I am trying to understand how to build an implied-to-realised Vanna trade using a risk reversal, as shown in the Hull's paper:


I have some difficulties understanding how to get exposure to realized Vanna (equivalent of realized spot/Vol correl I presume?).

If I think to the implied to realised Vol premium via the selling of a delta hedged option, it is pretty clear to me that what we collect is the implied Vol (via the selling of the option) and what we pay is the realised Vol (via the delta hedging). Now if I try to do the same with the implied to realized Vanna in a risk reversal: what we collect is the implied spot/vol correl (included in the put price that we sell), but then how do we pay the realised spot/vol correl?



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