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I've plotted the charts of Volga of Vanilla Call/Put using finite difference method, and found they are the same, and an asymmetrical shape of observed for both. Any intuitive way to explain the behaviour, or why ITM call/OTM put has higher Volga?

  • $\begingroup$ These charts look correct. ericbenhamou.net/documents/Encyclo/volga.pdf The Vega of a Put and a Call are the same (due to put call parity), so the volga (the derivative of vega with respect to $\sigma$) of Put and Call are also the same. Also, it is true that it goes to zero when $S=K$. But your main question, about the asymmetric peaks, I don't know the answer. $\endgroup$ – Alex C Aug 29 '19 at 0:06

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