# Tag Info

## New answers tagged gamma

1 vote

### Purpose of Vega Hedging

No, changes in implied volatility do not affect the PnL at maturity because at maturity his option positions collapse to the terminal payoff [s-k]+, and his futures positions will settle. Vega is only ...
• 804
1 vote
Accepted

### Option: link between Vega and Gamma

When you hedge an option's delta at implied volatility, the resulting PnL over timestep, dt, is: $$PnL = (\Delta_i * dS + \frac{\Gamma_i dS^2}{2} + \Theta * dt) - \Delta_i * dS$$ Leaving:  \frac{\...
• 804
1 vote

### Option: link between Vega and Gamma

I have another answer. We know by the link, the call valued at the incorrect vol (beta) loses gamma PnL. We know the call valued rightly loses no PnL (all strategies are fair in the risk neutral world)...
• 2,431
$Vega*(Vol1-Vol2)=C(t,S(t),vol1)-C(t,S(t),vol2)$ (1=2) where vol1 and vol2 are close enough for 1 and 2 to be the same. Now we delta hedge both calls at implied volatility. We ignore that change in ...