All good points. All I would add is that it costs money to flatten the delta every day, or delta hedging your option. Each time the stock changes direction, you

All good points. All I would add is that it costs money to flatten the delta every day, or delta hedging your option. Each time the stock changes direction, you pay the bid-ask spread. The number of times this happens is proportional in some way to the volatility—that free variable you mentioned—so you can speculate that the market's number is too high or low. If the market is too high on volatility: sell the option and you'll end up paying less in delta-hedging costs. If that market is too low on volatility: do the opposite.