2008-01-19

The Effects of Volatility on the Time Spread When Trading Options(5)

Notice the increasing pattern as you go out over time.

Also notice how the value decreases as you move away from the at-the-money strike.

Another important fact about vega is that it is a strike-based number.

That means that the vega number does not differentiate between put and call.

Vega tells the volatility sensitivity of the strike regardless of whether you are looking at puts or calls.

So, the vega number of a call and its corresponding put are identical.

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