Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
long “vol of vol”) Same starting conditions: Stock price = $50 Implied vol = 16% We are targeting a vega-neutral portfolio New Portfolio Long leg Some amount of .14 delta calls @$60 strike (approximately 20% OTM) Vega per option =$.11 Since the short leg has $.20 of vega and our long leg has $.11