Advanced Options Strategies
Overview
Go beyond basic option strategies (covered call / protective put) and focus on trading opportunities along the volatility dimension. Core idea: option price = intrinsic value + time value, and advanced trading essentially trades the volatility expectations embedded behind that time value.
Applicable scenarios:
- Identifying arbitrage opportunities when the volatility surface is abnormal (
skew/term structure) - Fine-grained management of portfolio Greeks exposures (not just Delta hedging)
- Building structured strategies across maturities and strikes
- Practical application in 50ETF / 300ETF / commodity options
Core Concepts
Volatility Surface
Three-dimensional structure: strike × expiry × implied volatility.
Key dimensions:
| Dimension | Meaning | Typical Shape |
|---|---|---|
| Smile / Skew | IV across strikes for the same expiry | China A-shares: left-skewed (put IV > call IV) |
| Term Structure | IV across expiries for the same strike | Normal case: near-month IV < far-month IV |
| Surface dynamics | Parallel or nonlinear movement of the entire surface | In panic, the whole surface lifts, and ne… |
