Here is my inaugral options volatility alert
Oilsearch OSH volatilty has presented an opportunity to us.
We see that from the 30 day SV (red line in the top pane) and the 100 day SV the (red line in the bottom pane) that we could consider normal SV for this stock to be around 35% which the 30day SV is at now.
However the 10 day SV has gone quiet and has sagged down into its lowest quintile and sits at about 17% as of today. This is reflected in the price chart where we see a little triangular consolidation zone.
We could reasonable expect OSH to break out of that consolidation at some stage with increasing volatility.
Meanwhile we see that IV has also sagged into its lower quinrtile also, nearly at its lows at 33%
This means that OSH options are comparitively cheap, and we might expect IV to increase once OSH breaks from consolidation and the 10 day SV picks up again.
So what strategies should be look at.
Well I wouldn't be too keen on a directional strategy and if we sell options the short vega and delta combined could hurt us here if we get a volatile move the wrong way at least temporarily but still not pleasant.
I would be looking to be long gamma, long vega and delta neutral.
We won't get a helluva lot of gamma here because of highish absolute level of IV, so vega is what we want to trade mainly.
I'm thinking a longish dated long straddle. Vega is more sensitive the further out we go in expiry as does theta decrease. So we could allow this some time to play out, delta hedging as we go along.
We'll see what option prices we can get tommorrow.