Hello, perhaps someone can help me. I'm looking for a way to hedge the vega of an out the money put. Is there any possibility without changing the payoff (delta, gamma, theta) too much? (I think it won't be possible :-( E.g. you have a long calendar otm put spread. The risk involved here is that implied volatility of the long put (back month) decreases. Is there any possibility to hedge that risk? You could shrt straddles or short more of the front month otm puts but that would result in a completely different payoff than the original calendar spread. Thanks for your help
otm put calendars are typically used because the trader wants the long vega. since it's a simple debit spread, there's shouldn't be any difficult management issues.