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Intraday volatility measure. ATM Straddle theoretical price.
Evaluation tools for 0-DTE options traders. Decide on the best price to execute options trades and strategies.
An At-The-Money Straddle is a combination of an ATM put plus ATM call. An ATM straddle's price provides a range around the current stock price within which the underlying asset's price must move for the straddle to be profitable
Underlying Price [Time of Day] + / - ATM Straddle Premium. The breakeven level narrows as time approaches the end of the day.
Pros trade options based on volatility. Amateurs look only at premium.
Volatility and price are directly correlated. Higher volatility results in a higher premium paid. On the other hand, lower volatility means cheaper option prices.
Enter trades between 10:00-11:00 AM EST and exit before 3:30 PM to avoid time rapid time decay. Options like SPY 0-DTE expire at 4:15 PM EST and have physical settlement.
Black-Scholes is an equation that's used for pricing options contracts. A key input factor in the formula is the value for volatility.
Inputs to the model:
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Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
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