Vega neutral option strategy

Is it as simple as being long and short options? Is this the same as being long and short volatility - selling and buying options at the same time to hedge your portfolio?

Vega Neutral Options Strategy | Wall Street Oasis

Yes creating a vega neutral options position involves both buying and selling options. In terms of hedging, it would hedge your instantaneous vega risk, but not necessarily other risks ie gamma, vanna, gov, etc.

For example, if you bot a 1m option and sold a ratioed amount of 1y options because different tenors have different vega per notional , you would be flat vega, but long gamma.

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Another example, you could construct a portfolio where you are long topstrikes and short downstrikes. You could be flat vega, but you would be long vanna and have sensitivity to the risk reversal.

They're all former investment bankers who were laid off from that economic crisis that Nancy Pelosi caused. They have zero real world skills, but God they work hard. To the OP, as Revsly explained very well, generally, two different options will have different vegas and other risk parameters. One of the goals of many quant options traders is trying to maximize their theta i.

In a lot of ways, I think running a vol book is really about efficiently hedging risk and knowing how to aggregate and manage your various exposures. IB PE HF RE CO TR AM ER CF ALL JOB BSCH OFF FASH TREND BEST.

Home Forums Sales and Trading Forum Vega Neutral Options Strategy. Hi, I was wondering in simple terms how you describe a vega neutral options strategy? I've had a look on Willmot and pardon the pun but it's all Greek to me Is it as simple as being long and short options? Log in or register to post comments. Sorry, you need to login or sign up using one of the blue buttons below in order to vote. As a new user, you get 3 WSO Credits free, so you can reward or punish any content you deem worthy right away.

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How Delta neutral and Vega neutral strategies can fetch risk free returns on regular basis? - Algos, strategies, code - Trading Q&A by Zerodha - All your queries on trading and markets answered

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