Thank you for clarifying. That's how I interpreted your post earlier, but then longthewings' post seemed to contradict yours, at least the way I interpreted it. But now I am reassured
A leap is just a far out option... A strip of leaps and the same expiry of vix futures are fungible. ... Bets on future spot prices is the idea of a future in general... He said the same thing I did about Delta but expanded a bit on how to trade vol by hedging away Delta exposure... It's my impression you wanted to take Delta risk but were wanted to correspond or at least consider your vega risk... There are curves that show Vega over the calendar...
Don't confuse changes in VIX with what will happen to the vol-relevant aspect of an option. They have some relationship, but only indirectly. Of course, you'd expect such an outcome because VIX has it's own definition, and the vol that is relevant when stress-testing with vega has it's own derivation. The IV of any particular option, LEAP or not, put or call, OTM or ATM, does not look to VIX. Related in some fashion? Yes. But not to the degree your question seems to desire.
This is exactly my line of thinking. We can get long vega exposure by buying a LEAP and then hedging the delta of the LEAP by taking an opposing FUTURES position. There are not many discussions on this topic. Will be great to get views of senior members on this.
And yet if you calculate the value of the strip for that expiration right now it will be very very different from your futures price.
It's not freebie, if that's what you are asking Imagine that you buy a Dec VIX futures and go short a strip today - what do you think your exposures would be?
Well skew changes.... I didn't think it was a free lunch....I always think there is a reason.... There's more cost to owning a strip of options as to owning a vix future that would represent some of the difference I'm sure
I have absolutely no clue.. my first guess would be to look at the notional value of each contract... Order the multiplier.. but I've never even thought about making a trade like that because I figured the difference is always just going to be the friction