If one choses to put on a pair trade, long TLT and short gold. How does one go about hedging here, should both trades be considered individually and hedge accordingly or some other math way?
Complicated question. You can manage them independently or as a pair (this will likely require imposing an intentional bias) since correlations can move around as the "story" behind the asset returns change.
Posts on the math include Weighting An Options Pair Trade and From CAPM to Hedging
I'd stay away from a pair trade personally and think of them independently as a retail trader
If one wanted to be long gold and gold vol over the next 6 months would getting long December quarterly calls and short November calls be a reasonable place to start? (Soliciting comments on methodology, not trade advice)
Thanks. That helps a lot. I should add that i was hoping to take advantage of the relatively expensive vol over 3 months while still being long delta and vol in December
Thanks for the post kris....
If one choses to put on a pair trade, long TLT and short gold. How does one go about hedging here, should both trades be considered individually and hedge accordingly or some other math way?
Complicated question. You can manage them independently or as a pair (this will likely require imposing an intentional bias) since correlations can move around as the "story" behind the asset returns change.
Posts on the math include Weighting An Options Pair Trade and From CAPM to Hedging
I'd stay away from a pair trade personally and think of them independently as a retail trader
If one wanted to be long gold and gold vol over the next 6 months would getting long December quarterly calls and short November calls be a reasonable place to start? (Soliciting comments on methodology, not trade advice)
you'd be shorting the election move (which is fine just important to understand what's happening)
this might help
https://www.moontower.ai/options-calculators/event-volatility-extractor
Thanks. That helps a lot. I should add that i was hoping to take advantage of the relatively expensive vol over 3 months while still being long delta and vol in December