As I mentioned last week, we're in an environment where we want to be collecting delta-neutral options premium. Unfortunately, we can either pick instruments that are in well-defined ranges or we can sell high implied volatility, but it's getting increasingly hard to find both.
With this in mind, today's trade is in an instrument where options pricing may not be as elevated as it was earlier in the year, but it's still giving us a lot of room to be wrong.
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