Thanks!

Thanks daveangel, could you please describe what the cost of carry is and why it will impact the delta of a forward starting option?

Ok, the option has a small delta and this delta changes. For example why this delta changes if I change the dividend yield for example? thanks

This is not correct, the option has value and hence a premium should be charged, I think it is related to the intrinsic value. Let suppose that we have a ATM forward starting option, so doesn’t matter the level from the underlying, its intrinsic value will be zero…Any other ideas?

Hi all. Why the delta from a Forward starting option is almost zero?Thanks

QuoteThe first derivative of K^2 is 2K thanks for your reply, but why do we take the first derivative of a constant? The strike K is a constat in the Varswap function...What is the logic behind it?Many thanks

<t>Hi there, Does anyone can help with:1 - why we divided the Vega Notional per 2 times the Vol Strike (Vega/2*Vol strike) to calculate the Variance unit? Where the (2*Vol strike) came from?2- The var cap is always 2.5 * vol strike. Is it market convention or is there any math behind it?Many thanks ...

<t>Hi there, Does anyone can help with:1 - why we divided the Vega Notional per 2 times the Vol Strike (Vega/2*Vol strike) to calculate the Variance unit? Where the (2*Vol strike) came from?2- The var cap is always 2.5 * vol strike. Is it market convention or is there any math behind it?Many thanks ...

<t>Hi there, Does anyone can help with:1 - why we divided the Vega Notional per 2 times the Vol Strike (Vega/2*Vol strike) to calculate the Variance unit? Where the (2*Vol strike) came from?2- The var cap is always 2.5 * vol strike. Is it market convention or is there any math behind it?Many thanks ...