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How sensitive are vertical spreads to changes in implied volatility?
How sensitive are vertical spreads to changes in volatility / implied volatility in the money, at the money, and out of the money? I'm thinking for 1 point spreads this would be very small / neutral ...
Nov 16 '11 at 18:41
newest spread implied-volatility questions feed
Please welcome jmac, Community Manager of the Rising Sun
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