Detla Hedging Butterflles

Sell the highs, buy the lows, take their money, bash their nose.
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thimble
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Joined: Thu Jan 01, 2004 12:00 am

Detla Hedging Butterflles

Post by thimble »

My PnL for a short straddle continuously hedged is $vega*(IV - RV). For a long butterfly spread I will eventually be long gamma outside the wings. So If I continuously hedge my deltas for a butterfly is my PnL still the same(vega *(IV-RV))? Thanks
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