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+900 Part VI: Measuring and Trading VolatiHty 
+Recall that the position discussed in the last section was vega neutral and was: 
+Short 6,000 XYZ 
+Long 308 March 60 calls 
+Short 186 June 60 calls 
+Delta: neutral 
+Gamma: long 1,000 shares 
+Vega: neutral 
+Theta: long $625 
+Notice that in the new position, there are over three times as many long March 
+60 calls as there are short June 60 calls. This is a much larger ratio than in the vega 
+neutral position, in which about 1.6 calls were bought for each one sold. This even 
+greater preponderance of near-term calls that are purchased means the newer posi­
+tion has an even larger exposure to time decay than did the previous one. That is, in 
+order to acquire the positive vega, one is forced to take on even more risk with 
+respect to time decay. For that reason, this is a less desirable position than the first 
+one; it seems overly risky to want to be both long gamma and long volatility. 
+This does not necessarily mean that one would never want to be long volatility. 
+In fact, if one expected volatility to increase, he might want to establish a position that 
+was delta neutral and gamma neutral, but had positive vega. Again, using the same 
+prices as in the previous examples, the following position would satisfy these criteria: 
+Short 2,600 XYZ 
+Short 64 March 60 calls 
+Long 106 June 60 calls 
+Delta: neutral 
+Gamma: neutral 
+Vega: long $1,000 
+Theta: long $11 
+This position has a more conventional form. It is a calendar spread, except that 
+more long calls are purchased. Moreover, the theta of this position is only $11- it will 
+only lose $11 per day to time decay. At first glance it might seem like the best of the 
+three choices. Unfortunately, when one draws the profit graph (Figure 40-19), he 
+finds that this position has significant downside risk: The short stock cannot com­
+pensate for the large quantity of June 60 calls. Still, the position does make money on 
+the upside, and will also make money if volatility increases. If the near-term March 
+calls were overpriced with respect to the June calls at the time the position was estab­
+lished, it would make it even more desirable. 
+To summarize, defining the risks one wants to take or avoid specifies the con­
+struction of the eventual position. The strategist should examine the potential risks 
+and rewards, especially the profit picture. If the potential risks are not desirable, the 
+strategist should rethink his requirements and try again. Thus, in the example pre­
+sented, the strategist felt that he initially wanted to be long gamma, but it involved too