evaluating the payoff of an options position using probability distribution.
evaluating current implied and historical volatility regimes using a simple ranking equation.
spread comparo: Put Verticals on low vs elevated implied volatilities.
triple whammy of naked short puts- negative gamma, negative vega and negative vomma: hidden risks of naked put selling strategies... aka "income strategies".
Spread comparo: Selling Put verticals : static IV vs. dynamic IV's ...
Backtest comparo: See how a "baseline strategy" of shorting a 1 standard deviation put spread every day (with a maximum of 10 positions per expiration cycle) compares to having a proprietary bullish filter. In spite of a > 80% win rate, see how the record low Vix as of May 2017 should give trader pause when these short gamma positions!
A charmed discussion why you are losing money even when you get direction right! (aka delta bleed)- for the backspreaders out there.
Case Study- With Vix at historic lows, check out results of Buying a QQQ ATM straddle daily (max 3 per expiration cycle) and exiting the trade 4-5 days later. A cautionary tale for premium selling in this very low IV regime.