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Hey mates, simple question to formulate, not sure if it's trivial to answer.
What's the purest way to trade index skew? On the one hand, it might be tempting to say a delta-hedged risky, but you run into the problem that strikes are fixed, so if underlying moves enough, you might have been correct about where skew will move in log moneyness or delta space but still have negative PnL...
Any ideas?
What's the purest way to trade index skew? On the one hand, it might be tempting to say a delta-hedged risky, but you run into the problem that strikes are fixed, so if underlying moves enough, you might have been correct about where skew will move in log moneyness or delta space but still have negative PnL...
Any ideas?