The trade involves vega risk regardless of term-skew. That's the point of modeling a 200 vol-line. You're still long vega even expressing a 200 vol-line in the front week. Gamma risk IS price risk. You stated "no directional risk." You gain nothing from the vol-ramp as the front week is more sens. to vomma, regardless of your position vega. The gains on your NVDA are from your delta, gamma & theta position. You know, the zero directional risk.
Yes, we are are long vega, but we are reducing significantly the vega risk by entering at prices which are favorable compared to previous cycles. The whole purpose of the article was to show where our edge is coming from, but you obviously missed that part (or just ignored it). Do you understand the difference between directional trading and non directional trading? It refers to delta, not gamma. Delta neutral trades have (by definition) much lower risk (and obviously lower reward).
Delta neutrality. Got it, thanks. You entered the position just under 253 on shares and covered it at just under 253 on shares. Your gains were from the modicum of theta in the position, not the basis between the front and back week vola. You cannot reduce vega risk unless the deferred contract vega gains more than the position vomma. Assume that you bought vol UNDER last quarter's figure. That has nothing to do with the term-structure. You gained from gamma & theta.
Actually no. The position was 250/255 double calendar. The stock stayed well inside the tent, so most of the gains came from positive theta of the short options outpacing the IV increase of those options. In this case, we identified based on backtesting that this stock is not suitable for buying premium before earnings, so we went with the opposite trade, after identifying that the prices are very favorable.
See my last post. The gains came from the fact that the IV skew between the front and the back month at the time of the entry was favorable compared to previous cycles, which translated to favorable price. So yes, the main driver was the negative theta of the front month options, but if the skew was not favorable, the vega risk (risk of from month IV increasing more than the negative theta) would be much higher. This is why you cannot just randomly select the stocks and the strategy (like tastytrade do for example).
Dude, please. You had the 255 & 250 put calendars from ~253 on shares. You keep responding with "no" when everyone knows where the entry and exit was on shares from the price of the vertical. I stated that you gained from theta. The term-structure risk is priced in vomma. You gained despite it. That's the point. You had price risk; the thing didn't move. You clearly stated no directional risk. You didn't; but only in hindsight.
You trade one lots in calendars and selectively provide meaningless hit-rates with nothing to back it up. I cannot prove that those numbers are accurate any more than I can prove the existence of God. You act like you invented the long calendar and my 14yo knows more than you about theory. OchoCinco made >150% on a calendar this week. He also must be trading "no directional risk" calendars.