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Deep ITM options near expiration have very little time premium. They also tend to have very wide B/A spreads. Combine the two and you can have data distortion. YUMC = $37.21 7/17 $27.50 call is $9.20 x $10.40 The intrinsic value of this $27.50 call is $9.81 Your data provider is using the midpoint of the quote for calculating implied volatility. In this ...


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Implied Volatility represents the actual above-market premium an option contract trades for at any point in time, but it changes in mysterious ways. Implied volatility is not "the actual above-market premium an option contract". In non technical terms, implied volatility is a reflection of current price. If it is higher than historical values ...


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The higher the IV, the more costly the hedge. There's nothing that you can do about the IV of the options in the chain. The market determines that. If you want, you can offset the IV by selling IV as well. So rather than buy a long put, buy a vertical spread. This might be more appropriate for hedging a long call because you are hedging a smaller ...


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Your 3, 6, 9 month decay numbers are in the ballpark but not necessarily accurate. The amount of decay in each 3 month period will vary according to the IV. Look at an option pricing formula to see this. One FRIEND that you did not consider is that with long strangles and straddles, you also benefit from price movement in the underlying. Although it's a ...


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