Implied volatility remains extremely high and investors are anticipating extreme moves in the major indices over the next month. When fear and uncertainty infiltrate the market, put/call options become more expensive compared to historical prices. Under normal market conditions implied volatility is lower because the market doesn’t make extreme moves like we have seen this past month. Based on implied volatility being elevated, smart investors are selling options to collect elevated option premiums. A strategy that benefits from time decay (theta) and vega (sensitivity to IV) when expected volatility collapses.

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