Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
Across Strikes While we were able to compute the vega for the ATM straddle to be $.40 from the straddle approximation, how about the rest of the strikes? For those, we need to rely on Black Scholes. You can find the formula for vega anywhere online. Let’s feed in a $50 stock, 0 carry, 16% vol, a