Out of the money vega question

Discussion in 'Options' started by hardtofin, Mar 23, 2018.

  1. Jgills

    Jgills

    You can sell a calendar and reduce your time,premium and delta (assuming not atm). It will also let you keep some protection on for the time being., and u can always buy it back at expiry if you Need ti
     
    #11     Mar 23, 2018
  2. Doobs789

    Doobs789

    As OTM options get closer to ATM, their Vega will increase. However, they become less sensitive to changes in IV. So, assuming your puts are still relatively OTM, you could hedge your Vega exposure by selling some ATM options. If Vol were to drop, the (short)vega of these options would stay relatively stable.

    You could structure it a few ways by;
    -selling shorter duration
    -selling a 1xN ratio, to create a cheap fly
    -some combo of both

    Or, you book some gains. Remember, the goal is to make money, not devise the perfect hedge. But, if the thesis of the trade is still in-tact, then you want to maintain your exposure, while reaping the reward of gamma.
     
    #12     Mar 28, 2018
  3. There was a great post here a while back about root vega or how to be vega neutral... find it and take his advise. There is also nothing wrong with taking some off. If you have sold something against it as per your initial post, why do you think that is not sufficient ?
     
    #13     Mar 28, 2018