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Strategies & Market Trends : MARKET INDEX TECHNICAL ANALYSIS - MITA
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To: Steve Lee who wrote (10542)2/17/2002 2:02:54 PM
From: Dexter Lives On  Read Replies (1) of 19219
 
If I write a 60 day put at 25% implied volatility, expecting that actual volatility will be lower in the next 30 days (i.e. implied volatility will drop to 20% at the end of the 30 day period), than I've made profits purely from having anticipated the lower implied volatility, not counting the time decay and other decrements to option value.

So I'm saying if they're writing a bunch of (index) puts at 22%, then I bet they anticipate actual volatility is going lower, not higher - that will result in lower implied volatility in pricing the same instrument a month later and they can close out their position for a nice profit without relying on much change in the underlying.

Rob
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