Short v. Long Volatility on Options So many different types of option strategies One useful distinction: are we long or short volatility? In other words:

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Presentation transcript:

Short v. Long Volatility on Options So many different types of option strategies One useful distinction: are we long or short volatility? In other words: does a large movement in the asset price help or hurt us?

Long Volatility Buying Calls Buying Puts Protective Puts Buying straddles

Long Volatility Buying Calls

Long Volatility Buying Puts

Long Volatility Protective Put

Long Volatility Buying Straddles

Short Volatility “Income” strategies: Covered Calls Selling Puts Selling straddles Some spread trades

Short Volatility Covered Call

Short Volatility Selling Puts

Short Volatility Selling straddles

Short Volatility Deep In/Out-the-Money spread trades

Long or short volatility?

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