标题: i wasted 15 minutes of my life on this Q [打印本页] 作者: dvilayphet 时间: 2011-7-11 20:02 标题: i wasted 15 minutes of my life on this Q
let's see if i am the only one.
consider a share ABC stock with current price of 50. Which of the following options on ABC stock will most likely have the lowest vega? A long:
A. Put with strike of 10
B. Call with strike of 90
C. Put with the strike of 50 and short call with strike of 50.
I am sure most of you will get it right.
I post answer after 5 responses.作者: 19831985 时间: 2011-7-11 20:02
of course the call the with strike price of 90.作者: zhaoyp 时间: 2011-7-11 20:02
It's C. If there is no arbitrage, vega for the same strike must be equivalent. So, C has zero vega.作者: brainsX 时间: 2011-7-11 20:02
answer is C作者: ninja1024 时间: 2011-7-11 20:02
ohai Wrote:
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> It's C. If there is no arbitrage, vega for the
> same strike must be equivalent. So, C has zero
> vega.
How do you know there is no arbitrage based off of what is given in the question?作者: onelife1 时间: 2011-7-11 20:02
C
Wouldn't the volatility inputs be relatively similar for a put and call that are $40 out of the money in each direction? By process of elimination I arrived at C although I couldn't really justify C as my answer.作者: ayodayo 时间: 2011-7-11 20:02
they might be relatively similar but it won't cancel out to exactly 0?作者: Analyze_This 时间: 2011-7-11 20:02
the long and short position cancel to exactly 0 vega作者: giorgio10 时间: 2011-7-11 20:02
Chuckrox8 Wrote:
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> C
>
> Wouldn't the volatility inputs be relatively
> similar for a put and call that are $40 out of the
> money in each direction? By process of
> elimination I arrived at C although I couldn't
> really justify C as my answer.
your are right, A and B have equally low vega
