Options calc - maximizing vamma?

M

murphmack

I'm looking to go long on Volatility, but would like to know if anyone knows of a calc of how to optimize a position so my vega is optimus prime when I'm expecting a move of x magnitude?

This is via long options only though, cannot short.
 
Nope. It won't work. When the tertiary integral of time gets to 5 orders of magnitude, after gamma converges (path-independance lags), the hysteresis will explode.

Too dangerous for me. I'm staying out of it.
 
Quote from murphmack:

I'm looking to go long on Volatility, but would like to know if anyone knows of a calc of how to optimize a position so my vega is optimus prime when I'm expecting a move of x magnitude?

This is via long options only though, cannot short.
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You'll need energon. Go deep otm on anything with -skew and in the bottom decile on atm implied vol.
 
Quote from Wayne Gibbous:

Nope. It won't work. When the tertiary integral of time gets to 5 orders of magnitude, after gamma converges (path-independance lags), the hysteresis will explode.

Too dangerous for me. I'm staying out of it.
More...

3rd integral of time is time travel. I don't believe for a second you can master the shart while sneezing to effect time travel.
 
Quote from murphmack:

lol... but seriously anybody know?
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-skew, deep otm options. A sticky-delta model will locate the high dvega(dgamma)/ds strikes.
 
Quote from murphmack:
... but seriously......
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1) Your question was sufficiently answered. :)
2) You could post your question at wilmott.com if you want to get "input" from other math-nerds. :(
 
Quote from nazzdack:

1) Your question was sufficiently answered. :)
2) You could post your question at wilmott.com if you want to get "input" from other math-nerds. :(
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I realize it was answered after I posted that.. lol

I've been involved with options for a while, just not this in depth (the 2nd order greeks, etc). So I really don't know what -skew means, and sticky delta, hence I've been on google researching these terms.

Can you link me to a good site to learn this type of stuff?
 
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