AdvancedMultiple choice
What does vanna measure, and when does it matter most?
- AThe change in delta for a change in volatility; it matters in the wings
- BThe change in gamma for a change in spot
- CThe change in vega for a change in volatility
- DThe change in delta for the passage of time
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Reported in interviews at
More the greeks and hedging questions
- An option has delta 0.5 and gamma 0.04 per share.Foundation
- Living with a long straddle, part 1 of 4Foundation
- Theta pays for gamma, part 1 of 3Foundation
- An option has delta 0.5 and gamma 0.04 per share.Applied
- Two at-the-money options on the same stock have the same implied volatility…Applied
- Nothing moves overnight except the calendar.Applied