A while back when GLD was trading between 165-175 the IV of the options started to get silly cheap. ?The GVZ which is the VIX of GLD options go to the point where it made almost no sense to sell options. ?ATM IV too cheap, ?skew to flat, ?basically, ?everyone wanted to sell puts to get long GLD and to sell calls against their long GLD. ?Well take a look at GLD vol is currently trading:

031114GLD

Livevol (r)?www.livevol.com

While GLD vol could be cheaper, ?it is getting to the point where the IV is hard to short. ?And unlike some companies where they use buy backs to reduce stock vol, ?there is no GLD buy back. ?Thus, I am not sure how much the IV can get cheaper. ?Regardless of directional opinion, ?selling vol should be done via calendar spread or maybe a strangle. ?I would not dump straddles, recall how that worked out last time IV got this cheap.

The Trade:

We like bull backspreads for a credit and long calls and puts.