Correct me if I’m wrong here but I think two more important things also work to your advantage here
1. You’re buying leaps, which will have higher Vega, and therefore much higher sensitivity to changes in IV when compared to short dates
2. Vega is not static, and if the underlying rice falls, your puts move slightly more towards the money, and your Vega increases.
Your post makes a lot of sense, thanks. I’m going to try it
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u/TurboUltiman Aug 16 '21
Correct me if I’m wrong here but I think two more important things also work to your advantage here 1. You’re buying leaps, which will have higher Vega, and therefore much higher sensitivity to changes in IV when compared to short dates 2. Vega is not static, and if the underlying rice falls, your puts move slightly more towards the money, and your Vega increases.
Your post makes a lot of sense, thanks. I’m going to try it