# If you try to capture short term delta by anticipating moves in the underlying, why would vega pnl be so bad?

Since calls and puts have opposite sign delta, but both are positive vega, it feels like a strategy that buys/sell or sells/buys calls and puts on underlying moves to capture delta should generally tend to be vega neutral. Yet I always find that instead vega pnl always looks very negative. Why could that be, intuitively?

• @Alex C: A long call and short put of the same strike provides synthetic forward exposure. It is correct that this strategy has a non-zero theta. However, again from put-call parity it is (without dividends): $$\frac{\partial C}{\partial t} - \frac{\partial P}{\partial t} = r K e^{-r (T - t)}$$ For short time intervals this quantity is small - especially in today's rate environment. – LocalVolatility Sep 5 '16 at 6:15