anybody else doing the ITMN?

Discussion in 'Options' started by silk, Aug 25, 2002.

  1. silk


    I sold 30 contracts of the sept $20 puts and calls for $8 premium. Not bad for 4 1/2 weeks till expiration.

    Anybody else working these options? I understand that they have news coming out next month. HOpe it doesn't move the stock more than 8 points in either direction.
  2. i made some money just buying the puts over the past few months but haven't touched it lately. It is looking stronger though.
  3. If the IV reverts to the HV you'll be ok.

    Why all the option volume this past week?
  4. For what its worth, I reviewed some seasonal characteristics about volatility from the end of August thru September. The stats are worth some further investigation. In each of the previous three years, the volatility low was made in the third week of August and the peak was typically made with six weeks, here are the stats and ensuing highs...(NOTE: This is only based on the VIX, just a raw pen and paper calculation, so I dont tick off any of the scientists on the site)...

    2001: 8/27(low) 21.94 9/21(high) 57.31 +161.21%
    2000: 8/28(low) 18.13 10/13(high)36.74 +102.65%
    1999: 8/25(low) 20.31 9/24 (high) 32.33 +59.88%
    1998: 8/07(low) 25.28 9/01(high) 53.08 +109.97%

    So, in three of the last four years the VIX has bottomed in the final week of August before rising thru September and typically October...So I would say odds favor rising volatility and long volatility strategies