaughtyPines
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@scurson12, Yep. IVR should slowly creep up, even if 30-days remain about the same. Looking at the VIX chart to get kind of a broad sense of when IVR might begin to "make sense," it doesn't really look like we got back to somewhat same levels in VIX (the 20's) until, geez, looks like June (in 20-20 hindsight, it didn't feel all that "long").
scurson12
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@NaughtyPines, awesome, thanks so much, appreciate your work!