Excellent videos. By far the best instructional guide on the web. Thank you. Quick question if I may.....besides using solver, what do you recommend to solve for the strikes that would give a 50 delta straddle. Using your info above it looks like if we use a spot of 100 then a strike of around 109 would approximate....but it gets a bit trickier when dividend is not zero
Volatility = (Todays Close /Yesterday's Close) -1 ? Am i correct here Also is it possible to do a detailed video/Live stream on how we can make a similar sheet on excel to get Vega Values. It would be helpful. Thanks
Most people say vega is related to implied volatility and you guys are saying its related to volitality. I believe you guys are right. But can you explain why people do say its related to implied volatility.
Most people are correct: I just did not bother to say "implied volatility" because, by definition of using a first derivative as a function of the BSM option pricing model, the change in the numerator is a change in implied volatility (i.e., because it depends on the price function). Please note I don't think i ever said vega refers to "realized volatility" because I assume you mean "is vega related to implied or realized volatility?" ... we can estimate a numerical vega with realized volatility but I think it's less common and I obviously don't show that here. Ultimately, thee is no disagreement (right/wrong), vega = ∂c/∂σ and while (by far, I think) most illustrations of vega refer to "change in implied volatility," there is nothing stopping us from "change in realized volatility" in the numerator per a numerical calculation.
Could you please detail the computation of the derivative to get Vega. Because what I get by my side is: Vega= S.N'(D1).D1' - K.e^-RfT.N'(D2).D2' . With D1' (and D2')= first derivative of D1 (and D2) by the standard deviation. (I computed what is D1' and D2' of course). When I arrive here I don't see the simplification to get Vega = S.T^0.5.N'(D1). Thank you
Sir, I have no clue as to what you are saying and I was hoping that you would pick a company ( First Derivative) and divided by Volatility of the underline asset, thus Vega. In real time of course. Thanks
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I love these videos from BT. Honestly they are the best!
Sir do you any videos to neutralize delta,theta,And Vega in option. Is there any formulas to do that. Please show some light on this.
Very nicely explained
Thank you Sir
You're welcome! Thank you for watching :)
Excellent videos. By far the best instructional guide on the web. Thank you. Quick question if I may.....besides using solver, what do you recommend to solve for the strikes that would give a 50 delta straddle. Using your info above it looks like if we use a spot of 100 then a strike of around 109 would approximate....but it gets a bit trickier when dividend is not zero
I have not found a single video that best explains about the Greeks.
Absolut Legend
Volatility = (Todays Close /Yesterday's Close) -1 ? Am i correct here
Also is it possible to do a detailed video/Live stream on how we can make a similar sheet on excel to get Vega Values. It would be helpful. Thanks
Most people say vega is related to implied volatility and you guys are saying its related to volitality. I believe you guys are right. But can you explain why people do say its related to implied volatility.
Most people are correct: I just did not bother to say "implied volatility" because, by definition of using a first derivative as a function of the BSM option pricing model, the change in the numerator is a change in implied volatility (i.e., because it depends on the price function). Please note I don't think i ever said vega refers to "realized volatility" because I assume you mean "is vega related to implied or realized volatility?" ... we can estimate a numerical vega with realized volatility but I think it's less common and I obviously don't show that here. Ultimately, thee is no disagreement (right/wrong), vega = ∂c/∂σ and while (by far, I think) most illustrations of vega refer to "change in implied volatility," there is nothing stopping us from "change in realized volatility" in the numerator per a numerical calculation.
Could you please detail the computation of the derivative to get Vega. Because what I get by my side is: Vega= S.N'(D1).D1' - K.e^-RfT.N'(D2).D2' .
With D1' (and D2')= first derivative of D1 (and D2) by the standard deviation. (I computed what is D1' and D2' of course).
When I arrive here I don't see the simplification to get Vega = S.T^0.5.N'(D1). Thank you
good video.
1 unit vol = 1%, not 100%. Meaning that if vol=20%, 1unit change means that vol=20%+1%=21%.
Everywhere I searched online says that you are right. So +1 unit of volatility (+1% IV) would make his vega value to double or raise by 1% of vega?
Sir, I have no clue as to what you are saying and I was hoping that you would pick a company ( First Derivative) and divided by Volatility of the underline asset, thus Vega. In real time of course. Thanks
bitly blocked your link. Could you update it?
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