Comment on Application of Option Greeks

Karthik Rangappa commented on 19 Aug 2014, 05:34 PM

Swapnil, sometimes the trader may just have an opinion on volatility instead of the direction of the market. For example you may think that the volatility is way too high, and therefore you anticipate the volatility to cool off. Under such a situation you just want to play volatility, and suppress the effect of the market direction. This means you will have to neutralize the delta to zero, and leave your option position exposed only to the variations of vega.

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