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Robust Options Anomalies
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Reliable and powerful pricing mismatches in the options market. A weekly summary.

This summary is an exclusive thing. Data are pulled from multiple sources and check for consistency. 

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Where are informed traders trading?

NetNet Volatility scans the options market for pricing anomalies, in order to figure out what stocks are under accumulation.

Anomaly 1: The implied volatility of calls is greater than that of puts. This is known as a discount to put-call parity.–call_parity

Anomaly 2: The implied volatility of both calls and puts is higher than the actual historical volatility of the stock. This is known as the volatility risk premium.

Each week, NetNet Volatility publishes a note ranking the stocks in the S&P 500 by the two anomalies above. 

Ideally, we want to find S&P 500 stocks that possess both anomalies. But modern markets are competitive, and they do not always occur every week.

Here are some papers testing and explaining the options anomalies and their corresponding stock strategies.

The name NetNet corresponds to Anomaly 1 (the implied volatility of calls Net of the implied volatility of puts) and Anomaly 2 (implied volatility Net of historical volatility) joined together. 

The name NetNet was also inspired by Benjamin Graham, who is widely considered the father of value investing and developed a distinct stock strategy, focused on so-called NetNet stocks. These NetNets were stocks whose market capitalization Net of Net Current Asset Value was less than zero.

NetNet Volatility is thus a type of modern value investing.

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After the 1000-patron level is reached for this community, more patron-creator and community-creator interaction will be offered, in the form of Q&A, product enhancements, and anything else that maximizes the utility of individual patrons and the community.
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By becoming a patron, you'll instantly unlock access to 11 exclusive posts
By becoming a patron, you'll instantly unlock access to 11 exclusive posts

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