Post a stock and options strategy and I will write about it.
Example: What's a bullish strategy for Apple?
How can I form a delta neutral structure, that collects theta but is not too exposed to vega.
Now that’s a darn good question! When I tried it with gamma, it didn’t work.
A long butterfly is probably one of the best delta nuetral strategies. These gain value as the option pairs reach expiration........Thus that is collecting theta provided of course that it stays within a range.
Anyone would be hard pressed to find an option that is not exposed to vega. Unlike a stocks delta and theta, vega is harder to predict and is more dependent on market behavior and expections from market participants.
If a person wants an option strategy that is least dependent on vega, they need to play options which are deep in the money and have a long time to expiration. While these options still have vega, as a percentage to the actual value they don't have a lot. Now as we know this type of play would not be delta nuetral and certainly would not profit on decay.
I don't write a lot about options myself but I had to respond even though I beleive that your comment was in jest. Just because a lot of people think there is some sort of magical way for people to observe vega. It is mostly dependent on the markets behavior. Vega changes with a change in IV. IV will always be hard to predict and will also be one of the major factors that people overlook when trading options. While to some degree there will be option strategies that are less dependent on vega, all will have some dependence on vega.
...........Just watch IV crush after an expected announcement.
safe covered calls for 5% monthly and straddles on those high flyer stocks.
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