One of the most interesting aspects of options is the myriad opportunities presented for high probability trades for those who understand the details of options behavior.  For example I have recently discussed the routinely observed collapse of implied volatility immediately following an earnings release. My firm has looked at several examples of profitable trades constructed to benefit from this expected decline in implied volatility. Today I would like to review another group of trades based on a fundamental characteristic of options pricing. In order to understand this phenomenon we need to review briefly the anatomy of the price of ...