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Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe
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To: Dominick who wrote (755)2/23/2003 1:56:36 PM
From: tyc:>  Read Replies (1) of 1064
 
Eureka ! Now isn't that interesting ! Do we therefore agree that the historic volatility of the past 50 days trading indicates an annual volatility of 22 % ?

This is interesting to me because I have MAR24 short calls approaching expiry. Normal strategy would be to let them expire even though it may leave me short the stock,... particularly when the implied volatility of these calls is 66%. Nevertheless, the implied volatility of the September calls is also over 60%. I am tempted to capture this longer term implied volatility by rolling forward my calls forthwith, believing that implied volatility is about to decline.
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