Trading IV skew change

Discussion in 'Options' started by mayura, Dec 9, 2021.

  1. As already said, to play skew change: use delta-neutral vega-neutral risk reversal.
    If you want option-only strategies, the delta hedging is replaced by synthetics.
    For instance:
    Buy OTM put / sell OTM call / buy fraction of ATM call / sell fraction of ATM put
    Such that: Vega(OTM put)= Vega(OTM call) and Delta(OTM call)-Delta(OTM put) = fraction
     
    #11     Dec 10, 2021
  2. taowave

    taowave

    ugghhh..meant to say sticky delta...

     
    #12     Dec 10, 2021
  3. it365

    it365

    When you say short term, how many days/weeks are you talking about? I am playing with similar strategies inspired by destriero. Seems to me 40-50 DTE allows you to do some adjustments if your initial directional bet goes south by a lot.
     
    #13     Dec 10, 2021