Is there a limit on how far ahead to buy a put to profit off of vol/vega?

Discussion in 'Options' started by CyJackX, Jan 25, 2017.

  1. CyJackX

    CyJackX

    Since the effects of Vega increase as one goes farther and farther in time, does that mean if one wanted to profit off of a correction following low volatility should buy a LEAP as far as possible ahead? Or is there a diminishing rate of return for time ahead?
    Or, would one have to recalculate volatility as is appropriate for the timeframe they're looking at, i.e. years instead of days? Since VIX is only done for 30 days out, I believe.
     
  2. xandman

    xandman

    I don't have much experience in long term trades. However, you could experience a case where the volatility curve goes into contango and presses down on the long end of the curve.

    I think there was a recent thread about a Brazilian who made billions buying LT LEAPS (calls).
     
    Last edited: Jan 25, 2017
  3. tommcginnis

    tommcginnis

    Make two graphs --
    one of your desired strike's LEAP cost against every other available expiry's (including weekly(s) when the analysis allows): price as usual on the vertical, time on the horizontal.
    to make things really obvious, make a second, of the difference from one expiry to the next --i.e., what does buying an additional {week;month} cost me? (Or alternatively, how much time does an additional dollar buy me?)

    Your answer of "how far ahead" is yours to answer, based on the current market, your own mix of total portfolio {which includes alternate uses for the LEAP and alternate uses of the capital tied up in it}, as well as your own risk tolerance and other intended courses of trading. But the picture will be worth a thousand words, truly.
     
    vanzandt likes this.
  4. Dolemite

    Dolemite

    Keep in mind there is something called weighted vega. That means that even though the static vega numbers say you get more with a LEAP, the truth is if we do have a correction and vol pop, the closer to expiration puts (provided they are not expiring too soon) will explode in value and rise faster than the LEAP puts.
     
    JackRab likes this.
  5. CyJackX

    CyJackX

    Is there a name for this graph?
    That is what I assumed, that perhaps within 1 year out I may imagine a correction, but 2 years out it should have recovered, etc.
     
  6. JackRab

    JackRab

    Just look at the vix term structure... that gives you some idea about how forward vols are currently priced.

    Longer dated options during a low volatility period have higher vols than front months... When the market volatility is high the front months are way above the back months.

    During GFC in single stocks you could have IV 80 in front month and 1yr IV would be 40..

    So, although back months IV do move up on a large pop, it's not anywhere near the front.
     
  7. JackRab

    JackRab

    WUT??? Where was that?
     
  8. vanzandt

    vanzandt

    That was me. Gave it all away to start over again.
     
  9. sle

    sle

    Your Vega will move as root of time in short term expirations (e.g. 3m vs 6m) while it generally moves closer to linear in longer term expirations (e.g. 1y vs 2y). Mostly. Obviously there is also a question of strike.
     
  10. So the higher vega of back month puts is effectively muted by a lower volatility pop?
     
    #10     Feb 7, 2017