If you were very certain that realized volatility would be much less than current market implied volatility over the duration, any short gamma trade spread would have a theoretical positive expectancy! The Double Diagonal also provides one rolling opportunity at or just before Sept expiration.
This is exactly what I heard him say..IIRC...go short gamma as the VIX was so high and he also pointed to the fact that volume in the puts far exceeded volume in calls (ATM and NTM) pointing to perhaps panic covering/protection
This is correct, pricing in the short term durations is extremely efficient. The QQQQ Sept/Sept04 Double Diagonal could be viewed as slightly short to neutral vega, even though the sign of the net vega is positive. The best way to speculate on the direction of implied volatility is to use a single-duration volatility spread, ratio a multi-month spread appropriately, or use a pure volatility contract like the VBI/VIX.
I also should have made it clear that this position will not stay neutral. The closer to September expiration, the greater the long volatility exposure. The idea is that you are going to roll before that happens...
