1. Underlying follows lognormal distribution and is current at $100. You put on a broken-wing butterfly (BWBF) position with the following three legs:

i. Long 1x 50 delta put where IV is 20 %;

ii. Short 2x 30 delta put where IV is 25 %;

iii. Long 1x 10 delta put where IV is 30 %;

There are three months b/f expiration. Riskfree rate is zero.

a. What are the vega values for each leg as well as the overall vega?

b.Underlying moved up to $101 in one day. IV did not change for any leg. What is PnL due to delta, gamma and theta respectively?