Question
What is the vega of the hedged position above? If IV goes up by 3 points in one day, when underlying stock falls by $5
What is the vega of the hedged position above? If IV goes up by 3 points in one day, when underlying stock falls by $5 (stock goes from 100 to 95 and IV goes from 20 to 23%), what is your vega pnl? What is your total pnl from delta/gamma/theta/vega?
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Principles Of Finance
Authors: Scott Besley, Eugene F. Brigham
2nd Edition
003034509X, 9780030345098
