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Strategies & Market Trends : How To Write Covered Calls - An Ongoing Real Case Study! -- Ignore unavailable to you. Want to Upgrade?

To: Douglas Webb who wrote (7151)	3/23/1998 4:13:00 PM
From: Zach E.	Respond to of 14162

He's got a new feature on the site: 20,50, and 100 day historical volatility for a huge number of symbols (including indexes and futures.) That makes it easy to compare the implied volatility calculated by my option page against historical volatility. This is an interesting bit of data. Thanks for pointing it out. Have you (or anyone) thought of using this type of info for a long straddle strategy? I.e., you would buy an equal # of puts and calls on (say) the OEX or INTC, and sell them once the implied volatility was high? You could use some kind of moving average of the VIX as buy/sell signals, or keep track of the implied volatility of a particular option yourself. If you initially bought the straddle with enough time to expiration, you wouldn't experience much time decay before the next signal. If you thought that the chance of a big move in a particular direction was higher, you could adjust the ratio of puts/calls to whatever. You could also use high points in implied volatility to go short on straddles, but that would be a much more high-risk and high-maintenance strategy. I read about a strategy like this online once, and it seemed promising. I realize that this doesn't have much to do with CC's, but I thought it seemed interesting in any case. Zach