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I do not agree with the statement that volswap is short convexity or that varswap is long convexity etc. It depends what your 'base' instrument is: if it is the varswap then the volswap has convexity (actually concavity), if it is the volswap then the varswap has convexity. I.e. convexity is a relative measure. However given the existence of both the varswap and the volswap, then their difference is a measure of convexity or vol of vol, and since the volswap is then the linear instrument the varswap is long convexity, which means the varswapvolswap is then "short" convexity / vol-of-vol. But again, it is a relative measure.

I do not agree with the statement that volswap is short convexity or that varswap is long convexity etc. It depends what your 'base' instrument is: if it is the varswap then the volswap has convexity (actually concavity), if it is the volswap then the varswap has convexity. I.e. convexity is a relative measure. However given the existence of both the varswap and the volswap, then their difference is a measure of convexity or vol of vol, and since the volswap is then the linear instrument the varswap is long convexity, which means the varswap is then "short" convexity / vol-of-vol. But again, it is a relative measure.

I do not agree with the statement that volswap is short convexity or that varswap is long convexity etc. It depends what your 'base' instrument is: if it is the varswap then the volswap has convexity (actually concavity), if it is the volswap then the varswap has convexity. I.e. convexity is a relative measure. However given the existence of both the varswap and the volswap, then their difference is a measure of convexity or vol of vol, and since the volswap is then the linear instrument the varswap is long convexity, which means the volswap is then "short" convexity / vol-of-vol. But again, it is a relative measure.

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user34971
user34971

I do not agree with the statement that volswap is short convexity or that varswap is long convexity etc. It depends what your 'base' instrument is: if it is the varswap then the volswap has convexity (actually concavity), if it is the volswap then the varswap has convexity. I.e. convexity is a relative measure. So to trade convexity (or "volHowever given the existence of vol" asboth the street calls it) you could trade long varswap shortand the volswap (this would be, then their difference is a longmeasure of convexity or vol of vol trade), and since the volswap is then the linear instrument the varswap is long convexity, which means the varswap is then "short" convexity / vol-of-vol. But again, it is a relative measure.

I do not agree with the statement that volswap is short convexity or that varswap is long convexity etc. It depends what your 'base' instrument is: if it is the varswap then the volswap has convexity, if it is the volswap then the varswap has convexity. I.e. convexity is a relative measure. So to trade convexity (or "vol of vol" as the street calls it) you could trade long varswap short volswap (this would be a long vol of vol trade).

I do not agree with the statement that volswap is short convexity or that varswap is long convexity etc. It depends what your 'base' instrument is: if it is the varswap then the volswap has convexity (actually concavity), if it is the volswap then the varswap has convexity. I.e. convexity is a relative measure. However given the existence of both the varswap and the volswap, then their difference is a measure of convexity or vol of vol, and since the volswap is then the linear instrument the varswap is long convexity, which means the varswap is then "short" convexity / vol-of-vol. But again, it is a relative measure.

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user34971
user34971

I do not agree with the statement that volswap is short convexity or that varswap is long convexity etc. It depends what your 'base' instrument is: if it is the varswap then the volswap has convexity, if it is the volswap then the varswap has convexity. I.e. convexity is a relative measure. So to trade convexity (or "vol of vol" as the street calls it) you could trade long varswap short volswap (this would be a long vol of vol trade).