Gamma + Volga scalping

Discussion in 'Options' started by TskTsk, Dec 29, 2011.

  1. TskTsk


    I found this on another forum.

    I know how to build a positive gamma and volga independently of one another, but I've never thought about combining them. The idea seems good, but my uncreative mind can't come up with, any suggestions how to build such a position?
  2. 1) Please tell me that the "other forum" wasn't wilmott. If not, go there for info. :(
    2) Without putting much "thought" into it, you would ALWAYS want to maintain "long", out-of-the-money, option premium in order to have that type of exposure you desire AND pray for excessive volatility in what you're trading......I think. :confused:
  3. nitro


    It is on Wilmott:

    There are ways to do what he is saying, but I think it has to be done synthetically. Also, it is probably very easy to go wrong.
  4. You can't do in vertically, unless it's inter-market (not 100% fungible) or a pure arb (buying box very cheaply). You can do it on duration of course.
  5. TskTsk


    Yes it's from the Wilmott forums.

    So you guys have any spesific examples on how to go about with this?