A calender has +ve theta and +ve vega while butterfly has + theta and -ve vega. Hence, as far as vega is concerned mixing both is a good diversification
From: Johnnyvogue <jmvogler@hotmail.
To: OptionClub@yahoogro
Sent: Thu, July 15, 2010 12:35:17 AM
Subject: [TheOptionClub.
Hello all,
I am working on a plan for some August income trades and I'm trying to find a mix of positive Vega, like a calendar, as well as negative Vega trades such as a butterfly. Does anyone have input in regard to using the same underlying such as an index like DIA for instance in constructing the trades? In other words, would you ever use the same underlying in a butterfly and a calendar at the same time? Thanks in advance for your thoughts!
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