Trading VIX/ Volatility

[qazmax]

Quote from Raver:

Thanks for the answers, I forgot to mention I have access to the OTC market.

Basically I want to set up a vega position and hold it for about 20 days. I am orienting which is the best way to set it up. Varswaps or straddles or strangles.

I am leaning towards strangles because the frequency of delta hedging is smaller then with atm straddles.

When you say straddle and stranggles are you talking about using an equity index? I am just asking because it sounded like you meant a straddle on the VIX, which may not be what you are looking for if you want to be long Vega.

 

[Raver]

Hi gazmax, I mean straddles/strangles on equity indices. I have done some more research and the pricing of the vix is almost the same as the varswap so varswaps are a better option in the end. No path dependency with varswaps.

A vega position via VIX options position is another hassle, you are dependent on the vol of the vol.

What kind of spread is there in the 3M varswap on the S&P500? 240-250?

Regards,

RS