2022 a Premium Sellers Paradise?

2 years ago
8

SKEWtacular--
--SKEW 200 day moving avg 147.00!
--back month skew higher
--lower vol has brought higher skew
--VIX takes a back seat

Premium Selling Dynamics--
--realized vol vs Imp Vol
--Lower Vol = Xmas Tree Spreads with VIX hedges
--Higher Vol pure premium selling

SPX Expected Move --
--last week -- 72.40 (expected move)
--next week-- 62.48

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