Volatility, Trading, Derivatives Market, Quantitative Finance, Finance.
fully sold on this idea, let take the following example: We buy a 1-week 3% OTM call option on stock ZYX (let’s assume vol=10%). Soon after we buy the far OTM call option (remember, this is 3% away from the market), the underlying stock moves 1% (because of a fat-finger buying of someone who wanted