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Similarly the butterfly portfolio (buy 25d put and call, sell 2x ATM) is a way to trade your view of vol-of-vol against what is implied by the market. Each of these portfolios has its own “gamma” (actual gamma in case of straddle, vanna for the RR, volga for the fly) and a...
...”theta” which compensates for the losses/gains due to “gamma”. They are sensitive to movements in the vol surface which mark your position against the market’s current view of the future value of the “gamma”/“theta” flows.
So the vega is the market’s way of paying you now if it agrees with you about the future realized vs implied trade-off (or punishing you when it disagrees).
May have got some details wrong so wd appreciate being corrected if so! @JessicaNutt96 @QuantVol @volatilitysmile @VolQuant @bennpeifert
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