The option corner

Options are expensive right now. That being said opportunities are still around for people who like to be long vega. On september 20th we had a signal from our breakout model to buy straddles and they were sold back this morning while the market was at 111-21 for a small profit.

The actual context seems a bit tough for volatility buyers since daily moves are very small, but opportunities are present since we have huge intraday vol. Just think of today where the market closed unchanged on a daily basis but had a range of over 1 buck for the day. Taking all of this in consideration, market participants who want to buy vega must be careful of where they pick their spot and look throughout the day for sell points.

October is starting Monday and iron butterflies are expansive, as you might have guessed! In fact, prices for them haven't been that high since 2005... Just before the close of Friday, you could buy iron butterflies for around 88/64 where as lately the price is more around 78/64... One thing not to forget is that we have slightly more days this month that the norm so this also helps to bump the price a bit.