Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
stock. The blue line assumes 16% vol across all strikes. The red line is 32% vol across all strikes. In fact, imagine overnight, the stock’s vol doubled from 16% to 32%. The maximum vega at any strike is still fixed at $.20, it just occurs at the new .50 delta strike. The .50 delta strike moved up