Vega

JamesH83 · February 15th, 2005, 10:45 am

What would a graph of Vega against implied vol look like?

baghead · February 15th, 2005, 12:38 pm

Suppose impl vol of 20 and 60 days till maturity.for at-the-money options vega is almost constant, regardless of changes in vol.for OTM option it`s a strictly increasing function. convex on the downside (approx. 5-15% vol in our example) and concave beyond.check natenberg p.117

JamesH83 · February 15th, 2005, 2:26 pm

baghead, thats a great answer, thanks.do you think natenberg or taleb is better for answering these kind of questions?

spoona13 · February 19th, 2005, 5:03 am

i hope this diagram helps

sgelb · February 20th, 2005, 10:28 pm

vega convexity is talebs game!