Options Trading, Options Greeks, Volatility Trading, Moontower, Black Scholes Model.
Recall that vega is the sensitivity of the option price with respect to vol. Voila, the straddle vega is $.40 More generally this can be seen from re-arranging the approximation formula. Vega = Straddle/σ = .8S√T Ok, so we have quickly found the ATM straddle price and ATM straddle vega. Look again