Vomma: 波動率改變對選擇權vega的改變
本帖最後由 sec2100 於 2019-6-24 10:33 編輯As displayed in the above reported chart out-of-the-money options have the highest vomma, while at-the-money options have a low vomma which means that vega remains almost constant with respect to volatility. The shape of vomma is something that every options trader should bear in mind while trading because it clearly confirms that the vega that will be influenced the most by a change in volatility will be the one of OTM options while the relationship with ATM options will be almost constant. This makes sense because a change in implied volatility would increase the probability of an OTM options to expire in-the-money and this is precisely why vomma is the highest around the OTM area.
https://medium.com/hypervolatility/options-greeks-vanna-charm-vomma-dvegadtime-77d35c4db85c
本帖最後由 sec2100 於 2019-6-24 10:33 編輯
上一篇文章對三個東西有清楚的介紹:
波動率對delta的影響: vanna
到期日遠近對delta的影響: charm
波動率對vega的影響: vomma 不脫我以前提過的 進階版希臘字母Advanced Greeks 的範疇, 看來我也可以不用寫了 哈
http://www.optionshare.tw/forum.php?mod=viewthread&tid=3042&extra=
EntrepreneurOPs 發表於 2019-6-26 08:47
不脫我以前提過的 進階版希臘字母Advanced Greeks 的範疇, 看來我也可以不用寫了 哈
http://www.optionshar ...
MANY THANKS, PAL.
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