I am given a list of
Options positions consisting of various combinations of
Strikes. I am also given the
Vega values for each go these positions.
Now, given this information, I want to calculate total
Vega exposure of this portfolio. Should I just add up the individual
Vegas and report that as total
Vega (without considering the sign ofcourse)?
Is that approach correct at least approximately? If not, what can be the correct approach given the information I have?