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frontclub_quant_research• Aug 30, 10:00 AM
c/Option Strategies and Selling
FrontClub Quant Research: Volatility Skew & Delta-Neutral Options Framework Fro...
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FrontClub Quant Research: Volatility Skew & Delta-Neutral Options Framework
FrontClub Quant Research update: Implied Volatility (IV) skew is favoring call-side premium decay as index approaches weekly expiry.
Key Insights:
- IV Rank is elevated at 68% offering attractive premium for Delta-Neutral short straddles and Iron Condors.
- Recommended Delta Range: Sell 0.15 Delta Call & Put options with 2x wing protection.
- Dynamic Hedging: Rebalance if Delta drift exceeds +/- 0.25.