Feb 12, 2022
There is some confusion here.. Vanna is the change in vega wrt to spot (so how much your vega changes as spot moves), while the actual loss is a vega loss i.e vega * change in implied vol
There is some confusion here.. Vanna is the change in vega wrt to spot (so how much your vega changes as spot moves), while the actual loss is a vega loss i.e vega * change in implied vol
Global Volatility Trading. Python addict. Bloomberg Junkie. Amateur Boxer and boxing coach (RSB cert.)!No investment advice!