I was talking about a naked gamma position which would be a view on pure realized volatility. A calendar spread (I can't see how you ratio it, root-time vega flat I presume) would naturally have less margin requirement for the same amount of vega, but it would also be a very different position which is a mix of views on forward volatility and realized vol.
You are correct. I couldn't find your reference. As far as know I do not post in options. But you may be correct maybe I did post once. I was just searching on "hershey" and I saw you contribution. I do not comment in options.
Ok we are not talking about the same thing. Two winners! By hedging a single VIX futures I mean replicating VIX with a truncated series of calendar spreads according to http://cfe.cboe.com/education/vixprimer/Features.aspx. To do so, one can use the Taylor-Lagrange formula to get rid of the square root.
Oh, I see. However, I don't think you can replicate a VIX futures statically using vanilla options - "getting rid of square root" does not get rid of the convexity adjustment and the associated vol of vol component.
What he means is a common trait is the ability to understand esoteric concepts while simultaneously being unable to express these ideas in clear simple terms due to underdeveloped Broca's Area. The bonus here is that as expressing oneself is problematic, there tend to be fewer arguments.
I did not state it was a statically arbitrage. And you are right: in this strategy one can see that the number of options to purchase or to write is time-dependent and path-dependent (especially with a truncated series of calendar spreads).
it would help if you gave examples.... ie # calender strangles/straddles against vix future.. trunicated series of calenders is that like a time fly.. -1/+2/-1 with same strike in adjacent series...or are you talking spreading across the term even more... your talking dynamic sudo replication.. not static replication... statistical arb respectively would be some degree of managable risk selling in one and buying in the other for a profit.. there is no way to synthesis the vix with options with any reasonable quantifiable risk no? the options would have to get way out of line to take the associated risks with a sudo replication no.? you must like those time/price dependent risks as well to exploit some mispricing between the two? time/price just means your exposure to the distrobution of prices over the term of the trade?