Registered: Mar 2007
10-29-12 05:43 AM
Quote from cdcaveman:
Confused. +theta is always -vega.... im confused how vol will rise with less days of trading....less days of trading equals a subtraction of time from premium... less time less probability of options going into the money less.. How do vols increase?
No it's not. Long calendars are long vega (atm, >20delta), but that's not what I am referring to. I am suggesting that weekly vols will actually rise from Friday's close to the opening print on x (day we open op exchanges), but theta will still exceed gains from the slight vol-boost. Analogous to a rally in from month vol into earnings even if the straddle drops in prem (theta > vega).