Option Strategies For High Volatility(고변동성을 위한 옵션 전략)

Option Strategies For High Volatility

고변동성을 위한 옵션 전략

 

BySteve Burns

When implied volatility for options pricing is high it is usually the best risk/reward ratio to look at selling option premium with strategies like iron condors, credit spreads and short strangles. When implied volatility falls the price of options can drop quickly creating profits for short volatility option plays.

옵션 가격 책정에 대한 내재 변동성이 높을 때 일반적으로 철 콘도르, 신용 스프레드 및 스트랭글 매도와 같은 전략으로 옵션 프리미엄을 매도하는 것이 가장 좋은 위험/보상 비율입니다. 내재 변동성이 떨어지면 옵션 가격이 빠르게 하락하여 단기 변동성 옵션 플레이에 이익이 될 수 있습니다.

Should I buy options when volatility is high?

변동성이 높을 때 옵션을 사야 합니까?

Long option plays are more difficult to profit from during high IV environments as their price is high and must move to a greater degree than the Vega pricing. During high implied volatility markets a long option buyer must have the price of the underlier move with enough magnitude and speed to overcome both the Vega and Theta priced into the contract by going deep enough in-the-money in intrinsic value before IV drops.

롱 옵션 플레이는 가격이 비싸고 Vega 가격보다 더 많이 움직여야 하기 때문에 높은 IV 환경에서 이익을 얻기가 더 어렵습니다. 높은 내재 변동성 시장에서 옵션 매수자는 IV가 떨어지기 전에 내재 가치에서 충분히 내가격으로 이동함으로써 계약에 가격이 책정된 Vega와 Theta를 모두 극복할 수 있을 만큼 충분한 규모와 속도로 기초 가격을 움직여야 합니다.

How do you make money from high implied volatility?

높은 내재 변동성에서 어떻게 돈을 벌 수 있습니까?

 

Iron Condor Strategy

 

 

An iron condor is an option play that is created with two vertical spreads. An Iron Condor is a combination of both a put option spread and a call option spread that have the same expiration date and four different strike prices.

아이언 콘도르는 두 개의 수직 스프레드로 생성되는 옵션 플레이입니다. Iron Condor는 만기일이 동일하고 행사가가 4가지 다른 풋옵션 스프레드와 콜옵션 스프레드의 조합입니다.

A short iron condor is opened when an option trader sells both sides of the underlying stock or commodity by shorting  the same number of calls and puts at the same time, then buying another option contract further out of the money of each position to hedge with the purchase of  calls and puts.

옵션 거래자가 동일한 수의 콜과 풋을 동시에 매도하여 기초 주식 또는 상품의 양면을 매도한 다음 콜과 풋을 매수하여 햇지하기 위하여 각 포지션의 돈에서 추가로 다른 옵션 계약을 구매할 때 철 매도 콘도르가 열립니다.

This option play is named for the shape of the potential for profit and loss graph, which looks similar to a large bird with a body and extended wings like a condor. With this analogy option traders often call the closer options the body and the farther out options the wings. It is called iron to denote its strength in being profitable inside a set price range.

이 옵션 플레이는 몸집이 큰 새와 비슷하고 날개가 콘도르처럼 뻗은 포텐셜 손익 그래프의 모양에서 이름을 따왔습니다. 이 비유를 통해 옵션 거래자는 가까운 옵션을 몸체라고 부르고 먼 옵션을 날개라고 부릅니다. 정해진 가격대 내에서 수익성이 있다는 강점을 나타내기 위해 철이라고 한다.

One edge of an iron condor play over a single vertical spread is the initial and maintenance margin needed for the open iron condor is often the same as the margin for one vertical spread as the risk can only go against one side at a time. However the iron condor offers the chance to profit from two net credit premiums of options instead of just one. This can create a larger return on capital at risk when the market is in a trading range.단일 수직 스프레드에 대한 철 콘도르 플레이의 한 에지는 초기이다 위험이 한 번에 한 쪽으로만 갈 수 있기 때문에 오픈 철 콘도르에 필요한 초기 및 유지 마진은 종종 하나의 수직 스프레드에 대한 마진과 동일합니다.
그러나 철 콘도르는 하나가 아닌 두 가지 옵션의 순 신용 프리미엄에서 이익을 얻을 수 있는 기회를 제공합니다. 이는 시장이 거래 범위에 있을 때 위험에 처한 자본에 대한 더 큰 수익을 창출할 수 있습니다.

An edge an iron condor has with commissions happens when the price of the underlier is trading inside the price range of the options inner strikes at expiration and a trader can let most or all of the options expire worthless with no need for further trading costs.

커미션에 대한 철 콘도르의 우위는 기초 가격이 만기 시 옵션 내부 행사가의 가격 범위 내에서 거래되고 거래자가 추가 거래 비용 없이 대부분 또는 모든 옵션이 무가치하게 만료되도록 할 때 발생합니다.(행사가격 밖에서 거래된다면 우선 행사가격보다 높게 거래된다면 공개시장에서 처분하고 행사가격 및으로 거래되면 옵션을 선택할 것이다)

An option trader can also close a leg of the trade if price moves within range of going in-the-money on a short side of an option.

만일 가격이 옵션의 짧은 면에 있는 인더 머니 안에 들어가는 범위내로 움직인다면 옵션 거래자는 역시 거래다리를 종료할 수 있다 

The danger for long iron condors is during market trends in one direction during the time of the option play causing a loss on the short options or if the options in the play become illiquid and difficult to exit without losing a large amount in the bid/ask spread.  The parameters set when you open the trade can set your risk based on the worse case scenario of price reaching your hedges for the maximum loss. This play is most profitable when implied volatility is high but the market does not move consistently in one direction and just ends up back inside the original range when the option play was open.

롱 아이언 콘도르에 대한 위험은 옵션 플레이 시간 동안 한 방향으로의 시장 추세로 인해 숏 옵션에 손실이 발생하거나 플레이의 옵션이 비 유동성이 되어 매수/매도에서 많은 금액을 잃지 않고 종료하기 어려운 경우입니다. 거래를 열 때 설정한 매개변수는 가격이 최대 손실에 대한 헤지에 도달하는 최악의 시나리오를 기반으로 위험을 설정할 수 있습니다. 이 플레이는 내재 변동성이 높지만 시장이 한 방향으로 일관되게 움직이지 않고 옵션 플레이가 열렸을 때 원래 범위 안으로 되돌아갈 때 가장 수익성이 높습니다.

The iron condor is a nondirectional option play because the maximum profits occur when there is no trend in price during the time that it is open.

아이언 콘도르는 오픈 시간 동안 가격의 추세가 없을 때 최대 이익이 발생하기 때문에 무방향성 옵션 플레이입니다

 

Credit Spread Strategy

신용 스프레드 전략

 

Profit from bear spread using put options 풋옵션을 사용한 약세 스프레드의 이익

 

In options trading a credit spread is an options play where a trader buys one option and sales another option contract of the same stock and expiration but at different strike price levels. This type of option play construction attempts to make a net profit when the price spread between the two different options gets closer together leading to a net profit from the difference in the short and long options.

옵션 거래에서 신용 스프레드는 거래자가 하나의 옵션을 구매하고 동일한 주식 및 만기이지만 행사 가격 수준이 다른 다른 옵션 계약을 판매하는 옵션 플레이입니다. 이러한 유형의 옵션 플레이 구성은 서로 다른 두 옵션 간의 가격 스프레드가 가까워질 때 순이익을 얻으려고 시도하여 매도 옵션과 매수 옵션의 차이에서 순이익이 발생합니다.

Option traders get paid a net credit when they open this option play with the difference between the prices when both selling one option and buying another, they want to see the price spreads get smaller, converge, or simply both expire to keep the net profit in premium. While an option trader would need to pay a premium to open a debit spread they get paid to open a credit spread. A spread getting closer together or converging means that the short option in the play could even be close to being in-the-money at the expiration date but still at a less amount than the net premium paid when opened and the trade is profitable. This would be a smaller amount than the most that could be gained if both options in the credit spread expired worth nothing, as both expiring worthless would lock in the maximum credit for this option play.

옵션 트레이더는 하나의 옵션을 파는 경우와 다른 옵션을 사는 경우 모두 가격 차이를 두고 이 옵션 플레이를 열 때 순 신용을 받습니다. 그들은 가격 스프레드가 더 작아지는 것을 보고 싶어하거나 수렴하거나 단순히 둘 다 만료되어 순이익을 프리미엄으로 유지하려고 합니다. 옵션 거래자는 차변 스프레드를 개설하기 위해 프리미엄을 지불해야 하는 반면, 신용 스프레드 개설에 대해서는 급여를 받는다. 서로 가까워지거나 수렴한다는 것은  플레이 중 쇼트옵션이 유통기한이 되면 인더머니(내 가격)에 가까울 수 있지만, 오픈했을 때 내는 순 프리미엄보다 적어 거래는 이익이라는  것을 의미한다. 이는 신용 스프레드의 두 옵션이 모두 가치가 없을 때 얻을 수 있는 최대 금액보다 작은 금액일 것이다.

Option brokers margin requirements for option credit spreads are much less than they are for uncovered short options with unlimited risk. A credit spread is an option play with the long option acting as a hedge for the short option. It is not possible for the account to lose more money than the margin that is required at the time the play is opened because the loss is capped.

옵션 신용 스프레드에 대한 옵션 중개인의 증거금 요건은 위험이 무제한인 미보상 매도 옵션보다 훨씬 적습니다. 신용 스프레드는 매수 옵션이 매도 옵션에 대한 헤지 역할을 하는 옵션 플레이입니다. 손실 상한선이 있기 때문에 플레이가 열릴 때 필요한 증거금보다 더 많은 돈을 계정에서 잃을 수는 없습니다.

A bullish credit spread refers to an option play where the premium value of the spread play decreases as the price of the underlying stock rises. A bullish credit spread is constructed with puts options.(기초자산의 가격이 오르면 이는 상승이다)

강세 신용 스프레드는 기초 주식의 가격이 상승함에 따라 스프레드 플레이의 프리미엄 가치가 감소하는 옵션 플레이를 의미합니다. 강세 신용 스프레드는 풋 옵션으로 구성됩니다.

A bearish credit spread refers to an option play where the premium value of the spread play decreases as the price of the underlying stock falls. A bearish credit spread is constructed with call options.(가격자산이   내리면 이는 하락이다)

약세 신용 스프레드는 기초 주식 가격이 하락함에 따라 스프레드 플레이의 프리미엄 가치가 감소하는 옵션 플레이를 의미합니다. 약세 신용 스프레드는 콜 옵션으로 구성됩니다.

This option play is best suited for range bound markets and the profit from this option play comes from the variance in premium between the option contract bought and the option contract short. A credit spread becomes more profitable as the premium value of the option play declines in the option traders favor.

이 옵션 플레이는 범위 제한 시장에 가장 적합하며 이 옵션 플레이의 이익은 매수한 옵션 계약과 옵션 계약 매도 사이의 프리미엄 차이에서 나옵니다. 옵션 거래자가 선호하는 옵션 플레이의 프리미엄 가치가 하락함에 따라 신용 스프레드는 더 수익성이 높아집니다.

The maximum gain is equal to the net credit occurs if both options expire out-of-the-money.

The maximum loss is difference in strike prices minus the net credit that occurs if both the options expire in-the-money.

최대 이익은 두 옵션이 외가격으로 만료되는 경우 발생하는 순 크레딧과 같습니다.
최대 손실은 행사 가격의 차에서 두 옵션이 내가격 만료되는 경우 발생하는 순 크레딧입니다.

최대 손실은 행사 가격에서 두 옵션이 모두 현금으로 만료될 때 발생하는 순신용 차액을 뺀 것이다.

A credit spread has much less risk than a naked put or uncovered call in a volatile market because it has a hedge than limits the losses.
신용 스프레드는 손실을 제한하는 것보다 더 헤지(hedge)가 있기 때문에 변동성이 큰 시장에서 네이키드 풋 또는 언커버드 콜보다 위험이 훨씬 적습니다.

 

Short Straddle

Option pay off diagram for a short straddle struck at K where the total cost of the two constitutent options is V.

두 개의 구성 옵션의 총 비용이 V인 K에서 만나는 매도 스트래들에 대한 옵션 보수 다이어그램.

 

A short straddle is a non-directional option play when the trader sells a put option and a call option on the same underlier with the same strike price and expiration date. The potential profit is capped at the total option premium the option writer receives from the sale to open the transaction from the put and call price at the sale.

.숏스트래들은  거래자가 같은 행사가와 만기일이 동일한 동일한 기초자산에 풋옵션과 콜옵션을 매도할 때 무방향성 옵션 플레이입니다. 잠재적 이익은 옵션 작성자가 판매 시 풋 및 콜 가격에서 거래를 개시하기 위해 받는 총 옵션 프리미엄으로 제한됩니다.

The risk of a short straddle play is theoretically unlimited as a large trend in the underlier price whether up or down will create a large loss. It loses if a price move causes one side of the short straddle play to go in-the-money and cost more to buy back than the total premium received when it was opened it will become unprofitable.

짧은 스트래들 플레이의 위험은 이론적으로 상향 또는 하향이 큰 손실을 초래할지 여부에 관계없이 저가 가격의 큰 추세로서 무제한입니다. 가격 이동이 짧은 스트래들 플레이의 한쪽이 돈을 벌게 되고 그것이 열렸을 때 받은 총 프리미엄보다 더 많은 돈을 다시 사는 데 돈이 많이 들게 되어  그것은 손해를 보게 되면 손실을 본다 .

The most profit possible for a short straddle happens at expiration if the underlying asset trades at the same price as the strike of the straddle. If both the put and call sides of the straddle expire out-of-the-money and worthless the straddle achieves the maximum profit and the option trader profits from all the premium received when the play was opened.

짧은 스트래들에 대해 가능한 가장 많은 이익은 기초 자산이 스 트래들의 행사와  동일한 가격으로 거래되는 경우 만료시 발생합니다. 스 트래들의 풋 및 콜 사이드가 모두 아웃 어브 머니로  만료되고  쓸모없이 된다면  스트래들은 최대 이익을 달성하고 옵션 트레이더는 플레이가 열렸을 때받은 모든 프리미엄에서 이익을 얻습니다.

The short straddle option play is nondirectional because the short straddle profits when there is no trend in price during the time the play is open. The short straddle can be considered as a credit spread because it is sold to open and results in a credit from the option premiums of both the put option and call option. A short straddle combines an at-the-money naked put and uncovered call to hedge each other with the premium received.

 

The risk for the option trader of a short straddle play is potentially unlimited due to having no hedges in place while being short both sides of the market with both a call and a put, of course a stop can be used to buy to close and stop losses if the market goes against one of your positions. While the win rate with the short straddle play can be high the risk/reward ratio is not good as the maximum profit is limited to the premium of the options received but a loss can be any size if the play is held during a strong trend. This is one of the best option plays for maximum two sided IV crush profits.

What is options IV crush?

Implied volatility or IV crush describe when an options Vega premium dropped dramatically out of its pricing. This usually happens after a major event has passed for the underlying stock or market for the option contract. The most common time to see IV crush in a stock option is after an earnings announcement for the underlying company. It can also happen in the market as a bear market suddenly reverts to an upswing in price action.

An IV crush happens because the Vega in the options pricing model tries to project the potential move after earnings or the risk of a large move into an option price. Option sellers have to be compensated for the uncertain risk of the potential future price action of a stock after earnings.

The at-the-money options in an option price chain reflects the implied move in a stock. If a stock is trading at $100 a share and the $100 strike call option and $100 strike put option (front month) are trading at $110 ($1100 for a 100 share contract) the day before the earnings announcement then a approximate $10 move in the stock is priced into Vega (excluding Theta). Implied volatility is directionally neutral so both calls and puts price in the Vega premium. The magnitude of a move is priced in but not the direction.

In the above example, if after earnings the stock opens up at $110 then the $100 strike call option will be priced at approximately $110 ($1100 for a 100 share contract excluding any Theta). In this example the Vega premium is priced out and has been replaced by intrinsic value as the at-the-money call option has gone $10 in-the-money after earnings.

It is difficult to make money buying options and holding through earnings as the implied volatility is priced in. To be profitable on a long options play the intrinsic value gained after earnings has to be enough to replace the lost Vega and you must get the direction correct. Many option traders prefer to sale option premium before earnings like short option straddles or short option strangles to profit from IV crush. With that type of short option play it is crucial to hedge the risk with long farther out-of-the-money options in case there is an outsized parabolic move beyond the parameters of the Vega pricing.

After an earnings announcement the implied volatility pricing curve for the Vega value of an options chain is crushed. These principles also apply to high implied volatility in the general stock market that is crushed when sentiment turns back to bullish and price moves back up quickly and fear subsides.

I created my Options 101 eCourse to give a new option trader a shortcut to a quick and easy way to learn how stock options work.

I also wrote a quick and easy book Options 101 for those interested.