how to trade vol direction, not spread

V

vol_newbie

It is widely known that pnl for a delta hedged single option position is on average proportional to spread between IV and HV. I am wondering which (delta hedge) option position has pnl proportional to IV direction, if any.

Background on this is tryng to trade pre-earnings IV increase on a delta neutral fashion.
 
just buy a sell with a pre earnings expiration and buy the put with a post earnings expiration. A calendar.

The post earnings expiration will increase in IV much more than the pre expiration.

However, if the put you sell is very close to expiration then you can have a much larger IV increase due mostly to curve effects whose normal state in the short term is to be in backwardization.

If you want delta neutrality because you will hold past earnings then do a straddle swap.

However, that strategy of holding past earnings is actually a secondary or sub strategy becuase all that IV premium that accrued to you will evaporate in a sudden vol crush post earnings.
 
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Wouldn't the calendar profit on the spread between front and back month vol? I hand´t heard about the straddle swap, I'll check it out
 
PnL wise its the same. Just more commission.

I re-read your post and realized you wanted a simpler position. Look at Variance Futures. Not much liquidity though.
 
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