@JackRab you are correct that P/L at expiration is similar. But we don't hold till expiration. The dynamics of the trade, adjustments and IV impact make our setup with ITM calls more suitable.
Any idea why does XIV underperform so greatly SVXY today? They both track the same index. Is CS chipping away a few bucks from the fund to cover the future lawsuit expenses?
Dynamics, delta, vega, gamma... they are all the same... Call=Put when hedged with delta 100. The only time it's not the same is when there is a dividend involved. If you put both structures in an options analytics thingy you will easily see it's the same. But, take the tip or not
They are the same at expiration. But we don't hold till expiration. Also, we might use different expirations for the puts and the calls. IV also plays a role during the life of the trade.
Dude, they're the same...and not just at expiration. "A call is a put, a put is a call" is one of the first things taught to interns on a derivs desk. You need to read up on put/call parity. Stating multiple times that IV sensitivity is different for the same strike put and call is a bad look for you.
Thank you for your concern. As I mentioned, one of the arguments is using different expirations. We like to have the deep ITM call expire later than the long put and short call so we can trade multiple iterations against it.