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This week, we used our scanners for some interesting options trading volatility ideas suitable for straddles and strangles, but we found mostly directional ideas. Here is an interesting one we found.
iShares Silver Trust (NYSE: SLV)
Last week we suggested a SLV May 42/46 Call Spread with a short May 37 put. Using the Monday closing price, it was 1.02. Last Friday the mark-to-market value was 2.60, a 155% two week gain. On the assumption silver will be testing the 50 level soon here is another May combination using the same structure.
The current Historical Volatility is 30.23, with an Implied Volatility Index Mean of 49.78, for an IV/HV ratio of 1.65 and a .69 bearish put-call ratio. With exchange-traded funds, the put/call ratios are often higher since they are frequently used for hedging long positions in individual stocks. Friday’s options volume was 802,826 contracts with a five-day average of 1,123,840 contracts.
A SILVER SPREAD
| B/S | QTY | O/C | USym | Exp | Strike | P/C | Price | IV |
| B | 1 | O | SLV | May | 48 | Call | 1.81 | 51.26 |
| S | 1 | O | SLV | May | 51 | Call | .94 | 52.85 |
| S | 1 | O | SLV | May | 40 | Put | .32 | 55.39 |
| Dr | .55 |
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