What other options have a rich premium? (IV > 80%)

Discussion in 'Options' started by heech, May 21, 2009.

  1. heech


    US equities, of course, often can have IV over 100%.

    And it looks like VIX futures options also has a pretty high IV (~80%, calculated from the future).

    Anything else? I've looked at treasury future options... and if I'm understanding them correctly, the IV is extremely low (in the teens).

    What about currency, commodity options? Anything else out there an aspiring vol seller might want to look into? Non-US equities?

    PS. Just for reference, I'm talking about front-month, ATM options.
  2. 1) "High" is relative.
    2) A raging bull market in grains and energies can produce enormous implied volatility levels.
    3) Those are really the "last thing" you would ever want to naked short-sell.
    4) Focus on options that have the higher trading volume in order to reduce slippage. :cool:
  3. heech


    Appreciate the notes. FWIW, I'm not blindly selling naked options as insurance... note, that's why I'm looking for ATM options. I have an automated trading strategy that delta hedges "real" (I hope) time.

    The grain futures + options look like they're worth studying for me. I'll have to see how I normalize some of the numbers here...
  4. Div_Arb


    Just withdraw all of your money in cash and set it on fire. You are going to get the same result either way. At least with the fire you can invite some friends over for a memorable occasion...
  5. GM 146%
    KDE 85.8
    FRE 77.8%
    ANPI 212.4%
    EK 100%
    ETFC 126.6&
    yrcw 169.8%
    TSRA 70.5%
    LEA 317.7%
    MCGC 124.3%

    Not only high but high compared to their IV percentile.

    Use them at your own risk......
  6. heech


    I have short call/put positions on about 60 front-month US stocks right now, all with IV over 80%... but *none* of the ones that you mentioned, and for good reason.

    I already have US equities covered, was really looking for other instruments.
  7. Lucrum


  8. heech,

    what service do you use to scan for stock IVs that are historically high or historically low? I know OptionVue can - I was just wondering if there are some other services that provide this. Thanks.
  9. heech



    I actually don't compare IV versus historical low/high...

    I use two sites to scan for high IV options in general, which I then filter using my own metrics:

    - ivolatility.com. Their SDK is useful for feeding live IV numbers right into my spreadsheet.

    - poweropt.com. Useful for backtesting, and also more accurate/configurable as a first-line scanner than most other sites I've come across.
  10. You do not want to get involved with this methodology.

    The risk is so much higher than most recognize.

    Hedged, schmedged. It's not the deltas that need to be hedged. It's the gamma. Stay far, far away.

    #10     May 21, 2009