Vega problems

Discussion in 'Options' started by hardtofin, May 4, 2017.

  1. hmmmmm let's just simplify it...

    the vol curve moves, the spread between 1m and 9m moves...

    If front end vol looks expensive, I can sell it. Whether I sell 10 lots of the 50 deltas hedged with futures or sell 20 lots of the 25 deltas hedged with futures depends on the skew but i will be short vega regardless of the package...

    on the contrary, I can buy back end if I am looking to be long vol over a longer term period. again, how i structure the package depends on the skew ( how much of a difference are the wings vs the meat)

    then you have a synthetic time spread
     
    #41     May 6, 2017
  2. Many thanks to balls and Sle on this post and all the other contributors. I think I have the information I need now. Very much appreciated and thanks for the great feedback!
     
    #42     May 6, 2017