As traders will know, the Vix trades in a range: it mean reverts. Therefor you can profit by buying Vix … More
This option strangle is effectively short volatility. It buys long dated puts at the money and protects the position with long dated calls far out of the money.
After the liquidation of XIV following the volatility spike earlier in the year I decided to take a more detailed quantitative approach to trading volatility.
A while ago I put a lot of work and effort into looking at Black Scholes and various other option pricing models.