0
$\begingroup$

Does anyone know how the P and L on put backspread changes as a function of implied volatility and longer expiration?

One wants as much gamma as possible as far as I understand, in turn being related to the steepness of the "V". Is it possible to say something about how the shape of the "V" changes with expiration and IV? and are the other things to consider when controlling this shape

$\endgroup$
0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.