# Questions tagged [vega]

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756 views

### Greeks of a Basket Option

I want to estimate delta, vega and gamma for a basket option. This option is a European Call option. The underlying is $S=\omega_1 S_1 +\omega_2 S_2$ Where: $S1$ = stock price of asset 1 $S2$ = ...
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Let's take a look at market-maker's option quote in vol terms: 8.5 / 9.5. In that example bid-ask spread equals 1.0 point of vol. Can anybody clarifying how market-maker choose amount of spread in ...
131 views

### Usages of variance swap

I’m interested in variance swap. Considered from its feature, variance swap is used for betting the (historical) volatility of underlying asset. If we use it for hedge tool of Vega or Volga, does it ...
119 views

### Can the vega of ITM call-options be negative when the distribution of the underlyings returns is negatively skewed?

While calculating european call option prices, using the variance-gamma model formula provided by Madan, Carr & Chang (1998), I noticed that, holding all other things constant, the value of an ITM ...
358 views

### Derivation of the Pnl of a Delta Hedged Straddle and Risk Reversal

In the link below, in the text it states the following equations: Delta-hedged straddle P&L = Volatility Risk-premium ×| Straddle Vega | and Delta-hedged risk-reversal P&L: ...
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### Vega for long long-term ATM call and short short-term ATM call

You are long a long-term ATM call and short a short-term ATM call. The ratio is adjusted to make the total vega zero. If before expiry of the short-term option, spot is again at the strike price. ...
286 views

### Under what circumstances Veta is positive?

In general, as the option moves towards expiry, its vega is decreasing. Are there circumstances where the veta, i.e. the sensitivity of vega with respect to time, is positive, that is when vega is ...
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It's written in a book by Giles Hewitt : " The bid-offer spread quoted on a Strangle in volatility terms will usually be wider than the ATM spread to the same maturity because strikes away from the ...
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Suppose I am long spread option with underlying : rate A - rate B. The vega on the option would be positive. But if I want to compute the option vega with respect to individual rates, can I use the ...
50 views

I found two highly correlated assets that have spread in 3M realized and implied vol at historical minimum. To go long on this spread I thought of using two variance swaps. Would it be cheaper to ...
196 views

### Time weighted Vega for a VIX future contract

How to calculate the time weighted Vega applicable for a 3 month future contract (Expiring in 82 days)? Vega with S&P500 as base
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### What is the vega profile of an up-and-out call option? And why is this important in structuring?

I had this question during an interview but I can't seem to find the answer on the internet.
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### Vega binary option VS Vega Call option

I don't understand why the vega of a call option is not 0 when ATM. Irrespective of the implied volatility the vega of a binary call option when at-the-money is always zero, since you have 50-50 ...
303 views

### Variance Swap Vega

I am currently reading the paper of Derman and al for my master thesis on Variance Swap. At one point one says that "The variance vega is largest when the option is ATM", considering here a call ...
96 views

### Hedge volatility decreases

My particular options positions are typically a long delta, and long vega. Decreases in implied volatility, or specifically the VIX, can drastically alter the profitability of my position. Is there a ...