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Short vega risk
Hi how to assess whether a short interest rate vega risk position is in right size relative to the implied vol pnl? Thank you.
Short vega risk
don't understand... are you trying to figure out if the volatility of the p+l is in line with the size of vega ?
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Short vega risk
Sorry I am not clear in my question. I calculated the standard deviation of vega pnl in relation to historical vol move. From here how do I conclude whether the vega position is in the right size or too large. Thank you.
