CHAPTER 12
Delta-Neutral Trading
Trading Implied Volatility
Many of the strategies covered so far have been option-selling strategies. Some had a directional bias; some did not. Most of the strategies did have a primary focus on realized volatility—especially selling it. These short volatility strategies require time. The reward of low stock volatility is theta. In general, most of the strategies previously covered were theta trades in which negative gamma was an unpleasant inconvenience to be dealt with.
Moving forward, much of the remainder of this book will involve more in-depth discussions of trading both realized and implied volatility (IV), with a focus on the harmonious, and sometimes disharmonious, relationship between the two types. ...
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