NaughtyPines

IT'S ABOUT DARN TIME -- FINALLY, SOME USABLE VOLATILITY ... .

CBOE:VIX   Volatility S&P 500 Index
With VIX             back above 15, it's time to look at selling premium in SPY/SPX, IWM/RUT, or in NDX/QQQ. Out of the three, the implied volatility in IWM             and RUT is the highest, followed by SPY/SPX and NDX/QQQ, so I'm likely to look at selling premium in RUT if this +15 volatility sticks around into early next week.

Preliminarily, it looks like a RUT July 1st 1095/1105/1200/1210 "classic" iron condor* will yield $335 in premium per contract, which is what I'm looking for in premium from an iron condor (1/3rd the width of the wings). (I already have an IWM             setup on that I'm working, but you can naturally also look at that for a 3-wide iron condor play, which is likely to yield a credit in the vicinity of $100/contract for a "classic").

I'm looking to stay both nimble and flexible here, so I'm going to stick with a shorter than usual duration setup ... .

As far as other underlyings or ETF's are concerned, implied volatility has really yet to bleed significantly into other sectors, although gold-related underlyings like GDX             and GDXJ             continue to enjoy comparatively high implied volatility , so you might see some more GDX             short strangles out of me in the event its implied volatility pops just a little further.

* -- My "classic" iron condor setup is to setup the call side at the 75% probability OTM strike and the put side at the 85% probability OTM strike, which yields a fairly delta neutral setup ... .
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