NaughtyPines

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

INDEX:VIX   CBOE Volatility 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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