HOW OPTIONS ARE PRICED
Options prices are governed by price of the underlying, time, liquidity and volatility.
We can choose instruments only with good liquidity (without it we are at a severe disadvantage)
Volatility mean reverts. We need to buy cheap volatility and sell when expensive. Pre-earnings, nearly all instruments have a sharp rise in volatility that accelerates from D-7 to D0. IV rank/IV percentile will tell us if an instrument has cheap or expensive volatility.
Time. Options decay with time. Because of this we cannot buy a put and call at the same time expecting certain profits. IF volatility is high enough, it can cancel out the effect of time. Pre-earnings this often happens. (more…)