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Volatility
Options fall into the category of being slightly undervalued in non-volatile markets in the weekly options report.Notes:
Contract Size - $50 x S&P 500 Index.
Tick Size: Outright: 0.25 index points=$12.50
Trading Hours: CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. Eastern Time (ET) with trading halt 4:15 p.m. - 4:30 p.m.
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E-Mini S&P
Below are charts for reference.
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Strategies
Below is a reverse calendar which falls in line with Paul's weekly report based on looking at implied in relation to statistical volatility levels. The spread is a pure directional play.
The % yield shown in the diagrams below represent an estimated return on margin from projected dates shown below. The structure has positive time decay which is an advantage over holding outright options.
Here's a diagonal calendar spread to the downside. It takes into consideration that IV would increase with a sell off in the market and maintains positive Vega. It's a variation to a standard calendar spread to reduce both margin requirement and lessen Vega.
