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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 diagonal calendar fly which falls in line with Paul's weekly report based on looking at implied in relation to statistical volatility levels. The position is delta neutral and would benefit if prices fell with an increase in implied volatility. It would have an additional gain on top of the directional play due to positive Vega in the position.
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.
