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Option Strategy Question


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Option Strategy Question

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  #1 (permalink)
jonoelgrande
london
 
 
Posts: 1 since Aug 2011
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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

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  #3 (permalink)
 sam028 
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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)
 Delta_Panther 
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Posts: 112 since Aug 2009


jonoelgrande View Post
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

Would be interested to see an analyzing picture on any option strategy software you use. It is the place to test such ideas.

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  #5 (permalink)
kkjalan
Kolkata , India
 
 
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Hi,

sorry i am a newbie.

what are referring to when you say short vega?


Regards,
Krishna


jonoelgrande View Post
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)
 Big Mike 
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kkjalan View Post
Hi,

sorry i am a newbie.

what are referring to when you say short vega?


Regards,
Krishna

Click on the word 'vega' in your post above, and there is a short wiki description.

Mike

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  #7 (permalink)
kkjalan
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Big Mike View Post
Click on the word 'vega' in your post above, and there is a short wiki description.

Mike

Hi Big Mike,

Thanks for the guidance but I know vega, was wondering what does going short/long on vega imply?

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 Cloudy 
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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.

The question posed by jonoelgrande is difficult. There's always going to be some risk somewhere in an option position.

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