Volatility Regime Framework for Semiconductor Options

Framework

We define three volatility regimes based on 30-day realized vol relative to 1-year percentile:

• Low vol (<25th percentile): Favor long gamma strategies, calendar spreads
• Normal vol (25th-75th): Iron condors, credit spreads
• High vol (>75th): Short vol via strangles, ratio spreads

Current Readings

Strategy Recommendations

With the semiconductor sector in a normal volatility regime, we favor: 1. Bull call spreads on names with positive momentum (NVDA, AVGO) 2. Iron condors on range-bound names (TSM, SOXX) 3. Protective puts for concentrated positions ahead of earnings