Condor Options

December Monthly Review

The most interesting feature of December 2008 was the rate at which volatility – both historical and implied – declined.  While we could view this decline as simply the counterpart to the volatility explosion we saw in the fall, the changes were still very interesting to watch.  A rapidly falling volatility environment was ideal for the December expiration positions we published, though it also presented some challenges for the iron condor strategy we follow in our newsletter: specifically, we have…