Option selling has always been a fascination for me, and long time readers may recall a lot of the posts I used to do on the subject years ago. (07 – Are option selling funds a blowup waiting to happen, and 2008 – Kablooey.)
I could never understand why most option sellers only traded one market (usually US stocks) rather than a portfolio of world markets. In a project I did back in the early ’00s I found that writing options away from the direction of the trend on a diversified asset class basket created some great numbers.
Kudos to Jared at Condor Options for tracking such a strategy in real time - lots of merit in a short vol strategy with long vol trading rules!