Why does this matter? Because in the same way that buying a (delta-hedged) straddle is a bet that realized vol will be greater than implied, the portfolio below is a way of trading realized covariance of spot, vol against implied covariance.https://twitter.com/macrocephalopod/status/1352216566268628994 …
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).
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May have got some details wrong so wd appreciate being corrected if so!
@JessicaNutt96@QuantVol@volatilitysmile@VolQuant@bennpeifertShow this threadThanks. Twitter will use this to make your timeline better. UndoUndo
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