Long volatility in one product against short volatility in another, sized so the vega on each side matches. Executed by lifting the market makers across the strikes that matter, so small moves do not force a rebalance.
Where it comes up
Part 4 of the course, Positional volatility trading: taking a view on volatility and one spread worked end to end. See the course →
The full picture
3 hours 24 minutes with the man who traded these
Sven Hubens, ten years an options market maker at Optiver and Maven, adjunct faculty at The Options Institute at Cboe.
- 3h 24m of video in 58 chapters
- All 128 slides from the course
- Subtitles in 16 languages
- A certificate a firm can verify
See the course
€59.95 incl. 21% VAT · six months of access
Education, not advice. Sophron® is not licensed by the AFM to give individual investment advice.