options volatility

  1. 1,047 Posts.
    Its interesting to note that the IVol of the ETO's trading have been floating around the 41-43% mark.

    I thought that the option price decay just worked on a day basis (i.e you lost more from time decay over a weekend etc), and the time decay parameters are links to the volatility numbers.

    It looks like traders are factoring the Easter and Anzac breaks, and the IVol on this months ATM options are down to 26-29%, and the ones for next month are moving down to the Mid 30's.

    Probably a possibility of making a few dollars here but will need to think what is my best strategy.
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