Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
$2.90 Summed as a ratioed vertical call spread Premium = $2.90 — $.9625 = $1.9375 Vega = $.20 — $.20 = $0 The position is flat volatility You know what’s coming. Let’s change the implied volatility and look at the structure price. Remember you shorted the ATM option at $2.90 and bought 1.75 OTM