Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
option remains .50 delta. Watch How Your Position Changes You can start to see the reason why a position can be convex with respect to changes in vol. Imagine you were long the .50 delta option and short the way OTM 90 strike call. At 16% vol the call you are long has $.20 of vega and the call you