Long Vega and Long Theta

[samer1]

Hello,

Does anybody know an option strategy that gives you a positive vega and a positive theta?

The strategy should consist only of options with the same expiration, so calendar spreads are excluded...

Thanks!

Cheers.

 

[rmorse]

Buy an ATM calendar. The further out the back month, the higher the net Vega. The closer to expiration the front month, the higher the net Theta.

 

[atticus]

Quote from samer1:

Hello,

Does anybody know an option strategy that gives you a positive vega and a positive theta?

The strategy should consist only of options with the same expiration, so calendar spreads are excluded...

Thanks!

Cheers.

A $5-wide box for $4. An ATM fly with massive OTM skew.

 

[EliteTraderNYC]

Hey samer can you give an example of an options trade and what you want to accomplish?

 

[samer1]

Quote from EliteTraderNYC:

Hey samer can you give an example of an options trade and what you want to accomplish?

Hi ETNYC,

Yes, I am looking for an option structure that profits from an increase in IV and that has a positive time decay as expiration comes closer.

So if the IV goes up, the trade makes money. Example: long straddle
The trade also makes money through time decay. Example: short straddle.

However, it is important to note that the option structure has only options with the same expiration. Hence, no calendar....

Thanks!

Regards,
Samer

 

[samer1]

Quote from atticus:

A $5-wide box for $4. An ATM fly with massive OTM skew.

Can you please show me an example?

A wide box is an arbitrage trade, right?

 

[ForexForex]

Quote from samer1:
Yes, I am looking for an option structure that profits from an increase in IV and that has a positive time decay as expiration comes closer.

So if the IV goes up, the trade makes money. Example: long straddle
The trade also makes money through time decay. Example: short straddle.

However, it is important to note that the option structure has only options with the same expiration. Hence, no calendar....

The only trade I can think of is:

• Buy Deep OTM options for pennies or nickels.
• Sell 1 strike OTM options for dollars.

 

[atticus]

Quote from ForexForex:

The only trade I can think of is:

• Buy Deep OTM options for pennies or nickels.
• Sell 1 strike OTM options for dollars.

Fing brilliant. htf is that long vega?

 

[babutime]

Quote from ForexForex:

The only trade I can think of is:

• Buy Deep OTM options for pennies or nickels.
• Sell 1 strike OTM options for dollars.

I hereby declare you the official troll of ET.

It's been a pleasure feeding you.

 

[rmorse]

Quote from samer1:

Hi ETNYC,

Yes, I am looking for an option structure that profits from an increase in IV and that has a positive time decay as expiration comes closer.

So if the IV goes up, the trade makes money. Example: long straddle
The trade also makes money through time decay. Example: short straddle.

However, it is important to note that the option structure has only options with the same expiration. Hence, no calendar....

Thanks!

Regards,
Samer

The only way to do that without a calendar, is to buy a 1 X 2 put spread, where the ATM put you sell 1, and the OTM put you buy twice as many. It needs to be a credit spread. If the stock tanks, the OTM puts become ATM, you'll have +Vega on the down side. If the stock stays the same or goes up, your credit spread makes you money.