Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
at the expression for the straddle vega. .8S√T There are 2 big insights here. The first can be seen from the expression. The second cannot. The vega of the ATM straddle does not depend on the level of implied vol. The vega only cares about the stock price and time to expiration. So whether you are