Harel Jacobson
Feb 12, 2022

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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

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Harel Jacobson
Harel Jacobson

Written by Harel Jacobson

Global Volatility Trading. Python addict. Bloomberg Junkie. Amateur Boxer and boxing coach (RSB cert.)!No investment advice!

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