first you are not telling me where are you longs. and then the spread is not DOTM,but more ATM.you can not feel the diference from a IV spike,cause is too close to the underline. put the spread DOTM-let say at 930 strike,and widen the months-september against december...... and if there is a spike in IV+ a move of 30-40 and they are still the same,you win....
So I assume you're not taking the wager? Flow will impact the vol-line, but it's silly to think it's based upon moneyness. It's microstructure-related, and therefore the edge results in an arbitrage. Same-strike put and call calendars will trade at unequal premiums due to rates, but the return is the same. Why isn't a 10-wide roll/box at $10 with time to expiration? Use SPX or any Euro-convention option and price the path to expiration. Use any strike you wish. There is risk to rates, but that's not your point, nor mine, but it's embedded in my 20-cent cushion.
lol, fu! I am trying to be civil as he believes what he's stating here. The returns will be flat, regardless of smile. IOW, he's making an argument for a persistent arbitrage condition.
Hey, don't take it out on me! I've been the one PM-ing you all of the correct info to post I gave up 3 pages ago. Kinda reminded me of my days of arguing with a monkey (pre hallucinogenic usage)
guys,i doubt that in this forum there are people,how doesnt know that this is a syntetic. but is not a pure one,like a conversion or riversal arbitrage as buying covered call,instead of shorting put. this is a semisyntetic and is IV sensative. at first i told you-i dont argue that they are the same. all the greeks would move in the same manner,but the IV would apriciate the vega differently. the change in IV materializes as a different vegas on those spreads. everything else would be the same. i really dont understend why you keep telling me about put/call parity,as at first i told you that i know they are the same spreads.
you just need a IV spike.even if the market doesnt move,but you have a spike,the OTM spread would cost more,depending of the spike. semisyntetic are syntetics,which have change in just one of the greeks. the same is the verticals-put or call vertical are the same ,right? well,they are ,but no really 100%-there's relation between the the move of the underline vs theta-you buy the at the same prise,they -they are syntetic product.......but they will apriciate differently with time passes,depending of where the underline stays. ATM option is being eaten faster,than OTM or ITM one....... the same is with the time spreads,but they are IV sensative........ otherwise all this spreads are syntetics and at the time of the the buing or at exp. they are the same. and because they have just one of the greeks moving slightly different ,but all the rest are the same,its hard to notice.
the moment with the vertical is if you buy it OTM ,than the underline hits one of the strikes of the spread.till that time they apriciate the same.but than if the underline stays several days at this strike,the spread which has the short option at this stike will start being a little more expensive than the other,because ATM options decay more than OTM. and you'll have a syntetic vertical,but one would cost more of the other during that time frame