Timeline for How to structure a trade using vanilla equity options to get vega exposure to forward volatility?
Current License: CC BY-SA 4.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 26, 2023 at 13:29 | vote | accept | kwantify | ||
| Apr 26, 2023 at 11:29 | answer | added | Frido | timeline score: 5 | |
| Apr 25, 2023 at 18:23 | comment | added | Frido | Ok, I think I might have to explain more clearly the difference between forward vol (as you defined it) and forward starting vol. Give me a day or two to formulate an answer, in which I'll also try to include the structure for the trade. | |
| Apr 25, 2023 at 17:54 | comment | added | kwantify | Just thinking about scenarios where the gamma neutral calendar spread won’t give Vega exposure to the forward vol. I understand that the gamma neutral spread gives exposure to forward starting vol and closely tracks the forward volatility. I guess I meant to ask, what scenarios would the trade structure not closely track forward volatility as I’ve put it? | |
| Apr 25, 2023 at 17:23 | comment | added | Frido | Whilst waiting for someone else's opinion, what do you mean exactly with 'what differences you consider to have in mind'? | |
| Apr 25, 2023 at 16:01 | comment | added | kwantify | Thank you @Frido! It helps knowing someone else has the same opinion. Curious to know what differences you consider to have in mind! | |
| Apr 25, 2023 at 7:39 | comment | added | Frido | As long as you are aware of the difference between forward vol (as you defined it) and forward starting vol (which is the vol of forward start options), your idea is fine. But what is ATM today will not be ATM tomorrow of course. So your trade will need to be rebalanced. | |
| S Apr 25, 2023 at 2:52 | review | First questions | |||
| Apr 25, 2023 at 13:31 | |||||
| S Apr 25, 2023 at 2:52 | history | asked | kwantify | CC BY-SA 4.0 |