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Optionalysis: Budget Day Option Strategies

Before the Budget madness, let’s take a quick look at option strategies. Strangely, implied volatility is VERY low, with the VIX at 18.18 (election time saw it go up to 40).

August Options Strangle/Straddle?

Look at the implied volatility curve for August options: (Note: Not July, but August!)

At 7500, we see the volatility is lower on the puts - substantially so, at 15%. This is even after two down days, when the IVs should have shot up!

15% is . . .

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