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.
發表於 2019-6-24 10:16:31
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發表於 2019-6-26 08:47:24