Owning calendars without movement
Quantitative Finance
Level
3
You are long the frontmonth ATM straddle, and short the backmonth ATM straddle. One day passes and nothing happens. Do you expect to make or lose money?
Lose money. You are long vega and nothing is happening
Lose money. You are paying theta
Make money. You are short vega and nothing is happening
Make money. You are collecting theta
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