Vol and strikes
Math › Vol and strikes · 4 generators
0 / 0 so farUntimed · unlimited · not counted in your daily record
Your book has gamma 500,000 and theta 10,000 per day, both in dollars per 1 percentage point. What annualised realised vol do you need to break even, in vol points to 2 decimal places? Assume 252 trading days.
σ_be = sqrt(2 Θ / Γ) per unit time. Convert the daily figure to annualised by multiplying by sqrt(252).
What this quiz tests
- vega-pnl — Vega PnL from vega quoted per vol point.
- price-move-to-vol — Express a percentage price move in vol points.
- delta-strike — Approximate the strike for a given delta.
- breakeven-vol — Annualised breakeven vol from gamma and theta.
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