Vega problems

[ballsofgold]

not quite. you mentioned selling front calls in rallies and buying back calls into dips which led me to believe that you are legging into time spreads. I speculated that the starting position would be a call backspread in the back month since I assume you want to start delta flat although you'd be vega+ . When xyz rallies, you would cover 1 short call in the back and sub it with a short call in the front month.... so you'd start with a -10/20 call b'spread 90days out and morph it into a 20x20 time spread...I could be way off...lol

hmmmmm let's just simplify it...

the vol curve moves, the spread between 1m and 9m moves...

If front end vol looks expensive, I can sell it. Whether I sell 10 lots of the 50 deltas hedged with futures or sell 20 lots of the 25 deltas hedged with futures depends on the skew but i will be short vega regardless of the package...

on the contrary, I can buy back end if I am looking to be long vol over a longer term period. again, how i structure the package depends on the skew ( how much of a difference are the wings vs the meat)

then you have a synthetic time spread

 

[hardtofin]

Many thanks to balls and Sle on this post and all the other contributors. I think I have the information I need now. Very much appreciated and thanks for the great feedback!