EDX 97.875/98.375 Strangle – 98.125 Straddle with 68 days to expiry
Despite sharp moves on Thursday, realized Vol seems to be trucking south , while implied holds up.
If you now also expect some consolidation to continue here, check out the Nov expiry Iron Flys. Nov looks rich, compared the Oct and Dec.
Payout for being long the Strangle vs the Straddle looks like this.
Price history, a total vol play
Historic 5-Year payout is -0.0903 average
A variation if you think that buying the Puts is a waste is to do the Big Lizard we mentioned last week, which Sells the straddle but any Buys a Call. The trades we flagged are slightly offside, but still look very good value on our side.
Trades booked for tracking
