AdvancedMultiple choice
Volga (vomma) is the sensitivity of vega to volatility. Which options carry the most of it?
- AAt-the-money options, since that is where vega is largest
- BOut-of-the-money options, whose vega grows as volatility rises
- CDeep in-the-money options, because their prices are dominated by intrinsic value
- DNo listed option carries volga; it arises only in variance swaps
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