In literally every issue of this publication, we discuss the levels of implied volatilities of various groups of options – stock options, index options, or futures options, for example. Of particular interest, in general, is how stock options are behaving, for they are the backbone of our volatility trading strategies. For example, if stock options are generally cheap, then we want to buy volatility. If they’re expensive, then we look for other strategies that take advantage of their expensiveness. Over all the years, we have not created a measurable index to treat the general level of stock option implied volatility, and that is an oversight that we intend to correct with this issue.
