Likewise, are there trades that short gamma and long volatility at the same time?

Under fixed income context, are there trades that short convexity and long volatility at the same time?

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    $\begingroup$ What do you mean by "short volatility" - short vega? It's trivially possible to build a portfolio that is long gamma and short vega, as long as you can find two options with different gamma and vega. The obvious example is to be long a short maturity ATM straddle (with high gamma and low vega) and short a long maturity ATM straddle (low gamma, high vega). $\endgroup$ – Chris Taylor Feb 29 at 23:19
  • $\begingroup$ Thanks, @ChrisTaylor. Yes. I mean short vega. I am asking this because from stochastic calculus, it looks like convexity and vega are from the same term (quadratic variation), so I was wondering whether long convexity and short vega is possible. Please correct me if I'm wrong, are convexity and vega derived from the same mathematical term? $\endgroup$ – Harry Lijia Qin Mar 2 at 14:45

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