Straddle Vol Trade

Boston 2021 CFA Level 3 Mock Exam Afternoon Q22.

The question asks can you achieve short vol strategy with long straddle

The question is showing vega is obviously +ve - hence i think the answer is it cannot.

but the answer is you can because the delta is net negative. I think this is wrong because volatility trade should focus on vega rather than delta - am I mistaken?


yeah, also the net negative delta is going to be a very small/inconsequential number.

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