My particular options positions are typically a long delta, and long vega. Decreases in implied volatility, or specifically the VIX, can drastically alter the profitability of my position.
Is there a way to hedge this?
My possibilities seem to be:
An additional calendar spread on the two front most series of the asset that I want to have my core long delta and long vega position in.
Being short the VIX in some capacity such as puts on VXX ETF, shorting VXX ETF, long inverse VIX ETF (SVXY), long equity+options position on inverse VIX ETF
My problem is that even on VIX ETFs, and on the VIX itself, ALL associated options contracts are effected strangely by decreasing volatility.
- I can also sell VIX futures.
The next tricky part for me is balancing the portfolio based on differing margin requirements amongst asset classes. So is there any research paper or article or 'common knowledge' about how to construct this kind of hedge? I could only so far find things about going long volatility.