long theta and long vega

johntsai90 · Nov 9, 2009

Are there any strategies which can trade both long theta and long vega?

dmo · Nov 9, 2009

Quote from johntsai90:

Are there any strategies which can trade both long theta and long vega?

Long the back months, short the front months.

johntsai90 · Nov 9, 2009

The index option i am currently trading doesn't have enough volume for the back month,

Are there any other ways?

Jesus · Nov 10, 2009

short VIX puts or VIX in the money spreads?

johntsai90 · Nov 10, 2009

what if there is no VIX product in my country now? any other ideas?

i guess its more and more challenges now

MTE · Nov 10, 2009

Quote from johntsai90:

The index option i am currently trading doesn't have enough volume for the back month,

Are there any other ways?

No.

dmo · Nov 10, 2009

Quote from johntsai90:

what if there is no VIX product in my country now? any other ideas?

i guess its more and more challenges now

If all your options have the same expiration date, then if you're long vega, you will be short theta.

MasterAtWork · Nov 10, 2009

Quote from dmo:

If all your options have the same expiration date, then if you're long vega, you will be short theta.

Hi Dmo,

Are you sure about that ? Price this risk reversal
Maturity december 12
long call 153.6 implied vol 13.5%
short put 141.6 implied vol 13.5%

spot 148.6
risk free rate 0.9%
dividend:1.25%

vega =-71
daily theta=-5.52

the same expiration date

MasterAtWork · Nov 10, 2009

vega $ -7.12
Daily theta $ -0.55

(I did it 10 times

)

crgarcia · Nov 10, 2009

Quote from johntsai90:

Are there any strategies which can trade both long theta and long vega?

Buy a straddle?