Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
1-year tenor, and a strike into a vega formula. We will do this for a range of strikes. Here’s the curve we get: This chart assumes a single option per strike which is why the vega of the .50 delta strike is $.20 (not $.40 like the straddle vega). The big takeaways: The vega of a non-.50d option