As displayed in the above reported chart out-of-the-money options have the highest vomma, while at-the-money options have a low vomma which means that vega remains almost constant with respect to volatility. The shape of vomma is something that every options trader should bear in mind while trading because it clearly confirms that the vega that will be influenced the most by a change in volatility will be the one of OTM options while the relationship with ATM options will be almost constant. This makes sense because a change in implied volatility would increase the probability of an OTM options to expire in-the-money and this is precisely why vomma is the highest around the OTM area.
EntrepreneurOPs 發表於 2019-6-26 08:47
不脫我以前提過的 進階版希臘字母Advanced Greeks 的範疇, 看來我也可以不用寫了 哈
http://www.optionshar ...
| 歡迎光臨 Optionshare 選擇幫 (https://optionshare.tw/) | Powered by Discuz! X3.2 |