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Option Strategy Question
Updated February 16, 2012
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#1 (permalink
london
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Hi, new to the forums, had a quick question about an option strategyflat 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
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#3 (permalink
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I don't think it's possible to construct this, you're asking too much.
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#4 (permalink
Switzerland
Posts: 112 since Aug 2009
jonoelgrande
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
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#5 (permalink
Kolkata , India
Posts: 23 since Feb 2012
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Hi,vega ?
jonoelgrande
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
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#6 (permalink
Site Administrator
Manta, Ecuador
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kkjalan
Hi,
sorry i am a newbie.
what are referring to when you say short
vega ?
Regards,
Krishna
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#7 (permalink
Kolkata , India
Posts: 23 since Feb 2012
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Big Mike
Click on the word '
vega ' in your post above, and there is a short
wiki description.
Mike
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#8 (permalink
desert CA
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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.
Last Updated on February 16, 2012
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