long theta and long vega

Discussion in 'Options' started by johntsai90, Nov 9, 2009.

  1. Are there any strategies which can trade both long theta and long vega?
  2. dmo


    Long the back months, short the front months.
  3. The index option i am currently trading doesn't have enough volume for the back month,

    Are there any other ways?
  4. Jesus


    short VIX puts or VIX in the money spreads?
  5. what if there is no VIX product in my country now? any other ideas?

    i guess its more and more challenges now
  6. MTE


  7. dmo


    If all your options have the same expiration date, then if you're long vega, you will be short theta.
  8. Hi Dmo,

    Are you sure about that ? Price this risk reversal
    Maturity december 12
    long call 153.6 implied vol 13.5%
    short put 141.6 implied vol 13.5%

    spot 148.6
    risk free rate 0.9%

    vega =-71
    daily theta=-5.52

    the same expiration date :)
  9. vega $ -7.12
    Daily theta $ -0.55

    (I did it 10 times :p )
  10. Buy a straddle?
    #10     Nov 10, 2009