AdvancedMultiple choice
Your book shows total vega of zero: long one-month vega and short one-year vega in equal amounts. Why is the desk head still worried?
- ABecause vega cannot be offset across expiries under any exchange’s margin rules
- BShort-dated vol moves more than long-dated vol
- CBecause total vega is always zero for any hedged book, so the number carries no information
- DBecause one-month options have no vega at all, so the book is actually short vega
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