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Butterfly Spread : The Vega υ
Issued on September 01 2010 par Strategies Options

There are different ways of how would a butterfly react to some volatility variations.
It's usual to read that a butterfly spread is a vega neutral strategy. It's far from reality.



1 - Butterfly's Vega υ
Butterfly's Vega υ is built adding the long vegas minus the short vegas.


2 - Graphs
Butterfly 90/100/110, 1year, implied volatility=30% :
c'est une photo du vega d'un butterfly




Next : Ratio Spreads : A First Attempt
Previous : Butterfly : The Gamma Г


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Advanced Strategies - INDEX
Advanced Strategies - CHAPTER I
Advanced Strategies - CHAPTER II
Advanced Strategies - CHAPTER III
Advanced Strategies - CHAPTER IV
Advanced Strategies - CHAPTER V

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