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Hi, new to the forums, had a quick question about an option strategy
If i wanted to originally be flat weighted and parallel vega, then when the market rallies short vega and long gamma, and when the market sells off long vega and short gamma
How would you construct such a position?
thanks
Can you help answer these questions from other members on NexusFi?
Short vega means to have an option position where vega is negative. So when the market in general goes up the VIX usually decreases, then a negative vix adds to the p/l of the position (which can be offset or acerbated by the values of the other greeks, delta and theta depending on the option play) And reverse for a long vega.
The question posed by jonoelgrande is difficult. There's always going to be some risk somewhere in an option position.