When you say straddle and stranggles are you talking about using an equity index? I am just asking because it sounded like you meant a straddle on the VIX, which may not be what you are looking for if you want to be long Vega.
Hi gazmax, I mean straddles/strangles on equity indices. I have done some more research and the pricing of the vix is almost the same as the varswap so varswaps are a better option in the end. No path dependency with varswaps. A vega position via VIX options position is another hassle, you are dependent on the vol of the vol. What kind of spread is there in the 3M varswap on the S&P500? 240-250? Regards, RS