So lets say I have a setup on an index that has a fairly high positive outcome where it will not trade back through yesterdays close for the next 45 odd days. Futures are no good because I don't know if in 45 days the index is 10% away or right on that signal days close. So the two places the signals occur are at highs (so low volatility environment but potentially moving to a higher vol environment) and at lows (higher volatility environment but potentially moving to a lower vol environment) So I just wanted to ask is there any way to milk so more juice from the beast than simply selling calls when a lower move is expected or selling puts when a higher move is expected?
I think you would milk more juice and better risk reward with debit spreads and directional fly's, than credit spread or unhedged short call/put.
Thanks for the reply. Debit spread would need at least a move of the debit paid plus what you would get for selling the naked ATM option to outperform. As mentioned in 45 days the index could be exactly where it started so debit spreads would bring down the win rate a bit. Fly's maybe but again you will earn on a vol crush but the chance of getting a pin at the body is fairly small and so the win rate would probably be even worse for this option.