Options calc - maximizing vamma?

Discussion in 'Options' started by murphmack, Feb 11, 2011.

  1. I'm looking to go long on Volatility, but would like to know if anyone knows of a calc of how to optimize a position so my vega is optimus prime when I'm expecting a move of x magnitude?

    This is via long options only though, cannot short.
  2. Nope. It won't work. When the tertiary integral of time gets to 5 orders of magnitude, after gamma converges (path-independance lags), the hysteresis will explode.

    Too dangerous for me. I'm staying out of it.
  3. You'll need energon. Go deep otm on anything with -skew and in the bottom decile on atm implied vol.
  4. 3rd integral of time is time travel. I don't believe for a second you can master the shart while sneezing to effect time travel.
  5. lol... but seriously anybody know?
  6. -skew, deep otm options. A sticky-delta model will locate the high dvega(dgamma)/ds strikes.
  7. 1) Your question was sufficiently answered. :)
    2) You could post your question at wilmott.com if you want to get "input" from other math-nerds. :(
  8. I realize it was answered after I posted that.. lol

    I've been involved with options for a while, just not this in depth (the 2nd order greeks, etc). So I really don't know what -skew means, and sticky delta, hence I've been on google researching these terms.

    Can you link me to a good site to learn this type of stuff?