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Old and golden question, and maybe a new perspective: As the previous answers have pointed out, distinction needs to made between "skewness" and "skew". The former is the third moment of returns, and the latter is what volatility traders/portfolio managers usually associate with the difference between two implied volatilities straddling ...


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The expected stock price move post an event is the expected return of the stock price right before the event. Therefore, using ATM option IVs in the formula gives the expected return based on current stock price. If Using OTM/ITM option IVs, I think the formula gives the expected return based on the OTM/ITM option strike price. Theoretically, for stock ...


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Under your hypotheses, the implied volatility at which you close the trade out will be the forward volatility $\sigma_3$ where $\sigma_3<\sigma_2$, so you will make a loss on that. This loss will offset the theoretical gains you have made for the first 15 days of gamma hedging.


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