Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
price = $50 Implied vol = 16% Portfolio Long leg 1 .50 delta call @$50.64 strike (approximately ATM) Vega =$.20 Premium = $2.90 Short leg Short 1 .14 delta call @$60 strike (approximately 20% OTM) Vega = $.11 Premium = $.55 Summed as a vertical call spread Premium = $2.90 — $.55 = $2.35 Vega = $.20