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Secured Options March Update: Rich Environment for Option Selling Strategies

April 5, 2021

The Glenmede Secured Option Strategy outperformed both the CBOE PutWrite and CBOE BuyWrite benchmarks from March 23, 2020, through March 19, 2021. Implied volatility remains elevated, with downside protection buyers bidding up defensive options. Even with the S&P 500 trading in a tight range over the last month, option buying demand remains and option selling pressure is still in short supply. This creates a fairly rich environment for option selling strategies, and we are still slightly more defensive heading into April.