The follow up to Breakpoints
Thanks for the post, I have few questions.
1. While putting on structures like vega neutral call spread we would be left with delta exposure. Do you consider getting your delta neutral?
2. Is risk reversal only a spot vol structure or can it be used to express skew as well?
3. Regarding ratio ironfly, isn't it a kurtosis structure rather than skew structure? Where we find tails are cheap and ATM is expensive relatively.
1. Delta exposure is up to the user. In the case of my GME trade I accepted the delta risk.
2. Risk reversals are primarily skew trades when done for vol reasons as opposed to collaring a delta position
3. Kurtosis is more technically correct i'd guess. I never really use that word. I just think about "my position on the wing"
Thanks for the post, I have few questions.
1. While putting on structures like vega neutral call spread we would be left with delta exposure. Do you consider getting your delta neutral?
2. Is risk reversal only a spot vol structure or can it be used to express skew as well?
3. Regarding ratio ironfly, isn't it a kurtosis structure rather than skew structure? Where we find tails are cheap and ATM is expensive relatively.
1. Delta exposure is up to the user. In the case of my GME trade I accepted the delta risk.
2. Risk reversals are primarily skew trades when done for vol reasons as opposed to collaring a delta position
3. Kurtosis is more technically correct i'd guess. I never really use that word. I just think about "my position on the wing"