DFD

Good idea. Are you suggesting a slight diagonal calendar spread to neutralize the delta (and gamma as much as possible)? Looks like a short Jul 18 209 PUT would almost be delta neutralized by a long Sept 207 PUT yet have a Vega differential of around 0.18. Is that what you're referring to?

Thanks for sharing, Nevermind. Fascinating to see the discrepancies and how important implementation is even when you have a sense of what trades to make.

Kim -- thanks for this. Quick question if you have a moment: do you have thoughts on how to best complement a volatility ETP (i.e., shorting VXX) trading strategy with options to mitigate excess swings in VIX volatility? I thought about purchasing SPY OTM 2-3 month puts to hedge against rising volatility and falling S&P 500 prices (both of which are inverse to a primarily short VXX strategy), but unsure if there would be a better way of hedging against rising VIX volatility (and not necessarily against falling SPY price).

Great interview, thanks!

Excellent article -- thanks!