Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
of vega we need to buy 1.75 of the 60 strike OTM calls ($.20 / $.11) to have a net flat vega position. Total vega for the long leg: $.20 Premium per option = $.55 Total premium = $.9625 ($.55 x 1.75 contracts) Short leg Short 1 .50 delta call @$50.64 strike (approximately ATM) Vega = $.20 Premium =