The Skinny on Options: Abstract Applications - July 19, 2021 - When Every Option is an ATM Option

published 6 days ago by tastytrade, Inc.

As premium sellers looking to take advantage of higher volatility in the markets, a volatility expansion is an opportunistic time for us at tastytrade. Interestingly though, when implied volatility rises, it has a unique effect on delta (something we saw when we learned about Vanna in the Greeks Crash Course). Specifically, with a spike in volatility, OTM strikes will see their deltas rise and ITM strikes will see their deltas fall. In other words, in this higher volatility environment, every option feels more like an ATM option.

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