Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
.50 delta option has shifted to the right. Let’s still use $.20 to make the point. The calls you are short now possess $.05 of vega. Your new position vega computed as (1 x $.20 + (-10) x $.05) or -$.30 of vega. You are now short vol! Your vega which represents your slope of P/L with respect to vol